Fannie Mae is now providing an enhanced single-family loan performance dataset in order to offer greater transparency in advance of the Enterprise moving to an actual loss framework for the Connecticut Avenue Series (CAS) risk sharing transactions, according to an announcement from Fannie Mae on Wednesday.
Features of the enhanced dataset include information on credit performance up to, and including, property disposition. The credit information the new dataset provides includes event dates, the costs incurred by the credit event, and recovery proceeds that Fannie Mae receives. Fannie Mae estimates it could move to the actual loss framework for the CAS transactions as soon as the fourth quarter this year.
"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. Our hope is that by allowing broad access to the data, we can increase the transparency and liquidity of our credit risk offerings."
The information in the enhanced dataset is provided to help investors better understand the credit performance of loans that Fannie Mae owns or guarantees as the development of the Enterprise's risk sharing program continues.
Last week, Fannie Mae announced a $1.56 billion credit risk sharing transaction under the CAS series, putting the Enterprise over the milestone of $10 billion in notes issued through CAS since the program began in October 2013. In less than two years, Fannie Mae has transferred risk to private investors on single-family mortgage loans with an unpaid principal balance (UPB) of more than $390 billion.
For information on Fannie Mae's approach to credit risk transfer or any of the CAS risk sharing transactions, click here.