Freddie Mac · OTC:FMCC
Freddie Mac — Single Security Initiative Conference 2019
32 slides from Freddie Mac's conference presentation, Mar 4, 2019
Slide 1: Single Security Initiative Conference
Single Security Initiative Conference March 4th, 2019 Sheraton New York Times Square
Slide 2: Service Provider Update: Speakers
SERVICE PROVIDER UPDATE SPEAKERS MODERATOR Bill Burns Nick Botta Jackie Jozefek Director, Quantitative Analysis Executive Director, Agency MBS Product and Financial Engineering, MBS Product Management, Manager, Bloomberg ICE Data Analytics DTCC Art Johnson Director, Securitization Policy, Fannie Mae
Slide 3: The Analytical Considerations of UMBS within BondEdge
The Analytical Considerations of UMBS within BondEdge Bill Burns Director, Quantitative Analysis and Financial Engineering ICE Data Analytics, LLC
Slide 4: Coverage in BondEdge
Coverage in BondEdge ▪ Availability of Freddie Mac Gold and UMBS pools – Continued coverage of legacy fixed-rate Freddie Mac Gold pools – UMBS Mirror pools of eligible fixed-rate Freddie Mac Gold pools – New UMBS pools issued by Fannie Mae and Freddie Mac after June 3, 2019 ▪ Access and updates – No
Slide 5: What does this mean for security analytics in BondEdge?
What does this mean for security analytics in BondEdge? ▪ UMBS change in Payment Delay will have a slight effect on the analytics of the security (yield, average life, duration) – 45-day Freddie Mac Gold pools pay on the 15th of the month (standard 30-day delay in the underlying mortgage loans and a
Slide 6: Considering impact to investment guidelines
Considering impact to investment guidelines ▪ As noted earlier, within BondEdge and analytic feeds, UMBS will carry a collateral type of “FN” – Reports referencing this field will not immediately allow one to distinguish between UMBS backed by Fannie Mae vs. Freddie Mac – As a result, investment gui
Slide 7: Index support and generic mortgage cohorts
Index support and generic mortgage cohorts ▪ Mortgage Indices are modeled based on generic mortgages (combinations of pools with a common issuer, vintage, coupon and amortization term) ▪ Index providers may approach the introduction of UMBS differently ▪ BondEdge is currently coordinating with suppo
Slide 8: Limitations
Limitations This presentation is provided for informational purposes only and is not to be published, reproduced, copied, disclosed or used without the express written consent of Intercontinental Exchange, Inc. and/or ICE Data Analytics, LLC. The information contained herein is subject to change wit
Slide 9: Aanchal Arora
Aanchal Arora VP, Aladdin Product Manager, BlackRock Solutions
Slide 10: Aladdin Development to support Single Security
Aladdin Development to support Single Security ▪ Aladdin development across the entire lifecycle to support the new uniform mortgage-backed security and the associated workflows. Aladdin’s Single Security Solution Analytics and Performance Trading • Green Package Reports for Single Security reportin
Slide 11: Aladdin Client Engagement
Aladdin Client Engagement ▪ BlackRock has been actively engaged with both GSEs and the broader industry to ensure that Aladdin and our clients are prepared for this major initiative. Timeline – Single Security Client Engagement ▪ Host a second Aladdin Community Forum to update ▪ Begin targeted outre
Slide 12: Single Security in Aladdin
Single Security in Aladdin ▪ All core functionality will be released by the end of March with exchange support in April. Aladdin Readiness Timeline January February March April May 7, 2019 June 3, 2019 Data: UMBS TBA generic Trading: Forward UMBS ➢ Compliance updates ➢ Exchange Related ❖ Exchange Go
Slide 13: eMBS Changes Supporting the Single Security Initiative
eMBS Changes Supporting the Single Security Initiative Larry Gioia President, eMBS
Slide 14: Changes to Support the Single Security Initiative
Changes to Support the Single Security Initiative: ▪ Support Freddie Mirror Securities (71,160 thus far through Feb 2019 issuance) ▪ Support Fannie’s move to aligned formats, including convert-back to current formats ▪ Modify eMBS Database to support UMBS, Supers and Commingled Supers (including agg
Slide 15: eMBS Changes/Enhancement thus far
eMBS Changes/Enhancement thus far: ✓ Populated 71,160 mirror securities beginning in August (CollType 'POOL") in the eMBS DB. ✓ New Mirror exchange tables (Cumulative (now available); Daily Activity, Level 1 Summary available June 3). ✓ Populate collateral (IssColl) rows for mirror securities and up
Slide 16: List of Fannie Convert-back files being created
