Enabling quantitative analysis of Fannie Mae’s credit risk sharing datasets
Fannie Mae has worked diligently to become the industry standard-setter in single-family residential mortgage credit risk management. With Data Dynamics™, our goal is to provide the greatest possible transparency into the vast amount of data that Fannie Mae makes available to support our credit risk-sharing programs to allow market participants to analyze our credit performance.
Data Dynamics is Fannie Mae’s credit risk-sharing data analytics web tool. Based on investor feedback, Data Dynamics is designed to allow users to interact with and analyze the historical loan performance data, deal issuance data, and ongoing disclosure data that Fannie Mae makes available to support our credit risk-sharing programs.
The tool will continue to evolve – adding new perspectives and insights. Please visit often, and please share your feedback. Our goal is to continuously enhance the tool to enable you to get the most out of it.
Fannie Mae's Data Dynamics features dynamic drillable analysis of:
Gain insights into historical loan performance trends and relationships to credit performance
Source: Fannie Mae’s Historical Loan Research Dataset
Updated: Quarterly in coordination with the research dataset
View the profile composition for outstanding deals, as well as ongoing monthly performance analysis
Source: Fannie Mae’s Connecticut Avenue Securities™ (CAS) At Issuance and Monthly Remittance Disclosures
Gather insights into potential deal performance by comparing deals across various historical outcomes
Source: Fannie Mae’s Historical Loan Research Dataset and At Issuance and Monthly Remittance Disclosures
Answer questions such as
Historical Performance Data
- How do risk profiles compare across vintages?
- How have loans in different vintages performed over time, from a delinquency, prepay, default, severity, and loss perspective?
- What is the detailed breakdown of net loss, expenses, and proceeds?
- What is the detailed breakdown of net loss across different vintages, risk profiles, and loan attributes?
- What was the outcome for loans of different vintages, risk profiles, or attributes?
CAS Transaction Issuance and Performance
- What is the current and at-issuance risk profile of the loans underlying existing CAS deals?
- How has CAS deal collateral performed through each remittance period?
- What are recovery rates in each remittance period of 30-day, 60-day, 90-day, etc. delinquent loans?
- In which risk buckets is most of the UPB in each CAS deal concentrated?
- How does the profile and performance of each CAS deal compare to that of other CAS deals?
Historical Comparative Analysis
- How would this specific deal have performed with its current risk profile if the reference pool was originated in a different year? (comparative deal)
- How does the total loss of a comparative deal compare across different vintage years?
- How does a specific bond's credit enhancement level compare to the historical loss experience of similar loans?
- What is the shape of a comparative deal's loss curve? How do they differ in shape and magnitude across different vintages?
Fannie Mae’s Historical Loan Performance Research Dataset is a comprehensive dataset that provides extensive credit performance on a subset of loans that Fannie Mae has acquired since 2000. Access it as well as learning resources here.
Fannie Mae’s Monthly CAS disclosure provides remittance reports and loan-level monthly performance data.