Fannie Mae  releases historical performance data that provides the market with the ability to analyze the performance of approximately 700,000 loans in Fannie Mae’s book of business that were modified due to delinquency, according to an announcement from the company. The report states that this population includes modified loans that are current, delinquent, or liquidated post-modification.
According to Fannie Mae, this data is being released in conjunction to the re-performing loan (RPL) securitization program announced earlier this year in April 2016.
The report states that the population of loans in this particular dataset is made up of single-family loans that had been permanently modified between January 1, 2010 and December 31, 2015 into step-rate or fixed-rate mortgages, with modification terms from 180 to 480 months.
These were revised under various modification programs, including HAMP and Streamlined Modifications and certain mortgage loans, including government mortgage loans, non fixed-rate or step rate monthly paying loans, and modified loans allowing for forbearance, were excluded from the dataset.
It is noted that the performance data for the modified single-family loans in the dataset has been divided into two text files categorized as Loan Detail and Performance. For the Loan Detail file, data includes static mortgage loan data at the time of the mortgage loan’s modification as well as the loan’s initial origination.
In regards to the Performance file, it provides the monthly performance data for each mortgage loan from its first payment date per the modification terms through March 2016, or until a voluntary or involuntary prepayment for the loans become 120+ days delinquent six months after the modification. Additionally, the Performance file contains approximately 25 million records related to performance information.
“We are pleased to share this data, which will enable investors to better understand the expected performance of Agency MBS backed by our re-performing loans,” said Bob Ives, Head of Retained Portfolio Asset Management, Fannie Mae.