...This report details Fitch Ratings' analysis of Fannie Mae's loan-level actual loss dataset and contrasts the historical data with loss severity (LS) schedules used in Fannie Mae's Connecticut Avenue Securities (CAS) risk-sharing transactions. Fannie Mae's loss data are also compared with Freddie Mac's historical loss data, which Fitch had previously analyzed in its special report, "Insights Into Freddie Mac Loan Loss Data" (dated February 2015), available by clicking the link to the left. Fannie Mae enhanced its single-family residential loan-level historical dataset on July 22, 2015 with the addition of loan-level loss data. Thus, Fannie Mae increased transparency to the market in anticipation of an actual loss credit offering in the fourth quarter of 2015. To date, all CAS risk-sharing transactions have passed losses on defaulted loans to investors using a predetermined LS schedule. Actual, Scheduled Severities Comparable: The historical, actual loss severities in the Fannie Mae dataset...
