Future State MBS Disclosures June 2018

Transcription

1 Future State MBS Disclosures June 2018 Frequently Asked Questions Listed below are common questions related to Fannie Mae s future Single-Family MBS disclosure files that are scheduled to be implemented in June These FAQs will be updated as needed. Data Files...1 Data Attributes Data Enumerations...5 Data Files: Q1. Will the publication timing of the future files change from the current timing? Yes, the issuance files will now be available at 6:30 am, 11:30 am and 3:30 pm (Eastern Time) on each business day. The monthly files will now be available at 4:30 pm on the fourth business day of each month. Q2. What are the MBS Month-End Issuance Security and Security Supplemental Files? These files include security level data for all single-class MBS securities issued for the most recent issuance month. If any pools were collapsed or dissolved during the issuance month, only a subset of attributes will be populated on the Security file. There will be no records on the Security Supplemental file. Q3. What is the MBS Month-End Issuance Loan-Level File? This file includes loan level data for all MBS securities issued for the most recent issuance month. If any pools were collapsed or dissolved during the issuance month, there will be no loan-level data included in this file. Q4. What is the MBS Security Correction File? This file contains corrections made to issuance disclosure attributes after the month of issuance, but still within the security's offering period (90 days after the issuance date). The file will be published on the first business day of the month incorporating corrections that occurred in the prior month. The date of the file represents the issuance month of the securities for which the corrections are applicable. Q5. Since the Dissolved Securities file will be retired, how will collapsed or dissolved securities be identified? A new attribute, Security Status Indicator, is included in the future disclosure files. This new attribute provides the status of the security based on the current reporting period. Collapsed and dissolved securities will be identified as such, using this data field on either the issuance or monthly disclosure files depending on when the event occurs. Q6. Upon implementation of the future disclosure files, will previously published disclosure files still be available? 2018 Fannie Mae. Trademarks of Fannie Mae. June of 6

2 The issuance and monthly disclosure files that were published in PoolTalk 90 days prior to the implementation of the future disclosure files will be available on FannieMae.com for a period of time after implementation. Data Attributes: Q7. Are there new attributes proposed on the future disclosures files that were not previously provided by Fannie Mae? Fannie Mae will now disclose the following data attributes at the loan level: Assumability Indicator Government Insured Guarantee Interest Rate Rounding Method Interest Rate Rounding Method Percent Life Floor Interest Rate Life Floor Net Interest Rate Loan Participation Percent Mortgage Insurance Cancellation Indicator Original Deferred Amount Prepayment Penalty Indicator Fannie Mae will now disclose the following data attributes at the security level: Average Origination Mortgage Loan Amount Delinquent Loans Purchased (Loan Count) Delinquent Loans Purchased (Prior Month UPB) Eligible for Resecuritization Index Initial Fixed Rate Period Initial Interest Rate Cap Down Percent Initial Interest Rate Cap Up Percent Initial Step Fixed-Rate Period Interest Only Security Indicator Issuer Negative Amortization Factor Next Step Rate Adjustment Date Notes Notes Ongoing Origination Third Party Origination UPB Percent Payment Delay Days Periodic Interest Rate Cap Down Percent Periodic Interest Rate Cap Up Percent Periodic Step Rate Cap Up Percent Prepayment Penalty Indicator Reduced Minimum Servicing Indicator Security Data Correction Indicator Security Notification Indicator Security Status Indicator 2018 Fannie Mae. Trademarks of Fannie Mae. June of 6

3 Servicer City Servicer State Step Rate Adjustment Frequency Updated Longest Maturity Date WA Origination Credit Score WA Combined Loan-to-Value (CLTV) (monthly) WA Debt-to-Income (DTI) WA Estimated Loan-to-Value (ELTV) WA Months to Next Step Rate Adjustment WA Mortgage Loan Amount (monthly) WA Origination Combined Loan-to-Value (CLTV) WA Origination Debt-to-Income (DTI) WA Origination Interest Rate WA Origination Loan Term WA Origination Loan-to-Value (LTV) WA Origination Mortgage Loan Amount WA Updated Credit Score Q8. Will Fannie Mae publish the new attributes for previously issued securities or will the attributes only be provided for new issuances going forward? All attributes will be disclosed for all securities except as noted below: Effective on and after 1996 issuances o WA Loan-To-Value (LTV) o WA Borrower Credit Score o Quartiles - WA Loan-To-Value (LTV) o Quartiles - WA Borrower Credit Score o Quartiles - Updated Credit Score o Borrower Credit Score Not Available Stratification o Loan Purpose Stratification o Loan-To-Value (LTV) Not Available Stratification o Number of Units Stratification o Occupancy Status Stratification Effective on and after September 2007 issuances o Third Party Origination UPB Percent o Channel Stratification Effective on and after January 2013 issuances o Loan Level Disclosures all attributes o WA Combined Loan-To-Value o WA Debt-To-Income o Quartiles - Combined Loan-to-Value o Quartiles Debt-to-Income o Combined Loan-To-Value (CLTV) Not Available Stratification o Debt-To-Income (DTI) Not Available Stratification 2018 Fannie Mae. Trademarks of Fannie Mae. June of 6

