All Metrics are weighted using origination UPB.

January 2022

Single Family Loan-Level Dataset

Non-Standard Dataset Summary Statistics

Non-Standard Dataset - Origination Summary Statistics

Year Loan Count Total Original

UPB ($B)

Average Original

UPB ($) Credit Score

Original 

Combined

Loan-to-Value 

(CLTV) Ratio

Original Loan-toValue

(LTV) Ratio

Original Debt-toIncome

(DTI) Ratio

Weighted 

Average

Coupon (WAC)

1999 591,692 73.4 124,035 708 81.5 81.4 33.9 7.2

2000 398,693 50.6 126,911 705 83.7 83.6 35.5 8.2

2001 529,422 78.8 148,906 708 80.7 80.4 33.1 6.9

2002 614,562 99.4 161,763 715 77.2 76.3 31.8 5.9

2003 731,884 123.0 168,083 721 75.9 74.4 32.1 5.0

2004 574,377 101.8 177,270 719 78.3 75.7 34.7 5.2

2005 617,747 119.7 193,718 726 78.4 75.0 35.9 5.7

2006 732,700 154.4 210,762 727 78.6 74.7 36.7 6.5

2007 821,238 174.5 212,500 720 80.4 77.3 38.8 6.5

2008 241,017 56.7 235,292 742 74.4 72.8 38.0 5.9

2009 41,712 8.4 200,272 747 76.5 74.9 34.1 4.7

2010 74,736 21.2 283,038 766 68.3 66.0 32.1 3.8

2011 88,605 26.1 294,316 769 66.5 64.5 31.9 3.3

2012 72,279 19.9 274,966 769 66.3 64.3 30.2 3.0

2013 62,347 16.8 270,120 763 69.5 67.8 32.0 3.1

2014 64,911 17.7 272,974 758 73.3 72.2 34.7 3.5

2015 53,929 15.1 279,081 761 71.7 70.5 34.1 3.4

2016 29,209 7.9 270,797 760 70.8 69.9 34.1 3.3

2017 33,878 9.6 282,118 758 72.1 71.3 35.3 3.6

2018 15,354 4.2 275,512 759 71.4 70.8 35.8 4.2

2019 16,553 4.9 295,166 757 72.9 70.4 35.7 3.9

2020 17,426 5.7 325,192 762 69.5 66.4 32.5 3.0

2021 10,737 3.7 342,252 762 68.4 66.4 32.6 2.6

Total 6,435,008 1,193.4 185,452 726 77.6 75.5 35.0 5.8
2

Non-Standard Dataset - Performance Summary Statistics 1/2

Year Loan 

Count Prepay % 

Cumulative

Default 

Event % 

Outstand

ing % 

Cumulative 

Post-Default

Event 

Repurchase 

Ever 

D120 % 

D120 and 

Pre-D120

Credit 

Event 

Cumulative

Modificatio

n 

Ever 

D180 % 

D180 and 

Pre-D180

Credit 

Event 

Pre-D120

Modificati

on rate 

Cumulativ

e Loss

Amount 

($B)

1999 591,692 97.134% 1.852% 1.014% 0.131% 3.044% 3.200% 0.669% 4.614% 4.649% 0.029% 0.1

2000 398,693 96.898% 2.292% 0.810% 0.292% 3.446% 3.654% 0.808% 5.279% 5.333% 0.048% 0.1

2001 529,422 96.050% 2.663% 1.287% 0.353% 3.829% 4.060% 0.964% 5.149% 5.216% 0.057% 0.2

2002 614,562 95.475% 2.726% 1.798% 0.241% 3.573% 3.839% 1.045% 4.465% 4.537% 0.062% 0.3

2003 731,884 92.913% 3.567% 3.520% 0.164% 4.706% 5.059% 1.573% 5.742% 5.863% 0.083% 0.7

2004 574,377 88.616% 6.304% 5.080% 0.308% 7.951% 8.561% 2.748% 9.330% 9.614% 0.165% 1.4

2005 617,747 80.791% 14.036% 5.173% 0.683% 15.729% 16.954% 4.917% 17.607% 18.123% 0.330% 6.3

2006 732,700 73.517% 22.255% 4.228% 1.603% 24.380% 26.093% 8.061% 26.599% 27.288% 0.565% 15.6

2007 821,238 68.101% 26.900% 4.999% 2.133% 30.621% 32.692% 12.278% 33.511% 34.310% 0.819% 20.3

2008 241,017 82.076% 12.867% 5.057% 1.190% 16.220% 17.353% 6.821% 18.201% 18.619% 0.327% 2.3

2009 41,712 83.134% 2.628% 14.238% 0.146% 7.415% 7.652% 0.868% 8.882% 9.093% 0.060% 0.0

2010 74,736 92.008% 1.101% 6.891% 0.031% 2.136% 2.288% 0.424% 2.578% 2.668% 0.016% 0.0

2011 88,605 92.240% 0.485% 7.275% 0.020% 1.156% 1.231% 0.318% 1.483% 1.519% 0.010% 0.0

