Fannie Mae Releases Enhanced Single-Family Loan Performance Dataset

Information Will Prepare Market for Actual Loss Credit Risk Sharing Transactions Later in 2015

Callie Dosberg

202-752-3117

WASHINGTON, DC – Fannie Mae (FNMA/OTC) announced today that it is now providing an enhanced Single-Family loan performance dataset, offering greater transparency to the market before the company moves to an actual loss framework for its Connecticut Avenue Securities (CAS) risk sharing deals as early as Q4 2015. The enhanced dataset includes credit performance information up to and including property disposition. 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.  Our hope is that by allowing broad access to the data, we can increase the transparency and liquidity of our credit risk offerings.”

Fannie Mae provides this data to 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.