Question

On October 1, 2005, Fannie Mae issued a mortgage pass-through security and the prospectus supplement stated the following:
FANNIE MAE 
MORTGAGE-BACKED SECURITIES PROGRAM 
SUPPLEMENT TO PROSPECTUS DATED JULY 01, 2004 
$464,927,576.00 
ISSUE DATE OCTOBER 01, 2005 
SECURITY DESCRIPTION FNMS 05.0000 CL-844801 
5.0000 PERCENT PASS-THROUGH RATE 
FANNIE MAE POOL NUMBER CL-844801 
CUSIP 31407YRW1 
PRINCIPAL AND INTEREST PAYABLE ON THE 25TH OF EACH MONTH 
BEGINNING NOVEMBER 25, 2005 
POOL STATISTICS 
SELLER 
WELLS FARGO BANK, N.A 
SERVICER 
WELLS FARGO BANK, N.A 
NUMBER OF MORTGAGE LOANS 
1986 
AVERAGE LOAN SIZE 
$234,312.06 
MATURITY DATE 
10/01/2035 
WEIGHTED AVERAGE COUPON RATE 
5.7500% 
WEIGHTED AVERAGE LOAN AGE 
1 mo 
WEIGHTED AVERAGE LOAN TERM 
360 mo 
WEIGHTED AVERAGE REMAINING MATURITY 
359 mo 
WEIGHTED AVERAGE LTV 
73% 
WEIGHTED AVERAGE CREDIT SCORE 
729 
Answer the below questions.
(a) What does the “pass-through rate” of 5% for this security mean?
It means that the coupon rate for the security is 5.00%.
(b) What is the average note rate being paid by the borrowers in the loan pool for this security?
(c) Why does the pass-through rate differ from the average note rate paid by the borrowers in the loan pool for this security?
(d) What is the pool number for this security, and why is the pool number important?
(e) What is the prefix for this security, and what does a prefix indicate?
(f) The “maturity date” for this security is shown as “10/01/2035.” An investor in this security might be concerned about its very long maturity (30 years). Why is the maturity date a misleading measure of the security’s maturity?
(g) If an investor purchased $15 million principal of this security and, in some month, the cash flow available to be paid to the security holders (after all fees are paid) is $12 million, how much is the investor entitled to receive?
(h) Every month a pool factor would be reported for this security. If the pool factor for some month is 0.92, what is the outstanding mortgage balance for the loan pool for that month?
(i) Why does the weighted average loan term differ from the weighted average remaining maturity?
(j) Wells Fargo Bank, N.A. is identified as the seller and the servicer. What does that mean?
(k) What does the following mean: “MORTGAGE-BACKED SECURITIES PROGRAM SUPPLEMENT TO PROSPECTUS DATED JULY 01, 2004”?


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  • CreatedAugust 22, 2015
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