The Mentor Journal
Residential Mortgage Securities
Understanding the Bloomberg Yield Table
Screenshot of Bloomberg yield table
By Chris Nelson
July 1, 2022
Reading Time: 9 minutes

If you’re managing the investment portfolio for your community bank or credit union, you’ve likely looked at your share of residential mortgage-backed securities (MBS).  These are securities comprised of residential mortgage loans that are pooled and securitized. 

One of the tools you’ll undoubtedly use, and a go-to screen for brokers showing mortgage securities, is the Bloomberg yield table.  It’s packed with lots of information about the structure and composition of a mortgage pool. 

However, with all the information the yield table contains, it can sometimes feel overwhelming trying to figure out everything you want and need to know.  And if you don’t know where to look, it can be easy to miss important information as you evaluate an MBS.

In addition, there’s a little catch – Bloomberg has more than one version.  While they have some similarities, there are also differences between them.  And if you don’t know about these differences – or even that these screens exist – you might not get a complete picture of the security you’re analyzing.

In this article, we’re going to explore the Bloomberg yield tables.  We’ll start with the standard items and areas in all versions.  Then, we’ll review each type available and their differences. 

Table of Contents

Overview of the Yield Table

The yield table provides a snapshot of information about MBS pools and their underlying loans.  In addition, it also lets you analyze multiple “what-if” scenarios simultaneously, which makes it easy to compare the scenarios against each other. 

As I mentioned above, there are several versions of the yield table depending on the information you’re looking for, but they all have a similar format.  The top section contains the MBS pool and loan characteristics.  And there’s a lot of information!  Here’s what you will find at the top of the yield table.

Screenshot of top part of Bloomberg yield table
Source: Bloomberg

Mortgage Description Info

Let’s start with the basic descriptive information, which includes the security pool number, its CUSIP number, the pool’s coupon rate, and the final maturity date for the security.  You’ll also find information about how many loans are in the MBS pool and what percentage of the security’s original principal balance is currently remaining, also known as the factor. 

Other high-level information about the underlying collateral is available, including the maximum and weighted average outstanding loan sizes and the weighted average loan-to-value.  The top section also includes the top states represented in the pool and a breakdown by year showing when the loans were originated.

Loan-Level Details

The top section also lets you peek under the hood to see some of the loan-level characteristics.  For example, there’s info on the weighted average coupon rate, the weighted average months to maturity, and the weighted average loan age, which tells you how old or seasoned the loans are. 

Security Prepayment History

But wait, there’s more!  The yield tables also include snapshots of a mortgage security’s prepayment history, looking back at the one-month, three-month, six-month, twelve-month, and lifetime periods.  In addition, you can view the past year of historical one-month prepayment speeds at the bottom of the screen.  It shows prepayment speeds in two ways – in PSA and CPR. 

As I said, there’s a lot of information available!  And it will allow you to get a deeper understanding of the security and the underlying mortgage loans.  Knowing that information will help you identify good and bad characteristics for managing both prepayment and extension risk.  These are the key risk exposures you want to consider when evaluating MBS investments.

Prepayment Scenario Analysis

So far, we’ve covered a lot of territory and data on the yield table.  But here’s the thing – we’re not done yet!  Let’s examine the middle section, where you can analyze multiple prepayment scenarios.  These scenarios are based on different prepayment speeds, showing how the mortgage security’s performance changes under various circumstances.

Screenshot of middle section of Bloomberg yield table
Source: Bloomberg

On the left side, you’ll find the security price.  To the right of that are seven columns where you can enter different prepayment scenarios and compare them against each other.  Want to see what happens if prepayment speeds are high?  You can do that.  Interested in seeing how the mortgage security looks if prepayment speeds slow down?  The yield table has you covered.

Let’s take a closer look at the information in each column or each scenario.  We’ll find the prepayment assumption listed at the top, which can be based on historical or hypothetical speeds.  The calculated yield for that prepayment assumption is in the middle of the column.  As the prepayment speed changes in each scenario, the MBS yield will also vary. 

Finally, at the bottom of each scenario is other information affected by the prepayment speed.  This includes the weighted average life of the security, its duration, and the yield spread to the Treasury curve.  Again, these numbers will shift as different prepayment assumptions are applied.

So that’s the anatomy of the Bloomberg yield table.  The basic layout is the same, no matter what version you use.  As I said, it’s full of valuable and helpful information that can help you evaluate and understand a mortgage security and its underlying loans.

Four Types of Yield Tables

Now, let’s move beyond the basic layout.  Bloomberg has four versions of the yield table for residential MBS, so let’s review them.

PSA-Based (YT)

The first yield table is what’s known as Bloomberg’s “YT” screen.  This is considered the default yield table and is often the yield table a broker will send in an email. 

