Fannie Mae Releases Enhanced Single-Family Loan Performance Dataset
On July 22, 2015, Fannie Mae significantly enhanced its Single-Family Loan Performance credit dataset to provide credit performance information up to and including property disposition. The July release includes the new credit performance data elements in the performance file and updates performance data through Q1 2015. In addition, the release includes acquisition data through Q2 2014 and republishes all acquisition files to remove a small subset of loans due to data quality reasons associated with certain of the new actual loss data elements.
To capture all enhancements, users should download each acquisition and performance file in the dataset.
Fannie Mae's file layout, sample performance file, and glossary have been updated to reflect the enhancements. In addition, the Statistical Summary of the loan acquisition and performance data have been updated and a new table that summarizes Loss/Severity has been added to assist users with reconciling the full population of files.
New Credit Performance Analysis Webinars
As an accompaniment to this latest release, Fannie Mae has prepared two webinars to review the new data elements and to show participants how we compile the data files to produce the related Statistical Summaries.
Fannie Mae is providing loan performance data on a portion of its single-family mortgage loans to promote better understanding of the credit performance of Fannie Mae mortgage loans.
The population includes a subset of Fannie Mae’s 30-year, fully amortizing, full documentation, single-family, conventional fixed-rate mortgages. This dataset does not include data on adjustable-rate mortgage loans, balloon mortgage loans, interest-only mortgage loans, mortgage loans with prepayment penalties, government-insured mortgage loans, Home Affordable Refinance Program (HARP) mortgage loans, Refi Plus™ mortgage loans, and non-standard mortgage loans. Certain types of mortgage loans (e.g., mortgage loans with LTVs greater than 97 percent, Alt-A, other mortgage loans with reduced documentation and/or streamlined processing, and programs or variances that are ineligible today) have been excluded in order to make the dataset more reflective of current underwriting guidelines. Also excluded are mortgage loans originated prior to 1999, mortgage loans subject to long-term standby commitments, sold with lender recourse or subject to other third-party risk-sharing arrangements, or were acquired by Fannie Mae on a negotiated bulk basis.
The initial population of mortgage loans represents Fannie Mae acquisitions between January 1, 2000 and March 31, 2012 with corresponding monthly performance data as of December 31, 2012. Every quarter following the initial release, Fannie Mae will update the acquisition data to include a new quarter of acquired mortgage loans as of the prior year in addition to providing updated performance data as of the previous quarter. Fannie Mae will release updated information on or after the 20th of the month following the end of the quarter.
The loan performance data is available here. Fannie Mae requires the user to register and create a unique username and password in order to access the performance data. An email will be sent to the user to confirm registration. The user is also required to accept the Terms and Conditions, which, among other things, prohibits the user from distributing data to third parties or using it in support of external commercial purposes without the express written consent of Fannie Mae. For more information regarding external commercial use or redistribution of this data, please contact Fannie Mae's Fixed-Income Marketing at 1-800-237-8627 or by email.
Due to the size of the data files, we do not recommend loading the data into Microsoft Office Excel. One should consider using a recognized third-party database management system to load and access the data as basic spreadsheet applications may result in the loss or incomplete capture of the file. Sample acquisition and performance data files are available to assist users with database setup. For user convenience, a Download History section on the website provides a list of the files the user has previously requested for download. File download is capped at 60 files per hour. Download speeds may vary depending on demand.
The loan performance data is divided into two text files for each acquisition quarter. The “Acquisition” file includes static data at the time of a mortgage loan’s origination and delivery to Fannie Mae. The “Performance” file contains the monthly performance data of each mortgage loan from the time of Fannie Mae’s acquisition up until its current status as of the previous quarter, until the mortgage loan has been liquidated (e.g., paid-off, repurchased, short sale, etc.), or in the event of a real estate owned (REO) property, until after expenses and proceeds are collected upon disposal of the property. Certain data attributes also will be updated to reflect new terms, if applicable, as a result of a modification. Complete definitions of the data elements are in the glossary (PDF).
During quarterly updates, Fannie Mae will refresh the last three years of acquisition data to reflect any data corrections resulting from ongoing quality assurance efforts. Corrections could result in the addition or removal of mortgage loans from the original population. In addition, performance data will also reflect changes if servicing corrections had been made in the previous quarter.
Fannie Mae relies on its sellers and servicers to provide complete and accurate data. In cases where the data is unavailable, Fannie Mae will leave that value blank.