Fannie Mae provides a variety of analytics to assist multifamily investors in understanding the characteristics of their investments, found on Fannie Mae’s web site. The Fannie Mae GeMS™ Collateral Performance Analysis Report facilitates analysis of the prepayment behavior of Fannie Mae GeMS by compiling existing Fannie Mae disclosures related to prepayments in a single report.
The monthly factor is a number which, when multiplied by the original principal balance of an MBS DUS or Fannie Mae GeMS tranche, can be used to calculate its current outstanding principal balance. The current factor data, if it is not zero, indicates that the loan(s) underlying the MBS DUS used as collateral for Fannie Mae GeMS, have not prepaid. A zero factor indicates one of three things:
- a refinance has occurred,
- the loan has reached its maturity date and been paid off, or
- Fannie Mae has exercised its option to repurchase a delinquent loan out of a pool.
In each case where the factor is zero, the bond holder has been or will be repaid the outstanding unpaid principal balance at par.
In the case of a refinance or other voluntary prepayment, the bond holder will generally receive a portion of any yield maintenance payments collected to the extent provided for in the disclosure documents for the bonds. Fannie Mae's monthly Yield Maintenance Details Report provides the yield maintenance factor and the period end date for DUS MBS. Market participants can use this data to examine the expected yield maintenance that is due to the investor.
Fannie Mae’s monthly MBS Loan Level Delinquency 60-Plus Days Report identifies pools that contain multifamily loans that are 60+ days delinquent. Using data from this report, market participants can focus on analyzing and anticipating potential prepayments that could occur in certain tranches of Fannie Mae GeMS associated with these delinquent loans. These prepayments would potentially occur when Fannie Mae exercises its option to buy delinquent loans out of pools.
The Fannie Mae GeMS Collateral Performance Analysis Report is published once a month as a text-formatted file (.txt), and provides the following data attributes for each MBS pool backing specific GeMS REMICS and GeMS Megas:
- Fannie Mae GeMS Deal
- MBS Pool Number
- Current Mortgage Factor
- Yield Maintenance Factor
- Paydown Record Date
- Whether or not the pool contains a delinquent loan and if so, how many days delinquent the loan is reported to be.
Fannie Mae GeMS Collateral Performance Analysis Report
All files are in text-format (.txt)
Page originally published: 02/03/12
Page last revised: 01/25/19