Broad-based inclusion of loan-level information offers added transparency to the mortgage marketplace.
Equifax Inc. announced the expansion of its ground-breaking 2015 agreement enabling Fannie Mae to disclose monthly updated, anonymous, loan-level credit scores on all outstanding Connecticut Avenue Securities™ (CAS). Initially provided for the most recent two CAS deals and deals going forward, Fannie Mae and Equifax will now provide this additional disclosure for all of Fannie Mae’s CAS deals. The information is expected be made available to investors on or before May 25, 2016.
Separately, Equifax’s supplemental dataset of anonymous, loan-level borrower credit variables matched to loans referenced in CAS transactions will also be expanded to the entire CAS program in the same timeframe. This dataset, known as ‘CRI for CAS,’ enables the analysis of borrowers’ credit behavior apart from their performance on the mortgage loans referenced in CAS transactions. CRI for CAS includes a number of Trended Credit Data attributes that are derived from historical time series tradeline-level consumer credit information.
Connecticut Avenue Securities (CAS): Fannie Mae creates and offers for sale credit risk sharing securities to sophisticated institutional investors, which provide an opportunity to invest in a portion of the credit risk that Fannie Mae retains when we guarantee our single-family mortgage-backed securities (MBS).
When Fannie Mae issues fully guaranteed single-family MBS, it retains all of the credit (mortgage default) risk associated with losses on the underlying mortgage loans. In return for taking on that risk, Fannie Mae receives a guaranty fee from the lender that sold the loans to Fannie Mae. When Fannie Mae issues credit risk transfer securities, we transfer some of the retained credit risk to private market investors.
Source: Equifax Press Release