TL;DR Summary of Benefits
- Data normalization and enhancement: RiskSpan’s MBS data on Snowflake normalizes Fannie, Freddie, and Ginnie loan-level data, consolidating everything into one set of field names. It also offers enhanced loan level-data fields, including current coupon, spec pool category, and mark-to-market LTV, which are not available in the raw data from the agencies. The data also includes pool-level factors like pool prefix and pool age, as well as full loan histories not available from the GSEs directly.
- Data access and querying: Users access the data in Snowflake using SQL or Python connectors. Snowflake functions essentially as a cloud SQL server that allows for instantaneous data sharing across entities. In just a few clicks, users can start analyzing MBS data using their preferred coding language—no data, ETL, or IT Teams required.
- Data merging and analytics: Users can merge the data in Snowflake with other available loan level or macroeconomic data, including interest rates, home prices, and unemployment, for advanced analytics. Users can also project performance, monitor portfolios, and create spec pools, among other features.
The Problem
Even though Fannie, Freddie and Ginnie have been making MBS performance data publicly available for years, working with the raw data can be challenging for traders and back-office analysts.
Traders and analysts already have many of the tools they need to write powerful queries that can reveal hidden patterns and insights across different markets – patterns that can reveal lucrative trading opportunities based on prepayment analysis. But one big obstacle often stands in the way of getting the most out of these tools: the data from the agencies is large and unwieldy and is not formatted in a consistent way, making it hard to compare and combine.
What’s more, the Agencies do not maintain full history of published data on the websites for download. Only recent history is available.
The Solution: RiskSpan’s new MBS loan-level historical offering on Snowflake Marketplace
Using RiskSpan’s new MBS Loan-Level Historical Data Offering, MBS traders and analysts can now leverage the power of Snowflake, the leading cloud data platform, to perform complex queries and merge data from multiple sources like never before.
This comprehensive data offering provides a fully normalized view of the entire history of loan-level performance data across Agencies – allowing users to interact with the full $9T Agency MBS market in unprecedented ways.
A list of normalized Fannie and Freddie fields can be found at the end of this post.
In addition to being able to easily compare different segments of the market using a single set of standardized data fields, MBS traders and analysts also benefit from derived and enhanced data, such as current coupon, refinance incentive, current loan-to-value ratio, original specified pool designation, and normalized seller and servicer names.
The use cases are practically limitless.
MBS traders and analystscan track historical prepayment speeds, find trading opportunities that offer relative value, and build, improve, or calibrate prepayment models. They can see how prepayment rates vary by loan size, credit score, geographic location, or other factors. They can also identify pools that have faster or slower prepayments than expected and exploit the differences in price.
Loan originators can see how their loans perform compared to similar loans issued by other originators, servicers, or agencies, allowing them to showcase their ability to originate high-quality loans that command premium pricing.
Enhanced fields provide users with more comprehensive insights and analysis capabilities. They include a range of derived and enhanced data attributes beyond the standard dataset: derived fields useful for calculations, additional macroeconomic data, and normalized field names and enumerations. These fields give users the flexibility to customize their analyses by incorporating additional data elements tailored to their specific needs or research objectives.
Enhanced loan-level fields include:
- Refi Incentive: The extent to which a borrower’s interest rate exceeds current prevailing market rates
- Spread at Origination (SATO): a representation of the total opportunities for refinancing within a mortgage servicing portfolio. SATO encompasses all potential refinance candidates based on prevailing market conditions, borrower eligibility, and loan characteristics
- Servicer Normalization: A standardization of servicer names to ensure consistency and accuracy in reporting and analysis
- Scheduled Balance: A helper field necessary to easily calculate CPR and other performance metrics
- Spec Pool Type: A designation of the type of spec story on the loan’s pool at origination
- Current LTV: a walked forward LTV based on FHFA’s HPI and the current balance of the loan
Not available in the raw data from the agencies, these fields allow MBS traders and analysts to seamlessly project loan and pool performance, monitor portfolios, create and evaluate spec pools, and more.