2012 72,279 86.941% 0.248% 12.811% 0.032% 0.993% 1.032% 0.195% 1.317% 1.341% 0.008% 0.0

2013 62,347 81.876% 0.277% 17.847% 0.038% 1.395% 1.452% 0.252% 1.819% 1.864% 0.003% 0.0

2014 64,911 83.564% 0.216% 16.221% 0.031% 1.444% 1.480% 0.313% 1.953% 1.970% 0.011% 0.0

2015 53,929 75.032% 0.150% 24.818% 0.019% 1.903% 1.932% 0.267% 2.314% 2.336% 0.006% 0.0

2016 29,209 65.583% 0.151% 34.267% 0.024% 3.297% 3.324% 0.312% 3.766% 3.793% 0.010% 0.0

2017 33,878 67.905% 0.097% 31.997% 0.012% 2.544% 2.571% 0.316% 3.306% 3.327% 0.003% 0.0

2018 15,354 69.370% 0.020% 30.611% 0.007% 2.716% 2.716% 0.280% 3.524% 3.524% 0.000% 0.0

2019 16,553 54.570% 0.000% 45.430% 0.000% 3.987% 3.987% 0.217% 4.615% 4.615% 0.000% 0.0

2020 17,426 21.382% 0.000% 78.618% 0.000% 1.062% 1.062% 0.017% 1.320% 1.320% 0.000% 0.0

2021 10,737 1.891% 0.000% 98.109% 0.000% 0.009% 0.009% 0.000% 0.019% 0.019% 0.000% 0.0

Total 6,435,008 85.465% 9.603% 4.932% 0.696% 11.388% 12.180% 3.956% 13.002% 13.310% 0.254% 47.2

1 Reflects monthly performance data through Sep 30, 2021.

2 Count of loans that prepaid in full or were repurchased prior to default (Zero Balance Code = 01 or 96) divided by Loan Count; partial prepayments (curtailments) are excluded from the 

calculation

3 Count of loans that were terminated in the dataset due to a non-prepayment default event (Zero Balance Code = 02, 03, 09, or 15) divided by Loan Count

4 Count of active loans, divided by Loan Count
3

5 Count of loans that were terminated in the dataset due to a non-prepayment default event and subsequently repurchased (Zero Balance Code = 02, 03, 09, or 15 AND populated 

Defect Settlement Date), divided by Loan Count

6 Count of loans that reached a delinquency status of D120, including at REO Acquisition, divided by loan count.

7 Count of loans that reached a delinquency status of D120, including at REO acquisition, and loans that were terminated in the dataset due to a non-prepayment credit event (Zero 

Balance Code = 02, 03, 09, or 15) divided by Loan Count.

8 Count of loans that were modified divided by Loan Count. Repeat mods on a loan are not part of the calculation.

9 Count of loans that reached a delinquency status of D180, including at REO Acquisition, divided by Loan Count

10 Count of loans that reached a delinquency status of D180, including at REO Acquisition, and loans that were terminated in the dataset due to a non-prepayment credit event (Zero 

Balance Code = 02, 03, 09, or 15) divided by Loan Count.

11 Count of loans that were modified at or before a delinquency status of D120 divided by Loan count. Repeat modifications s on a loan are not part of the calculation.

12 Sum of actual loss column for loans with a non-prepayment credit event (zero balance code = 02, 03, 09, or 15).

Non-Standard Dataset - Performance Summary Statistics 2/2

Year

Total 

Original

UPB 

% of 

Original

UPB Prepaid

UPB-Weighted 

Cumulative

Default Event 

% of Original

UPB 

Remaining

UPB-Weighted 

Cumulative

Post-Default 

Event Defect

UPB 

weighted

Ever 

D120% 

UPB Weighted 

Ever D120

and Pre-D120 

Credit Event% 

UPBWeighted

Cumulative 

Modification 

UPB 

weighted

Ever 

D180%

UPB Weighted 

Ever D180

and Pre-D180 

Credit Event% 

UPB 

Weighted 

Pre-D120

Mod rate 

1999 73.4 90.248% 1.236% 0.308% 0.102% 3.121% 3.142% 0.024% 2.096% 2.186% 0.518%

2000 50.6 94.262% 1.552% 0.270% 0.236% 3.679% 3.713% 0.039% 2.472% 2.594% 0.639%

2001 78.8 92.779% 1.781% 0.427% 0.273% 3.561% 3.600% 0.039% 2.674% 2.814% 0.688%

2002 99.4 90.473% 1.747% 0.640% 0.177% 2.904% 2.944% 0.041% 2.328% 2.484% 0.705%

2003 123.0 82.405% 2.549% 1.481% 0.117% 4.095% 4.174% 0.062% 3.411% 3.639% 1.203%

2004 101.8 78.645% 5.131% 2.391% 0.248% 7.353% 7.584% 0.144% 6.428% 6.883% 2.316%

