Fannie Mae Improving the Timeliness of Monthly Mortgage-Backed Securities Disclosure
As previously announced, beginning with the March 2017 mortgage-backed securities (MBS) disclosures, Fannie Mae is improving its data publication timeframes, including providing loan-level information to the market on the fourth business day of the month to coincide with the MBS Stats™ file.
Fannie Mae has updated its Single-Family Investor Reporting requirements, enabling the company to generate and publish its MBS disclosure earlier in the month. Previously, Fannie Mae servicers were required to report both loan- and pool-level balances to Fannie Mae. Fannie Mae is now eliminating the requirement for servicers to provide pool-level balances and will instead use the loan-level balances provided to determine the updated balances for its outstanding securities. To effectively facilitate this new process, Fannie Mae is requiring the loan-level data to be reported earlier, which allows it the ability to provide MBS disclosure data on an improved timeframe. For example, the single-family loan- level disclosure file, which was previously available on business day 8 after 7:00 pm will now be available on business day 4 after 4:30 pm.
The updated file publication timing is provided in the table below along with other details that were also discussed in previous announcements published in January 2017 and October 2016.
| 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 file layouts for the monthly files listed above will not be changing with this improved timing. However, there are some changes to be noted for certain attributes that will be provided in some of the monthly files, which are reflected below:
| File Name/Attribute Impacted | Pre March 2017 Format | March 2017 Format |
|---|---|---|
| MBS Stats™ | ||
| Seller Name | All Uppercase | Mixed Case |
| Original UPB | Reported with pennies for a subset of securities | Will be reported without pennies |
| WAC/WAM – securities with a zero Factor | Still populated for Single-Family MBS Securities | Will equal zero for Single-Family MBS Securities |
| WAC/WAM/WALA/WAOLT | Published for a subset of securities issued in the prior month. Calculations based on projected loan balances without giving effect to curtailments. | Published for all Single-Family MBS securities published in the prior month. Single-Family MBS securities calculations based on loan balances giving effect to curtailments. |
| Pass Through Rate | Populated with "converted" 30/360 value for Multifamily MBS Securities (truncated) | Populated with Actual/360 value for Multifamily MBS Securities (traditional rounding) |
| Fixed-Rate Quartile File | Record Type 2 blank for MBS securities issued in the prior month. Calculations based on projected loan balances without giving effect to curtailments. | Record Type 2 populated for all Single-Family fixed-rate MBS issued in the prior month. Single-Family MBS securities calculations based on loan balances giving effect to curtailments. |
| ARM Stats | ||
| Pass Through Rate | Populated with "converted" 30/360 value for Multifamily MBS Securities (truncated) | Populated with Actual/360 value for Multifamily MBS Securities (traditional rounding) |
| Accrual Rate | Populated with "converted" 30/360 value for Multifamily MBS Securities | Populated with Actual/360 value for Multifamily MBS Securities |
| Adjustable-Rate Quartile File | ||
| Pass Through Rate | Populated with "converted" 30/360 value for Multifamily MBS Securities | Populated with Actual/360 value for Multifamily MBS Securities |
In addition, the following updates will be made to our web-based disclosure applications:
Multifamily Securities Locater Service:
- 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®:
- 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.
For any questions regarding these upcoming changes, please contact the Fannie Mae Investor Help Line at 1-800-232-6643, Option 2 or by e-mail.