Credit Risk Sharing - Commentary

Data Dynamics Provides Insight into Hurricane Florence

Fannie Mae stands with those affected by Hurricane Florence and is focused on providing support and assistance to our customers and homeowners as well as providing transparency to our investor partners. In response to the recent events surrounding Hurricane Florence, we have enhanced Data Dynamics® to provide transparency to the market community to assist in analysis of our Connecticut Avenue Securities® (CAS) and Credit Insurance Risk Transfer (CIRT) programs.

  • Data Dynamics FlorenceOur recent update includes a new column entitled "Florence FEMA UPB (%)" 1 and an ability to filter on the "Florence FEMA counties" 1 as a region of interest. This information can be found on the "Deal issuance and Performance Data" reports for both the Connecticut Avenue Securities (CAS) and Credit Insurance Risk Transfer (CIRT) programs (click image on right to view full size).
  • As a reminder, we also include a column that displays deal-level percentages of UPB in the indicated CAS or CIRT reference pools where the underlying properties, as reported to us by lenders based on their data at the time of origination, are located in the Special Flood Hazard Area (SFHA) designated by the US Federal Emergency Management Agency (FEMA).
  • In addition, our Geographic Profile Dashboard enables market participants to drill down into the profile and performance at a state-level, an aggregate three-digit zip code level or five-digit zip code level of interest. Drill downs include both loan count and percent of total unpaid principal balance (UPB). To evaluate exposure to potentially impacted hurricane regions using:
    • Data Dynamics Three Digit Zip CodeA three digit zip code across multiple deals (click image on right to view full size):
      1. Select either "CAS Geographic Profile" under the CAS tab or "CIRT Geographic Profile" under the CIRT tab within Data Dynamics
      2. On any tab, set the "State" drop-down to "All"
      3. Uncheck "All" within the "3-Digit Zip" drop-down and select the three digit zip codes related to the hurricane-impacted regions
    • Zip 5 DashboardOur recently released Zip 5 Dashboard on a single deal (click image on right to view full size)
      1. Select either "CAS Geographic Profile" under the CAS tab or "CIRT Geographic Profile" under the CIRT tab within Data Dynamics
      2. Select the "Zip 5 Dashboard" tab across the top of the dashboard
      3. Set the "State" drop-down to "All"
      4. Select "Deal" and choose a deal to analyze
      5. Select "5-Digit Zip" and select the zip codes related to the hurricane-impacted regions

Due to borrower privacy we use a filtering logic, defined on the dashboard, which limits the granularity of the 5-digit zip. As a result, in some instances only "3-digit zip" or "OTHER" may be available.

Fannie Mae is providing this information to assist market participants to begin to evaluate the impact of Hurricane Florence 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.

We're committed to providing transparency information to our investor partners. Please reach out to the Fannie Mae Investor Help Line at 1-800-232-6643 or by e-mail with feedback or questions.

1 As noted on the Federal Emergency Management Assistance (FEMA) webpages: https://www.fema.gov/disaster/4393.