Access the Data on Your Terms
Traders and analysts can access the data in Snowflake using SQL or Python connectors. Alternatively, they can also access the data through the Edge UI, our well-established product for ad hoc querying and visualization. RiskSpan’s Snowflake listing provides sample queries and a data dictionary for reference. Data can be merged with macroeconomic data from other sources – rates, HPI data, unemployment – for deeper insights and analytics.
The listing is available for a 15-day free trial and can be purchased on a monthly or annual basis. Users don’t need to have a Snowflake account to try it out. Learn more and get started at the Snowflake Marketplace or contact us to schedule a demo or discussion.
Fannie/Freddie Normalized Fields
| NAME | TYPE | DESCRIPTION |
|---|---|---|
| AGE | Number | Loan Age in Months |
| AGENCY | Varchar | FN [Fannie Mae], FH [Freddie Mac] |
| ALTDQRESOLUTION | Varchar | Payment deferral type: CovidPaymentDeferral,DisasterPaymentDeferral,PaymentDeferral,Other/NA |
| BORROWERASSISTPLAN | Varchar | Type of Assistance: Forbearance, Repayment, TrialPeriod, OtherWorkOut, NoWorkOut, NotApplicable, NotAvailable |
| BUSINESSDAYS | Number | Business Day in Factor Period |
| COMBINEDLTV | Float | Original Combined LTV |
| CONTRIBUTION | Float | Contribution of Loan to the Pool, to be used to correctly attribution Freddie Mirror Pools |
| COUPON | Float | Net Coupon or NWAC in % |
| CURRBALANCE | Float | Current Balance Amount |
| CURRENTCOUPON | Float | Primary rate in the market (PMMS) |
| CURRENTLTV | Float | Current Loan to Value Ratio based on rolled-forward home value calculated by RiskSpan based on FHFA All-Transaction data |
| CURTAILAMOUNT | Float | Dollar amount curtailed in the period |
| DEFERRALAMOUNT | Float | Dollar amount deferred |
| DQSTRING | Varchar | Delinquency History String, left most field in the current period |
| DTI | Float | Debt to Income Ratio % |
| FACTORDATE | Date | Performance Period |
| FICO | Number | Borrower FICO Score [300,850] |
| FIRSTTIMEBUYER | Varchar | First time home buyer flag Y,N,NA |
| ISSUEDATE | Date | Loan Origination Date |
| LOANPURPOSE | Varchar | Loan Purpose: REFI,PURCHASE,NA |
| LTV | Float | Original Loan to Value Ratio in % |
| MATURITYDATE | Date | Loan Maturity Date |
| MICOVERAGE | Float | Mortgage Insurance Coverage % |
| MOSDELINQ | Varchar | Delinquency Status: Current, DQ_30_Day, DQ_60_Day, DQ_90_Day, DQ_120_Day, DQ_150_Day, DQ_180_Day, DQ_210_Day, DQ_240_Day, DQ_270_Day, DQ_300_Day, DQ_330_Day, DQ_360_Day, DQ_390_Day, DQ_420_Day, DQ_450_Day, DQ_480_Day, DQ_510_Day, DQ_540_Day, DQ_570_Day, DQ_600_Day, DQ_630_Day, DQ_660_Day, DQ_690_Day, DQ_720pls_Day |
| MSA | Varchar | Metropolitian Statistical Area |
| NUMBEROFBORROWERS | Number | Number of Borrowers |
| NUMBEROFUNITS | Varchar | Number of Units |
| OCCUPANCYTYPE | Varchar | Occupancy Type: NA,INVESTOR,OWNER,SECOND |
| ORIGBALANCE | Float | Original Loan Balance |
| ORIGSPECPOOLTYPE | Varchar | Spec Story of the pool that the loan is a part of. Please see Spec Pool Logic in our linked documentation |
| PERCENTDEFERRAL | Float | Percentage of the loan balance that is deferred |
| PIW | Varchar | Property Inspection Waiver Type: Appraisal,Waiver,OnsiteDataCollection, GSETargetedRefi, Other,NotAvailable |
| POOLAGE | Number | Age of the Pool |
| POOLID | Varchar | Pool ID |
