Need Pool Factor Buckets and Downloads for Mortgage Backed Securities,

Gary587
Gary587 Member ✭✭✭
edited November 11 in Investments

A long term problem still unresolved after ten years is that Quicken Mortgage-Backed Bond Security Valuation doesn't Match Schwab Valuation. Anyone who has FMNA, FHLC, or other mortgage backed securities will have this problem.

Details in following thread:


January 2024 edited February 2024
I received the following response from Schwab regarding why values are different. When will Quicken update value?

"I talked with Schwab, Fjolla and our Dave who is on our Fixed Income Trading Desk regarding the fixed income of FHLMC 5.5% SB8235 06/01/2038 and why QUICKEN shows the market value of $45,517.85, but Schwab shows $39,828.16.

The market value is based on the current pool factor of 0.87500097 which will go down every month as mortgages in the pool are being paid off. A new factor will be out on Monday.

This Example: Purchase price of $45,517.85 multiply by the Pool factor of 0.87500097 = $39,828.16

They unfortunately did not have information on if/when Quicken would update.

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  • Gary587
    Gary587 Member ✭✭✭
    edited July 2

    Here's an AI summary of it and how they are found and used:

    Pool Factor Bonds: An Overview

    Pool factor bonds, specifically related to mortgage-backed securities (MBS) and asset-backed securities (ABS), are a crucial concept for understanding the remaining principal balance of these securities. Here's a breakdown:

    1. What is the Pool Factor?

    • Definition: The pool factor is a numerical representation (between 0 and 1) indicating the proportion of the original loan principal that remains outstanding in an MBS or ABS.
    • Calculation: It's calculated by dividing the outstanding principal balance by the original principal balance.
    • Example: A pool factor of 0.75 means 75% of the original principal is yet to be repaid. 

    2. How Does the Pool Factor Work?

    • Initial Value: When a new MBS or ABS is issued, the pool factor is initially set at 1, representing the full original principal.
    • Decline Over Time: As borrowers make payments (both scheduled and prepayments) on the underlying loans, the outstanding principal decreases, and the pool factor declines towards zero.
    • Monthly Publication: For MBS, agencies like Freddie Mac, Fannie Mae, and Ginnie Mae publish pool factors monthly. 

    3. Importance of the Pool Factor for Investors

    • Value Assessment: The pool factor helps investors understand how much value remains in the security.
    • Risk Assessment: It provides insights into prepayment risk. A rapidly declining pool factor may indicate high prepayment rates, impacting the security's yield and duration.
    • Cash Flow Projections: Investors use the pool factor to estimate future cash flows from the security, as principal repayments directly impact these flows. 

    4. Factors Influencing the Pool Factor

    • Borrower Behavior: Prepayments (due to refinancing or home sales) significantly impact the pool factor.
    • Interest Rates: Lower interest rates can trigger higher prepayment activity, leading to a faster decline in the pool factor.
    • Economic Conditions: Economic uncertainty can slow down prepayments, while strong housing markets can accelerate them. 

    In Summary: The pool factor is a key metric for investors in MBS and ABS, allowing them to track the remaining principal, assess risk (particularly prepayment risk), and estimate future cash flows. Understanding the pool factor and the factors that influence it is essential for informed investment decisions in these securities. 

    AI responses may include mistakes. For financial advice, consult a professional. Learn more

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