2005 119.7 71.899% 14.129% 2.747% 0.700% 17.024% 17.519% 0.325% 15.462% 16.626% 4.836%

2006 154.4 66.501% 23.676% 2.549% 1.698% 27.645% 28.352% 0.592% 25.639% 27.359% 8.578%

2007 174.5 62.918% 28.165% 3.095% 2.236% 34.458% 35.256% 0.811% 31.871% 33.895% 12.785%

2008 56.7 77.753% 12.388% 2.802% 1.165% 17.348% 17.749% 0.294% 15.666% 16.702% 6.700%

2009 8.4 79.497% 1.766% 6.495% 0.100% 5.496% 5.667% 0.042% 4.710% 4.899% 0.677%

2010 21.2 83.665% 0.749% 3.070% 0.020% 1.603% 1.666% 0.010% 1.341% 1.465% 0.335%

2011 26.1 81.499% 0.319% 3.438% 0.012% 0.951% 0.977% 0.007% 0.750% 0.808% 0.253%

2012 19.9 72.929% 0.149% 6.641% 0.014% 0.863% 0.872% 0.005% 0.663% 0.688% 0.129%

2013 16.8 71.017% 0.185% 10.960% 0.011% 1.344% 1.368% 0.002% 1.040% 1.083% 0.201%

2014 17.7 76.416% 0.148% 10.496% 0.009% 1.545% 1.559% 0.010% 1.172% 1.200% 0.273%

2015 15.1 68.382% 0.103% 17.250% 0.007% 1.998% 2.011% 0.004% 1.653% 1.673% 0.246%

2016 7.9 61.457% 0.110% 24.971% 0.009% 3.283% 3.306% 0.007% 2.895% 2.918% 0.254%

2017 9.6 64.462% 0.072% 24.604% 0.004% 3.137% 3.155% 0.004% 2.410% 2.433% 0.292%

2018 4.2 69.441% 0.019% 21.970% 0.003% 3.205% 3.205% 0.000% 2.517% 2.517% 0.216%
4

2019 4.9 57.898% 0.000% 36.271% 0.000% 4.881% 4.881% 0.000% 4.298% 4.298% 0.200%

2020 5.7 24.383% 0.000% 71.590% 0.000% 1.344% 1.344% 0.000% 1.096% 1.096% 0.016%

2021 3.7 2.127% 0.000% 96.444% 0.000% 0.025% 0.025% 0.000% 0.014% 0.014% 0.000%

Total 1,193.4 76.691% 10.336% 3.699% 0.757% 13.276% 13.594% 0.271% 11.985% 12.772% 4.302%

1 Reflects monthly performance data through June 30, 2021.

2 Calculated by dividing the ZB removal UPB of all prepaid loans (Zero Balance Code = 01or 96) by the Total Original UPB. 

3 Calculated by dividing the sum of the ZB removal UPB by the Total Original UPB. The calculation does not include Prepayments or pre-default Repurchases (Zero Balance Code = 01 or 

96). 

4 Calculated by dividing the ending UPB of all active loans (for which the Zero Balance Code is null in the terminal record) by the Total Original UPB. The UPB is determined using the 

priority in Footnote 12.

5 Calculated by dividing the sum of the post-default event repurchase UPB by the Total Original UPB, for loans that were terminated due to a non-prepayment default event (see 

Footnote 3) and subsequently repurchased (Zero Balance Code = 02, 03, 09, or 15 AND populated Defect Settlement Date). 

6 Calculated by dividing the ending UPB of all loans that reached a delinquency status of D120, including at REO Acquisition, by the Total Original UPB. The UPB is determined using the 

priority in Footnote 12.

7 Calculated by dividing the ending UPB of all loans that reached a delinquency status as of D120, including at REO Acquisition, and loans that were terminated in the dataset due to a 

non-prepayment credit event (Zero Balance Code = 02, 03, 09, or 15) by the Total Original UPB. The UPB is determined using the priority in Footnote 12.

8 Calculated by dividing the sum of the modification UPB by the Total Original UPB. The modification UPB is the current actual UPB as of the month of modification (modification flag = 

‘Y’). For repeat modifications, the modification UPB of each is included. The UPB is determined using the priority in Footnote 12.

9 Calculated by dividing the ending UPB of all loans that reached a delinquency status of D180, including at REO Acquisition, by the Total Original UPB. The UPB is determined using the 

priority in Footnote 12.

10 Calculated by dividing the ending UPB of all loans that reached a delinquency status as of D180, including at REO Acquisition, and loans that were terminated in the dataset due to a 

non-prepayment credit event (Zero Balance Code = 02, 03, 09, or 15) by

the Total Original UPB. The UPB is determined using the priority in Footnote 12.

11 Calculated by dividing the ending UPB of all loans that were modified at or before D120 by the Total Original UPB. Repeat modifications on a loan are not part of the calculation.

12 If the ending UPB on the terminal record is null, determine the UPB by using the following priority: 1. Use the Current Actual UPB from the previous period; 2. if the Current Actual 

UPB in the previous period is null, use the Original UPB.