March 25, 2013 at 01:00 AM EDT
GNMA Monthly Consolidated Disclosure File Update
NYSE Technologies provides the following update on behalf of GNMA: Effective for the March 2013 Monthly Consolidated Data Disclosure (CDD) File ( the file released 6 th Business Day of April ), there will be minor technical changes in the formulas used to calculate the Weighted Average Remaining Maturity (WARM), Weighted Average Loan Age (WALA), Weighted Average Original Loan Term (WAOLT)  and Weighted Average Coupon (WAC), collectively referred to as the “weighted averages” (WAs). Currently the WAs are calculated using legacy formulas. Ginnie Mae is making some minor enhancements to intermediate calculations and formulas to improve accuracy and consistency:   Weighting Formula :   Currently Weighted Averages (WA’s) are calculated using loan unpaid principal balance (upb) and number of months. The current weighting formula is a factor approach where legacy calculations round intermediate values in calculations. Effective with the Monthly CDD file released on 6th BD April 2013, this factor approach is being changed to a standard weighted average formula, where rounding occurs as a final result.   Date Arithmetic : Currently , for the Weighted Averages, the underlying loan age and loan remaining maturity are calculated (“days arithmetic”) with the resulting days converted to months—loan age in months; loan remaining maturity in months. In the legacy formula, a standard number of months parameter is used to convert days to number of months. Effective with the Monthly CDD file released on 6 th BD April 2013 , this standard number of months approach is being changed to an explicit calculation of months, using calendar dates. Number of months will be calculated directly, and there will no longer be a conversion of days to months using the legacy parameter. ARM Pool WARM :    Currently the ARM Pool WARM is based on the weighted average of the individual remaining months at the loan level, for each loan in the pool. The legacy formula for remaining months for an individual loan (loan level) is using a date formula that is calculated based upon the Maturity Date (last scheduled payment date) and the Ginnie Mae Reporting Month last day of the month. Effective with the Monthly CDD file released on 6 th BD April 2013 , this formula is being updated so that the date formula is calculated based upon the Maturity Date (last scheduled payment date) and the Ginnie Mae Reporting Month first day of the month . This results in a one-time, one month change to all ARM pool WARMs. These changes will enhance the accuracy and consistency of calculations of Ginnie Mae’s disclosure data. There can be a one month, one-time change to the Weighted Averages for some pools. Support: Please call Ginnie Mae’s Office of Capital Markets at (202) 401-8970 with any questions or comments regarding this announcement. Should you have any further questions, please contact our Service Desk at: Service Desk (NYSE, NYSE MKT, NYSE Amex and NYSE Liffe U.S.) Telephone: +1 212 383 3640 (International) Telephone: 866 873 7422 (Toll free, US only) Email: service.desk@nyx.com Best regards, Global Market Data NYSE Technologies www.nyxdata.com
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