MBS News and Announcements

Additional Details Regarding Upcoming Changes to Monthly MBS Disclosures

In October 2016, Fannie Mae announced changes to the timing of certain monthly disclosure files. We continue to expect implementation of the announced changes in March 2017 (see table below for changes) and, as a result of this improvement, we will be making a few other enhancements to our monthly disclosures.

File Name

Timing Change

Current Publication Day

Future Publication Day

MBS Stats™ (Single-Family/Multifamily Securities)

No

BD4, after 4:30 pm

BD4, after 4:30 pm

Fixed - Rate Quartile (Single-Family/Multifamily Securities)

No

BD4, after 4:30 pm

BD4, after 4:30 pm

ARM Stats™ (Single-Family/Multifamily Securities)

Yes

BD8, after 4:30 pm

BD6, after 4:30 pm

Geo Stats™ (Single-Family/Multifamily Securities)

Yes

BD8, after 4:30 pm

BD6, after 4:30 pm

Adjustable - Rate Quartile (Single-Family/Multifamily Securities)

Yes

BD8, after 4:30 pm

BD6, after 4:30 pm

Supplemental (Single-Family Securities Only)

Yes

BD8, after 4:30 pm

BD4, after 4:30 pm

Interest Only (Single-Family Securities Only)

Yes

BD8, after 4:30 pm

BD4, after 4:30 pm

DMBS Stats™ (Multifamily Securities Only)

No

BD4, after 4:30 pm

BD4, after 4:30 pm

Loan Level Disclosure (Single-Family Securities Only)

Yes

BD8, after 7:00 pm

BD4, after 4:30 pm

Actual/360 Fixed-Rate Mega and Actual/360 Adjustable-Rate Mortgage (ARM) MBS file (Multifamily Securities Only)

Yes

BD4, after 7:00 pm

Retired

Deferred Interest Factors (Single-Family/Multifamily Securities)

Yes

BD5

Retired

 

The additional enhancements, which will begin with the March 2017 monthly disclosure files, include:

  • No longer using in our disclosure calculations projected loan balances for our Single-Family fixed-rate MBS Pools. Instead we will use loan balances reflective of curtailments when calculating: Weighted Average Coupon (WAC), Weighted Average Maturity (WAM), Weighted Average Loan Age (WALA), and Weighted Average Original Loan Term (WAOLT). We will also be including curtailments in the calculations for the Fixed Quartile information.
  • Populating rates in our monthly disclosure files with the Actual/360 value for applicable Fannie Mae Multifamily MBS and Megas. Currently, these fields are populated with a converted 30/360 value.
    • The Actual/360 value will be populated in the Pass-Through Rate (PTR) fields in the MBS Stats™, Fixed-Rate Quartile and the Adjustable-Rate Quartile files; and
    • The Actual/360 value will be populated in the PTR and Accrual Rate fields in the ARM Stats™ file.
  • Updating the Multifamily Securities Locater Service to:
    • Display only the Actual/360 values, resulting in removing the Actual/360 labels and the monthly history for the Pool-level Paying PTR (30/360); and
    • Remove the banner describing how to calculate the Actual/360 PTR for applicable Multifamily MBS pools.
  • Updating PoolTalk® to:
    • Remove the Actual/360 calculation banner for applicable Multifamily Mega transactions; and
    • Remove the Actual/360 label for the WA Coupon located on the Security tab

Lastly, the WAC, WAM, WALA, WAOLT, and Average Loan Size values and Fixed-Rate Quartile data will be available in the month after issuance for all Single-Family fixed-rate MBS pools issued in February 2017 and forward.

For any questions regarding these upcoming changes, please contact the Fannie Mae Investor Help Line at 1-800-232-6643, Option 2 or by email.

 

Originally published: 1/31/17