Within programs, such as 30-year Gold PC or Ginnie I SF, pools are aggregated by coupon. While it is feasible to create pass-throughs with coupons that vary by as little as 1/8th of a percent, concentrating issuance in whole and half coupons simplifies relative-value analysis and trading strategies and maximizes liquidity. Most standard market reports, such as daily price reports or monthly prepayment reports, ignore the small amounts of quarter and eighth coupons outstanding. Market slang refers to the whole and half coupons as the "coupon stack."
Within a generic coupon, pools are grouped by issue year or vintage. The most useful strategy is to define issue year at the loan level rather than by the issue date of the pool. In other words, if a pool is issued January 1, 2005, but the average age of loans at issue indicates the loans were closed in November 2004, the pool is included in the 2004 vintage.
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