Fannie Mae Increases Loan-Level Transparency for its Connecticut Avenue Securities

September 15, 2017


Fannie Mae continues to enhance its Connecticut Avenue Securities (CAS) disclosure data set based on investor feedback and to provide greater transparency to the market. In October 2017, Fannie Mae will introduce eight new data attributes as well as make enhancements to current fields in order to improve investors’ ability to monitor their investments in the CAS program. The eight new data attributes are:

  • Delinquent Accrued Interest - The portion of scheduled interest payments that are past due on the existing mortgage loan.
  • Foreclosure Principal Write-off amount - The principal amount that Fannie Mae or its loan servicers have determined to be uncollectable under applicable state laws, due to foreclosure statute of limitations.
  • High Balance Loan Indicator - An indicator that denotes if the original principal balance of a mortgage loan is greater than the general conforming loan limit and up to the high-cost area loan limit.
  • Loan Holdback Indicator - An indicator that denotes if certain data elements of a reference loan are not currently or have not been previously provided in order to allow Fannie Mae to evaluate potential data changes to ensure accurate deal administration.
  • Loan Holdback Effective Date - The date of the latest Loan Holdback indicator change.
  • Property Inspection Waiver Indicator - An indicator that denotes if the appraisal requirement for a mortgage loan has been waived.
  • Relocation Mortgage Indicator - An indicator that denotes if the loan is a relocation mortgage loan, in which an employer enters into an agreement with a lender to make mortgage loans to employees who are moving to new job locations.
  • Zero Balance Code Change Date - The most recent date in which a loan status change was identified, resulting from corresponding change to the Zero Balance Code.

We have enhanced the Zero Balance Code to separately distinguish a Short Sale, Third Party Sale, or Note Sale. Previously, these three events were identified collectively under the Zero Balance Code 03. In addition, we have added a code to represent Reperforming Loan Sale.

Further, we began to include a HomeReady® Program Indicator with our CAS 2017-C04 deal, which is highlighted in the file layout.

In addition to these attributes, we have combined the fixed severity file format (CAS 2013-C01 through 2015-C03) with the actual loss file format (CAS 2015-C04 and forward deals) to generate one file format. This standardized file layout will be used going forward and made available for all outstanding CAS deal prior reporting periods. To assist users in processing these enhancements, we have updated the file layout and included an updated glossary to reflect the definitions of the new data attributes. 

We also anticipate releasing Credit Insurance Risk Transfer(CIRT) disclosure data in the near future.  The CIRT dataset will leverage the same file layout format as the CAS dataset. In order to facilitate data download we anticipate providing a one-click download option for these datasets.

Our unique analytical tool, Data Dynamics®, was created to help investors model the credit performance of loans owned or guaranteed by Fannie Mae as we work to further develop our credit risk sharing programs. Visit our webpages to learn more about our programs and our industry-leading approach to credit risk management.

Please contact the Fannie Mae Investor Help Line at 1-800-2Fannie, Option 2, or by e-mail with any questions.