News and Announcements
Benchmark CPR – Methodology Overview
March 6, 2020
Overview of Products
Mortgage-Backed Securities (MBS) »
Creating a Single-Family Mortgage-Backed Security (“MBS”) begins with a group of mortgage loans. The loans are underwritten by lenders to borrowers to finance residential properties. Fannie Mae purchases the mortgage loans from lenders and pools them into different securities, each containing loans with similar characteristics. We then issue certificates backing the MBS to investors.
Single-Family MBS: These securities may represent beneficial ownership interests in a pool of mortgage loans secured by single-family (1-4 units) residential properties.
Multifamily MBS: Fannie Mae creates MBS that represent beneficial ownership interests in a pool of mortgage loans secured by multifamily (5 or more units) residential properties.
Fannie Mae Supers™ (Supers) are single-class pass-through, 55-day TBA-eligible securities in which the underlying collateral are groups of existing UMBS and/or Supers. Megas® (Megas) are single-class pass-through, Non-TBA-eligible securities in which the underlying collateral consists of groups of existing Fannie Mae Non-TBA MBS and/or Fannie Mae Megas. A Real Estate Mortgage Investment Conduit (REMIC) is a type of multiclass mortgage-related security in which interest and principal payments from the mortgage-related assets serving as collateral are structured into separately traded securities called classes. Stripped mortgage-backed securities (SMBS) are multiclass, pass-through, grantor trust securities created by "stripping apart" the principal and interest payments from the underlying mortgage-related collateral into two or more classes of securities. In another type of SMBS transaction, excess servicing is stripped from base servicing on loans backing Fannie Mae MBS and issued solely as interest-only (IO) bonds.
Overview of Tools
We provide the following disclosure tools for mortgage-backed securities issued by Fannie Mae:
- DUS Disclose® – For Multifamily securities, access disclosure data, including at-issuance and monthly data, Legal documents, consumable data files and search capabilities for MBS, Megas, and REMICs.
- PoolTalk® – For Single-Family securities, access disclosure data, including at-issuance and monthly data, Legal documents, consumable data files and search capabilities for UMBS, MBS, Supers/Megas, SMBS, and REMICs.
- ARM MBS Subtypes provides ARM characteristics of each subtype we publish on our adjustable-rate securities.
- DUS Disclose Glossary provides definitions of the data elements disclosed for our Multifamily securities.
- MBSenger provides additional information on our MBS mortgage products and programs.
- Pool Prefix Glossary provides definitions of the prefixes we publish on our securities, including product and term.
- Single-Family MBS Disclosures Guide provides definitions and calculations for data elements disclosed for our Single-Family securities. This document also provides the disclosure file naming convention, publication timing, and file formats.
We have been under conservatorship, with the Federal Housing Finance Agency acting as conservator, since Sept. 6, 2008. We also have entered into a senior preferred stock purchase agreement with the U.S. Department of the Treasury pursuant to which Treasury has committed to provide funding to us under specified circumstances. More information regarding the conservatorship and our agreement with Treasury is provided in our most recent Form 10-K, and may be supplemented by information in any subsequent Form 10-Qs, which are available under "SEC Filings."
Page originally published: 12/21/11
Page last revised: 07/01/20