List of Fannie Convert-back files being created ▪ For Daily we create a single file - the NIPS file: http://embs.com/public/html/nips-layout_Apr2018.pdf ▪ For Monthly we create multiple files: • Fixed Rate Quartile: http://embs.com/public/html/fqtLayout_Dec2013.pdf • ARM Quartile: http://embs.com/pu
Slide 17: TBA Pool Product Map
TBA Pool Product Map The TbaPoolProductMap will link from the TBA product to the underlying Pool products. Clients can request this table to use with their in-house database. Primary Primary Pool Primary Pool Primary TBA Product Pool Product TBA Product Pool Product TBA Product TBA Product Product F
Slide 18: UMBS Aggregations
UMBS Aggregations There will be a new UMBS aggregation available at the Agency level. This will combine Fannie & Freddie UMBS pools that are TBA eligible into one cohort. You can drill down from Agency (UMBS) level to Product (UMB30, UMB20, UMB15, UMB10) and then to Coupon & Year. 18
Slide 19: Commingled Main Pool Page
Single Security 2019 AW ERY Commingled Main Pool Page ‘ome ETN Anialiviics V Porifotio > Mortage-Bached Securities OnLine MBS Admin ‘ookup rity Lookup Product Lookup Multiple Se Fan Mae Pool BM4530 FNMA [Bmas30 Sy Prefix cL. [FNMA CONV LONG TERM 30¥R Fannie Pet 3a 80853506 Freddie Per T.1a8s67%6 Bal
Slide 20: Exchange Aggregation: Top level with products down the side
Exchange Aggregation: Top level with products down the side Note: This is a subset of products that will be displayed. 20
Slide 21: Exchange Aggregation: Product-specific level
Exchange Aggregation: Product-specific level after you follow the link from one of the products on the previous screen. Note: This example is using test data 21
Slide 22: List of Commingled Supers: portfolio COMMSUPERS
List of Commingled Supers: portfolio COMMSUPERS a special-purpose portfolio available to all online clients. Note: The portfolio is empty, but this is where clients can find it, starting in June 22
Slide 23: List of Supers: Special Request Lists
List of Supers: Special Request Lists We've added an option to the Special Request Lists to show all Supers by month, or optionally all Commingled Supers if no month is selected 23
Slide 24: All Supers issued in a given month
All Supers issued in a given month (whether commingled or not), It will include all Freddies (including Mirrors) and Fannies in those 8 prefixes. 24
Slide 25: eMBS Client Portfolio Percentages Summary Page
eMBS Client Portfolio Percentages Summary Page • Clients who create a portfolio of securities on eMBS can view what proportion of the underlying pools are Fannie vs Freddie. • If there are commingled Supers in the portfolio, the lowest level pools will be used for this determination. 25
Slide 26: eMBS Client Portfolio Percentages Detail Page
eMBS Client Portfolio Percentages Detail Page • Clients who create a portfolio of securities on eMBS can view the pools in the Portfolio and how much each pool contributes to the overall balance of the portfolio. If there are commingled Supers in the portfolio, the lowest level pools will be used fo
Slide 27: Single Security 2019
Single Security 2019 Securities Amalsiies eMBS Inc Mortgage-Backed Securities OnLine a cc Demo Daily Issuance CPR Claim Calsulator CNNi Markets ‘Azeess Products Tasuance EPR Claim Data ENNm& Bond Center Prepayments Reverse Mortgage BigCharts.com Poole MID Issuance Summary News.com Quotes: Contact eM
Slide 28: Single Security Initiative FAQ
Single Security 2019 eMBS eMBS Inc Single Security Initiative FAQ General FAQ UMBS FAQ Mirrors FAQ ExchangesFAQ Supers FAQ General FAQ 4. How has eMBS prepared for the Single Security Initiative? What changes can we expect? ican view our Single Security Tabletop Discussion deck - eMBS_SingleSecurity
Slide 29: Jackie Jozefek
Jackie Jozefek Agency MBS Product Manager, Bloomberg
Slide 30: Bloomberg Support for UMBS
Bloomberg Support for UMBS ▪ Pools – Mirror pools available via MTGS@UMBS<GO> ▪ Generics – TBA eligible Freddie issued 55 day Mirrors and New Issue Pools will migrate into existing Fannie Mae Generics (FNCL etc.) on the terminal. ▪ TBAs and Electronic Trading – FNCL3 6/19 will represent UMBS TBAs fo
Slide 31: Tom Marecki
Tom Marecki Securitized Products, IHS Markit Thomas.Marecki@ihsmarkit.com
Slide 32: IHS Markit engagement with the GSEs and market participants
• IHS Markit has been engaged with the GSEs, clients and market participants throughout 2018 in key discussions around the Single Security Initiative. • Full testing of new data formats, cashflow models, feeds and nomenclature for Mirror securities, exchange information and UMBS TBA identifiers. • M
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