Fannie Mae releases enhanced single-family loan performance database

Aiming to prepare investors for first actual loss credit-risk sharing deal

Following through on plans initially announced last week, Fannie Mae announced Wednesday that is now providing an enhanced single-family loan performance dataset to help investors prepare for its first actual loss credit-risk sharing deal.

Last week, Fannie Mae announced its intentions to bring its first actual loss credit risk-sharing deal under its Connecticut Avenue Securities series to market, perhaps as early as the fourth quarter of 2015.

Now, as a way to provide investors with more information, Fannie is releasing more robust data, which it said should help investors gain a better understanding of the credit performance of loans owned or guaranteed by Fannie Mae as the company continues to develop its credit risk-sharing program.

The enhanced dataset includes credit performance information up to and including property disposition, Fannie said.

Credit activity provided in the dataset includes credit event dates, credit event costs incurred, and recovery proceeds received by Fannie Mae.

“Proactively providing this research data is an important step to prepare the market for our move to an actual loss structure for CAS deals later this year and supports market participants in further modeling the credit risk of Fannie Mae’s single-family book of business,” said Laurel Davis, vice president for credit risk transfer at Fannie Mae.

“We are providing access to this data now in order to give the market sufficient lead time to become comfortable with the information,” Davis continued. “Our hope is that by allowing broad access to the data, we can increase the transparency and liquidity of our credit risk offerings.”

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