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Read agency pool factors and book a fill before its factor

Record the monthly factor of each agency pool and REMIC class you hold, from the agencies' disclosure files, and see how the book prices a fill whose settlement month's factor is not yet published. You need chart 0.1.538 and CLI 0.1.60.

1. Arrange the files

The agencies publish their disclosure files to registered users, not by an API:

  • Fannie Mae and Freddie Mac (gse-disclosures): register for Fannie Mae's PoolTalk and its SFTP site, and Freddie Mac's secured data site, accepting each agency's terms for your firm.
  • Ginnie Mae (ginnie-mae): sign in to Ginnie Mae's Disclosure Data Download.

Serve the files you download from a location over HTTPS, unchanged and under the agencies' own names; a bearer token is supported.

2. Launch the plugin and point it at the files

Launch the plugin (roles data and reference) and, on its Settings, enter Files location, the folder's HTTPS address, and Files location token if it asks for one. Payment calendar is the platform's US dollar calendar unless you name your own copy; a pool's record naming its own payment calendar goes first.

On the Data sources page, license gse-disclosures:fannie_mae and :freddie_mac, or ginnie-mae:ginnie_mae, and entitle the plugins that read factors. The plugin's Connection reads Answering once the location answers.

3. Read the factors

A pool's or class's factors are recorded when it is first asked for, and checked daily after that, each exactly as published, with its factor month, record and payment dates, and the pool's WAC, WAM and WALA where stated. A corrected or final factor is the row's next version.

A plugin holding operations, portfolio, reporting, servicing or signal reads them with list_factors, or debt.read_factors(role, [pool_id], from_date, to_date), and hears each new one with its role class's on_factors_recorded.

4. A fill before its factor

A pool's or a tranche's fill states original face. The book takes the factor published for the fill's settlement month and keeps it with the fill (Execution.factor_taken).

  1. Settling before its factor is published, the fill is priced provisionally at the latest published factor, and the fill and its lots say which month they await (Execution.factor_month_awaited).
  2. When the factor is published, the book writes its own FACTOR_REVISION record: the old and new factor, the cash and the cost change, and the fill it revises. Before the settlement date it settles with the fill.
  3. After the settlement date, the revision is an open claim (LIFECYCLE_EVENT_STATE_CLAIM_OPEN), the money difference to collect or pay, until a person marks it settled. A plugin finds them with debt.open_claims(events) and marks one settled with lifecycle.settle_claim(role, event, note).

The fill's cash, a provisional amount and each revision's differences round to the cent, half-even.