MBS Loan Level Historical Data: Full Access

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RiskSpan’s MBS Loan Level Historical Data includes the entire universe of Fannie Mae, Freddie Mac, and Ginnie Mae Mortgage Back Securities, covering the entire scope of this $9T market. Data represents the entire available history of loan level performance data from each Agency. RiskSpan has normalized the data across Agencies, making cross-market analysis a seamless process. Derived and enhanced data are included in the offering; key derived fields include current coupon, refinance incentive, current loan-to-value ratio, original specified pool designation, and normalized seller and servicer names.

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MBS traders are able to use this data to track historical prepayment speeds, uncover trading opportunities that generate relative value, and build, enhance, or calibrate prepayment models.

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Loan originators can use the data to track their performance against the market, allowing them to potentially demonstrate preferred performance to generate premiums during the issuance process.

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Two core datasets are included in the offering—One includes the Fannie Mae and Freddie Mac universes combined (with a field ‘Agency’ to differentiate) and the other includes the Ginnie Mae universe. Data infields cover 40+ borrower, loan, property, and performance attributes.

搜集汇总

背景与挑战

背景概述

该数据集整合了房利美、房地美和吉利美的全量抵押贷款支持证券历史数据，提供40多个标准化贷款属性字段及衍生指标，支持跨机构市场分析、预付速度追踪和交易机会挖掘。数据分为两套核心集合，分别涵盖政府支持企业证券和吉利美证券。