Introduction

Universe is Fannie Mae and Freddie Mac Loan Level Public Datasets, comprising a subset of the all the fixed rate loans acquired by these Agencies

FNMA Performance Table

Factors

The pool factor is calculated by summing the remaining outstanding UPB (Unpaid Balance) of the selected origination vintage and period and dividing by the sum of the Original UPB of the origination vintage.

Henceforth data points corresponding to current balance <$50M are not displayed.

Delinquencies

30-Day Delinquency (D30)

This value is calculated by aggregating the total outstanding UPB of all loans that are D30 in the period and dividing by the outstanding UPB of loans in that period.

The Cumulative D30 Rate is calculated by aggregating the running total of the outstanding UPB of each loan that has its first D30 event and dividing by the total sum of the original UPB in that origination vintage.

60-Day Delinquency (D60)

A loan is considered D60 if it has been reported delinquent for 2 consecutive months.

90+ Day Delinquency (D90+)

A loan is considered D90+ if it has been reported delinquent for at least 3 consecutive months. This value is calculated by aggregating the total outstanding UPB of all loans that are D90+ in the period and dividing by the outstanding UPB of loans in that period.

120+ Day Delinquency (D120+)

150+ Day Delinquency (D150+)

D180+ or pre-D180 Credit Event

A credit event is defined as a loan that is reported delinquent for six months or defaults prior to becoming 6 months delinquent. This value is calculated by aggregating the running total of the outstanding UPB for loans that have been flagged as having undergone a credit event by the above definition and dividing by the total Original UPB in that origination vintage, which includes loans that have prepaid, repurchased or defaulted previously.

Voluntary Prepayments

Single Month Mortality

This value is calculated by aggregating the voluntary prepayments (voluntary pay downs in full and curtailments) in the selected period divided by the sum of the prior period origination vintage outstanding UPB less the scheduled principal amount. Voluntary cash flows are clasified as

  • Prepaid in Full or Matured,
  • Repurchased,
  • Reperforming Loan Sale, or
  • Curtailments.

The scheduled payment amount is derived using the original UPB of the loan, original term and interest rate. The scheduled principal is the scheduled payment less the scheduled interest payment. The curtailment amount is derived as the prior period UPB less the current period UPB and scheduled principal amount.

FN Min. 1st Qu. Median Mean 3rd Qu. Max. 0.0000 0.9102 1.2677 Inf 1.7875 Inf FH Min. 1st Qu. Median Mean 3rd Qu. Max. 0.0000 0.5044 1.1969 1.2709 1.6833 12.8137

Curtailments

Cumulative Voluntary Prepay (Paidoff in Full)

For purposes of this calculation, prepayment is a voluntary pay down of the loan in full. This value is calculated by aggregating the running total of the Unpaid Principal Balance (UPB) that has prepaid in full and dividing by the total sum of the Original UPB in that origination vintage. The cumulative prepayment amount does not include voluntary curtailments.

Cumulative Repurchase

A loan is considered repurchased when it has been repurchased by a seller/servicer. This value is calculated by aggregating the running total of UPB that has been repurchased and dividing by the total sum of the Original UPB in that origination vintage.

Default, Loss and Severity

Monthly Default Rate (MDR)

A loan in default is identified by the disposition codes for

  • REO,
  • Short Sale,
  • Third-Party Sale or
  • Mortgage Release (Non-performing Loan Sale).

The MDR value is calculated by aggregating the UPB of the loans in default in the current period and dividing by the sum of the total UPB from the prior period.

REO

This is the contribution to the MDR of the loans that have gone to REO.

Third Party Sale

Contribution to the MDR of the loans that have have had a third party sale.

Short Sale

Contribution to the MDR of the loans that have have had a short sale.

Non-Performing Loan

Contribution to the MDR of the loans that have have had a loan repurchase due to non-performing.

Net Loss Rate

The net loss is defined as the loss realized on loans as a result of a disposition (REO, short sale, third-party sale or mortgage release), net of any proceeds. This value is calculated by aggregating the running sum of the net loss amount and dividing by the total Original UPB in that origination vintage.

Severity

This value is calculated by summing the net loss and dividing by the sum of defaulted UPB in the selected period.