*
Fannie Mae Freddie Mac
Agency
CMBS

Fannie Mae DUS Yield Maintenance 11
Fannie Mae DUS 15
24
25
DUS 6
DUS 7
DUS 8
DUS 8
DUS () 9
DUS REMICS 11
13
14
FNMA DUS 17
FNA 2016-M9 Weighted Average Life (5 CPR) 18
FNA 2016-M9 Weighted Average Life (10 CPR) 18
3
Bloomberg DES Page 1 for FNA 2016-M9 19
FNMA DUS A2 class N-spread level 20
FNA 2016-M9 Bloomberg LDES Page 21
FNA 2016-M9 Bloomberg DES Page 2 22
Bloomberg YT Page for FNA 2016-M9 A2 22
FNA 2016-M9 A2 Yieldbook Page 23
4

(guideline) 2021
2021 1,400
Fannie Mae
Fannie Mae
(Delegated Underwriting and Servicing) program
5 (multifamily) DUS program
9(senior housing)
(dedicated student)(manufactured housing)
(Balloon payment)1 5 30 10
6 DUS
(Yield Maintenance) 2 10 FNMA
DUS Balloon 10/9.5 CMBS
Agency MBS FNMA DUS
1 (Balloon payment)( 30 )

Source: Fannie Mae& JP Morgan




FNMA 24 (pre-approved)

FNMA DUS ()
DSCR) (Loan to ValueLTV) DUS
3 (Tiers)DSCR LTV
Tier 2
()FNMA
Tier 2
DUSFannie Mae
0.56% 2020 FNMA DUS

1.12%()
DUS
DUS
Source: Fannie Mae
()
2020
100 Agency CMBS
Fannie Mae DUS 71
CMBS 70%()
DUS ()
Source: Fannie Mae
FNMA DUS FNMA Single Family MBS
FNMA DUS (

Estate Mortgage Investment Conduits)3 FNMA DUS
DUS REMICs Single Family Agency RMBS
CMO Agency MBS Pass-through
DUS REMICs
DUS REMICs 2012
100 ()
(ACES)
Agency CMBS Agency CMBS
Source: Citi& FRBNY Source: Citi& FRBNY
11
FNMA DUS (Yield Maintenance)
(Yield Maintenance Period)

Prepayment Premium)Fannie MaeServicer
2. UPB × (Mortgage note rate − R) × 1−(1+)(−/12)




CMT yield
1−(1+R)(−n/12)



CMT
UPB 1%
3.
CMT mortgage bond rate
CMT
UPB
2016 FNA 2016-M9 series (DUS REMICs)

Issue

FX IO(Interest Only)
Group 2 A1A2AB1AB2 X2
()
A1A2AB1AB24
4 (AB1+AB2+A1+A2)
AB1AB2A1A2
AB1 AB2
AB1AB2A1
A2
AB1 A1 WAL 5.6
AB2 A2 WAL 9.4 ()
5 CPY CPR yield maintenance 0
CPY
17
FNMA DUS 10/9.5 2000 2015
(Voluntary prepayment) 3.90%
(Involuntary prepayment
FNMA
FNA 2016-M9 Weighted Average Life (WAL) at 0 CPY
FNMA DUS
AB1 AB2 WAL 0.2 1.4
(0 CPY 5.6 9.4 ) A1 A2 WAL
3.1 8.6 (0 CPY 5.6 9.4 )
AB1 AB2
WAL
Support Class A1 A2

10 CPR() AB1
AB2 WAL 0.1 0.7 A1 A2 WAL
1.7 7.1 REMICs
FNA 2016-M9 A2
(WAL)
FNA 2016-M9 Weighted Average Life (WAL) at 5 CPR
FNA 2016-M9 Weighted Average Life (WAL) at 10 CPR
19
()
REMICs
2.292% 6/25/2026
A2
20
FNMA DUS
2016 1 2020 10 FNMA DUS A2
Swap 30 bps 100 bps (
)2020
A2 Swap 30bps

21
FNMA DUS
private label
CMBS (
2 Group1 Group 2

22
FNA 2016-M9 A2 Collateral 70
89.4%100% Yield Maintenance
()
curve ) YT A2
12 7 Offering Spread level +67
0 CPY offering 95-3 1/4
Bloomberg YT Page for FNA 2016-M9 A2
FNA 2016-M9 Bloomberg DES Page 2
23
CPY 12 7
FNA 2016-M9 A2 95-3 1/4 0 CPY
FNA 2016-M9 A2 (YTM)
2.885%FNMA DUS
Agency MBS

Yieldbook FNA 2016-M9 A2
12 7 95-3 1/4 YTM 2.96%
Effective Duration 7.88 3.2 CPR(
)
24
Fannie Mae Freddie Mac
Agency
CMBS


1. Fannie Mae (2020), “Financial Supplement Q3 2020” Fannie Mae, Oct
29.
2. Lea Overby, Gary Zhu, Michael Nunn (2020), “Agency CMBS
Handbook” Wells Fargo Research, Feb. 19.
3. Jeffrey Berenbaum, Stav Gaon, Iris Tang, (2020),“Agency CMBS
Overview and Multifamily Fundamentals” Citi Research, Nov. 13.
4. , , (2016),“ Brown Brothers Harriman
”, Dec. 19.