Agency CMBS Question - Interpreting Pricing Summaries and Term Sheets

Hey everyone - apologies in advance if I'm posting this to the wrong forum. I've been spending much of my free time (don't have much of it these days) trying to teach myself the fundamentals of CMBS over the past couple months. I've built a decent understanding of the general concepts, making (slow) progress though resources like Fabozzi's texbook, the CREFC CMBS E-Primer, a bunch of random online research/newsletters, and talking to a few people that work in the space - mostly on the sell-side. However, I still end up having pretty basic questions when it comes to things I see out in the wild.

This is one of those examples - I feel like there must be a fundamental gap in my understanding of both how the pricing of these securities is derived, as well as how they are actually quoted in practice.

While skimming Fannie's recent press releases, I see that they recently priced a $719.5mm DUS REMIC under their GeMS program (FNA 2020-M29). I took a screenshot of the structure details for the offering and included it in this post, in addition to the accompanying term sheet I found in the press release. If they haven't attached properly, I'm leaving the link to the page that includes both files here: https://www.fanniemae.com/portal/media/financial-…

When I look at these docs individually, and then side-by-side, a few questions come to mind, and I spent a bit of time yesterday scratching my head over them:

1. In the pricing summary, what does the spread actually signify? As an example, I originally thought that the coupon of 0.946 for the A1 tranche was equivalent to S+46, where S was the interpolated 5.79 year swap rate at the time of pricing - I replicated that calculation using historical swap rates from FRED, but that theory didn't prove out. Just trying to understand where and how the swaps/spreads fit in when issuing a fixed-coupon instrument.

2. In the term sheet for the deal, the collateral overview for Group 1 on pg. 9 indicates a Weighted Average Pass-through Rate of 1.921%.

   • How is the pass through rate calculated for each of these loans? Seems like it's then rolled into a Cutoff Date UPB-weighted average.
   • How does that WA Pass-through rate relate to the coupons I see in the pricing summary, and why isn't it equal to the WA coupon rate in the pricing summary?

I know these are likely 101-level questions - it's clear I have a long way to go before I really have my arms around this material. I would really appreciate any input you guys can provide.