Credit Risk Sharing - Commentary

Fannie Mae updates Data Dynamics Hurricane Data

We remain committed to supporting our customers and homeowners impacted by recent Hurricane events, and providing transparency to our investor partners. Data Dynamics® has been updated to reflect additional information on recent hurricane-impacted areas that has been made available by FEMA and other publicly available sources. We are publishing updated deal-level estimates of the percentage of unpaid principal balance (UPB) where the underlying properties are in potentially hurricane-impacted areas based on new information that has been made available.

This updated information under columns labeled 'Potential Harvey (%)', 'Potential Irma ex. PR/VI (%)', 'Only PR/VI (%)' can be found on the "Deal issuance and Performance Data" reports for both Connecticut Avenue Securities (CAS) and Credit Insurance Risk Transfer (CIRT) programs. These columns show deal-level estimates of the percentage of unpaid principal balance in the indicated CAS or CIRT reference pools where the underlying properties are in areas that may have been impacted and are categorized by the following columns: (1) Hurricane Harvey; (2) Hurricane Irma (excluding Puerto Rico and Virgin Islands); and (3) Puerto Rico and Virgin Islands. The filter called 'Filter to Regions of Interest' has also been enhanced to enable users to toggle between 'All', 'None of the above', or any combination of these categories. Additionally, we have made the same column updates to the "CAS Geographic Profile" report, which allows users to drill into the profile and performance at the state level and 3-digit zip code level for our CAS program.

The methodology for deriving the affected population of loans from hurricanes is described below.

  • The FEMA Hazus Damage assessment file is the primary source used to update the affected loan population. Hazus is a nationally applicable standardized methodology developed and distributed by FEMA that contains models for estimating potential losses from earthquakes, floods, and hurricanes. Hazus uses Geographic Information Systems (GIS) technology to estimate physical, economic, and social impacts of disasters. Potential loss estimates analyzed in Hazus includes: (1) physical damage to residential and commercial buildings, schools, critical facilities, and infrastructure; (2) economic loss, including lost jobs, business interruptions, repairs, and reconstruction costs; (3) social impacts, including estimates to shelter requirements, displaced households, and population exposed to scenario floods, earthquakes, and hurricanes.
  • In addition to using the FEMA Hazus data, we supplemented the list of potentially affected loans based on our own information and additional publicly available data, by including:

•  any property in a FEMA-designated flood hazard area within one mile of any location in the HAZUS file;
•  any property in a location with over 1 foot of storm surge according to National Hurricane Center; and
•  any property in a location which experienced Hurricane Force Winds (74 mph winds or higher recorded) as reported by the National Oceanic and Atmospheric Administration (NOAA).
•  In addition, we included any mortgaged property located within 100 yards of the prescribed damage points identified in the Hazus damage assessment file.

As Fannie Mae receives more detailed information from a variety of sources about the impact of the geographic areas and individual properties, we will periodically update this information and reflect this on Data Dynamics.

Fannie Mae is providing this information to assist interested parties to begin to evaluate the impact of the hurricanes in the 2017 season on mortgaged properties securing loans in the identified reference pools (categorized by the particular deal name). However, users should be aware of the highly preliminary and contingent nature of these estimates. They do not purport to include all properties that were impacted by the storm and may include properties that were not impacted. In addition, flooding and other storm related hazards continue to cause damage to properties in surrounding areas, so properties that are not currently impacted may be impacted in the future. In addition, it is not certain that all loans associated with properties impacted by the storm will experience losses, nor is it possible to predict with certainty what the severity of any losses may be.

Market participants may contact the Fannie Mae Investor Help Line at 1-800-2FANNIE, or by e-mail with questions.