4 o First Time Home Buyer Indicator Stratification o Property State Stratification o Government Insured/Guarantee Stratification o Mortgage Insurance Cancellation Indicator Stratification o Mortgage Insurance Coverage Stratification o Number of Borrowers Stratification o Property Type Stratification o Days Delinquent Stratification (for reperforming, step- rate and modified securities only) Effective on and after June 2019 issuances (with the implementation of the future disclosures) o Delinquent Loans Purchased (Loan Count) o Delinquent Loans Purchased (Prior Month UPB) o Days Delinquent Stratification Q9. Are there any attributes that Fannie Mae currently publishes that will not be published on the future disclosure files? Yes, Fannie Mae will no longer disclose the following information: Accrual Rate Rounding Method Code (ARM Stats File) Ceiling Quartile (Adjustable-Rate Quartile File) Current Mortgage Interest Rate Stratification (New Issues Pool Statistics File, New Issues Mega Statistics File) Current Same Month Pooling (Final Data Statement) Distribution of Loans by First Payment Date Stratification (New Issues Pool Statistics File, New Issues Mega Statistics File) First Payment Date By Original Note Rate Stratification (ARM Stats File) Floor Quartile (Adjustable-Rate Quartile File) Gross Margin Stratification (New Issues Pool Statistics File, New Issues Mega Statistics File) Loan Survival Ratio (ARM Stats File) MBS Margin Quartile (Adjustable-Rate Quartile File) Minimum Index Movement (ARM Stats File) Next Rate Change Date (Final Data Statement) Original WA Maturity (Final Data Statement) Pass Through Method (For ARM Pool Only) (New Issues Pool Statistics File, New Issues Mega Statistics File, ARM Stats File) Payment Cap (ARM Stats File) Percent of Security Balance (Final Data Statement) Pool Accrual Rate Maximum (Final Data Statement) Pool Accrual Rate Minimum (Final Data Statement) Pool Type (MBS Stats File) Principal & Interest Initial Payment Date (New Issues Pool Statistics File, New Issues Mega Statistics File) Rate Difference Flag (ARM Stats File) Seller Street Address and Zip (MBS Stats File) State Pre 1985 Code (Geo Stats File) Transfer Type (New Issues Pool Statistics File, New Issues Mega Statistics File, ARM Stats File) WA MBS Margin (Final Data Statement) 2018 Fannie Mae. Trademarks of Fannie Mae. June of 6

5 WA Months to Rate Change Date (Final Data Statement) Year Megapool Indicator (Geo Stats File) Year Pre 1985 Code (Geo Stats File) Q10. What rounding method is applied to calculations? All calculations use natural rounding except for Remaining Months to Maturity and Loan-to-Value attributes, meaning a value will be rounded up to the nearest integer when fractional values are greater than or equal to 0.5 and rounded down to the nearest integer when fractional values are less than 0.5. The Remaining Months to Maturity calculation always rounds up to the next whole integer. The Loan-to- Values are truncated (shortened) to two decimal places, then rounded up to the nearest whole percent. Q11. Why is the Pool Maturity Date earlier than the Updated Longest Maturity Date for certain pools? In this scenario, a data correction to maturity date was made on a loan in the security. Notwithstanding this correction, the loan will be removed from the pool on the date reflected by the Pool Maturity Date and investors will receive a final payment of the remaining principal balance, plus one month s interest on the final distribution date. Q12. Why is "XX" populated as the State code for the seller / servicer address? If the seller / seller servicer s primary office is in a foreign country, then the state is populated as "XX". Q13. For Months to Amortization, why do I see a difference of one month between current state and future state? In future state, the first scheduled principal and interest payment date is used in the calculation for the months to amortization, rather than the interest only end date. This results in an increase of one month for the transition month. Q14. Why is there limited data at times for certain Fannie Mae Megas/Supers and Multilender pools? Fannie Mae Megas/Supers and Multilender pools will be included in the issuance data file when they are initially setup. At the time of set-up for these pools, only the following attributes are populated: Prefix, Security Identifier, CUSIP, Issue Date, Investor Security UPB Issuance, WA Net Interest Rate, and Subtype. The remaining fields will be populated on subsequent issuance files when the collateral is delivered for the securities. Data Enumerations Q15. What does an enumeration of 9 or set of 9s indicate? 2018 Fannie Mae. Trademarks of Fannie Mae. June of 6

6 The enumeration of 9s for a data attribute will indicate that the data is not available for publication Q16. What does an enumeration of 7 or set of 7s indicate? The enumeration of 7s for a data attribute will indicate that the data is not applicable for the field. Q17. What does an enumeration of 5 or set of 5s indicate? The enumeration of 5s for a data attribute will indicate that the data of the underlying collateral is mixed. Q18. Why did the enumeration for the loan level attribute "Channel" change for some historical loans? The loan-level attribute, Channel, now has a new enumeration ("Third Party Origination - Not Specified"). Historical loans that were classified as Broker, and are now classified as "Third Party Origination - Not Specified" due to the availability of data. Below are the following enumerations for Channel: R = Retail B = Broker C = Correspondent T = Third Party Origination - Not Specified 9 = Not Available Q19. Why are the adjustable-rate mortgages (ARM) index enumerations in the future disclosure files different from the codes in the current files? To simplify the consumption of the GSEs' disclosure files, Fannie Mae and Freddie Mac aligned the code enumerations for each index. A cross reference table between the current index codes and the aligned index codes is located in the Appendix A of the Single-Family MBS Disclosure Mapping document Fannie Mae. Trademarks of Fannie Mae. June of 6