WASHINGTON, DC—Fannie Mae is offering investors an enhanced Single-Family loan performance dataset to help them prep for its move to an actual loss framework for its Connecticut Avenue Securities (CAS) risk sharing deals. This transition is expected to occur as early as fourth quarter of this year.

The enhanced dataset includes credit performance information and property disposition. Credit activity provided in the dataset includes credit event dates, credit event costs incurred, and recovery proceeds received by Fannie Mae.

The research data will help market participants model Fannie Mae's single-family book of business credit risk, Laurel Davis, vice president for credit risk transfer at Fannie Mae, says in a prepared statement. "Our hope is that by allowing broad access to the data, we can increase the transparency and liquidity of our credit risk offerings."

In an interview earlier this month, Davis told GlobeSt.com that the GSE will move entirely away from its current structure of fixed severity deals as it makes the transition to an actual loss framework.

"We are trying to build liquidity in the program and believe this can best be achieved through regular, consistent offerings," she said. "Our long-term goal for the program has always been to get to an actual loss structure over time so we feel we can build better liquidity by switching the program from fixed severity to actual loss and then sticking with one format."

Earlier this year, Freddie Mac began marketing its first actual loss STACR offering -- paper that is comparable to Fannie Mae's CAS.

The actual loss CAS -- or STACR for that matter – allocated losses to the debt notes based upon the actual losses realized on the related reference obligations. Under the current method, CAS deals allocates losses based upon a fixed severity approach.

Demand is strong for these assets. That first actual loss STACR offering that Freddie Mac marketed this Spring? It was upsized from $720 million to $1.01 billion due to market demand.

"We see actual loss-based risk transfer as more sustainable over the long run than calculated loss risk transfer deals," said Mike Reynolds, Freddie Mac vice president of Credit Risk Transfer at the time. "We look forward to integrating actual loss into future transactions."

Instant Insights /

Fannie Mae Preps Investors for Actual Loss Risk-Sharing Deals

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