Fannie Mae to Release Actual Loss Single-Family Loan Performance Data

Fannie Mae continues to enhance its Single-Family Loan Performance Dataset to provide greater transparency to the market. In early June of this year, Fannie Mae will append to its dataset credit performance information up to and including property disposition. This enhancement supports market participants in further modeling the credit risk of Fannie Mae’s Single-Family book of business in preparation of moving to an actual loss framework for Fannie Mae’s Connecticut Avenue Securities^™ as early as Q4 of this year.  Credit activity provided in the dataset will include credit event dates, credit event costs incurred, and recovery proceeds received by Fannie Mae.

The additional data elements will be made available in each performance file. In order to provide the market assistance with processing this enhancement, Fannie Mae has provided a file layout and sample performance file which reflect pending changes to the dataset. In addition, Fannie Mae has provided an updated draft glossary containing definitions of the new data elements.

In order to capture these enhancements, market participants should download each performance file in the dataset. The June 2015 credit performance update will provide data through Q4 2014, the same time period that was published on April 22, 2015. While this enhancement will occur in Q2 of this year, going forward and in alignment with current practice, this dataset, including the new actual loss data elements, will be updated on a cyclical, quarterly basis beginning with the July 2015 update.

In addition to these performance file enhancements, Fannie Mae will republish the acquisition files. The June 2015 acquisition files update will provide data through Q1 2014, similar to what was published on April 22, 2015, with the exception of a small population of loans that will be removed due to data quality reasons associated with certain of the new actual loss data elements. In order to capture these enhancements, market participants should download each acquisition file in the dataset.

Fannie Mae continuously evaluates its Single-Family Loan Performance Dataset in order to provide additional data fields for analysis and to enhance the ease of use for market participants. Fannie Mae provides this data to help investors model the credit performance of loans owned or guaranteed by Fannie Mae as the company works with the Federal Housing Finance Agency (FHFA) to further develop its credit risk sharing program.

For any questions please contact the Fannie Mae Investor Help Line at 1-800-237-8627 or by e-mail.

Originally published: 06/01/15