Screenshot of Bloomberg YT Yield Table
“YT” Screen (Source: Bloomberg)

The YT screen shows the yield of an MBS based on the median street consensus prepayment speeds, which are expressed in PSA.  The scenarios show the yield and other info based on an unchanged interest rate environment and up and down 100, 200, and 300 basis points. 

Personally, I’m not a huge fan of using PSA for prepayment analysis for two reasons.  First, the consensus speeds are based on generic MBS pool types and are not specific to the security.  In addition, while the PSA may be helpful in some situations, I find it easier to analyze a mortgage security using a more straightforward constant prepayment speed and not a model containing assumptions that may or may not be applicable.  If a broker sends you this yield table, you can request one of the other options below if it’s more helpful. 

CPR-Based (YTR)

The second type of yield table is the “YTR” screen.  It shows yield scenarios based on CPR prepayment speeds, which is a constant speed. 

Screenshot of Bloomberg YTR Yield Table
“YTR” Screen (Source: Bloomberg)

With the YTR screen, you can run whatever prepayment speeds you want to see.  If you want to know what the security looks like at 6 CPR, 20 CPR, or 70 CPR, the YTR screen makes it easy.  I like this screen because it lets me run what-if scenarios based on recent prepayment speeds as well as hypothetical slower or faster speeds, so I understand how they might affect the mortgage pool.

Historical Prepayments (YTH)

The YTH screen is like the YTR version in that it also presents yield scenarios based on CPR prepayment speeds.  However, this yield table uses the historical prepayment speeds for the specific mortgage security. 

Screenshot of Bloomberg YTH Yield Table
“YTH” Screen (Source: Bloomberg)

As I mentioned above, the top section contains prepayment speeds for the last month, the average speeds for the previous three, six, and twelve months, and the security’s lifetime.  The YTH screen uses these prepayment speeds in its what-if scenarios, allowing you to quickly see how an MBS has behaved based on actual prepayment activity. 

When analyzing seasoned MBS pools, I like to use a combination of the YTH and YTR screens.  That way, I can see how the mortgage pool has behaved and look for trends on the YTH into while using the YTR info for specific prepayment speeds based on recent monthly speeds or the what-if scenarios mentioned before. 

Obviously, the YTH screen won’t help you with a newly issued mortgage-backed security since it doesn’t have any history.  But for mortgage securities that have already begun paying down, it can be helpful.

Bloomberg “BAM” Model (YT BAM)

And finally, the fourth version of the yield table is based on Bloomberg’s prepayment model.  Several years ago, Bloomberg acquired this model from Barclays and renamed it the “Bloomberg Agency MBS Index Prepayment Model,” or the “BAM” model.  The BAM model takes a more comprehensive look at the underlying loans that make up a given mortgage pool and their prepayment behavior. 

Screenshot of Bloomberg BAM Model Yield Table
“YT BAM” Screen (Source: Bloomberg)

One way the BAM model is more helpful is that model breaks out results by specific product types, such as 30-year, 15-year, adjustable-rate, jumbo, and other loan programs.  The model also considers borrower behavior based on collateral characteristics, interest rates, and the market environment.  These factors include the refinancing cycle, seasonality, creditworthiness, home prices, occupancy type, and loan age.

The YT BAM screen is similar to other yield tables in that the prepayment scenarios are based on unchanged rates and +/- 100, 200, and 300 basis point shifts.  The results are also shown in CPR, with each prepayment assumption generated by the BAM model.

In my experience, the BAM screen is pretty good and is an excellent complement to other yield tables.  It’s not perfect, and sometimes the prepayment speed assumptions are a little conservative, but the programmers and analysts at Bloomberg have continued to find ways to tweak and improve the model.

Which Yield Table Is Best?

That’s an overview of the four Bloomberg yield tables.  Which one is the best?  I don’t think there is one.  They can all be helpful, depending on what information an investor needs as they evaluate MBS investments.  

The key is knowing that the different screens are available, how they differ, and how to use them in combination to analyze residential mortgage pools.  That way, you’ll have a clearer picture of MBS investment candidates under evaluation.

Free Guide to Bloomberg Yield Tables

I’ve created a free guide to help you navigate the yield tables called “Understanding the Bloomberg Yield Table.” It contains an overview of the information in all Bloomberg yield tables, and it walks you through the differences between the four different types. 

Cover of guide called "Understanding the Bloomberg Yield Table"

With this information, you’ll better understand what information is available and how to locate it on the yield table.  It’ll make analyzing mortgage-backed securities quicker and easier.  You’ll know how to decode a yield table and easily analyze MBS investments for quick investment decision-making.

Click on the button below to download your free copy of the guide!

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