Freddie Mac recently announced that it is making available loan-level credit performance data on a portion of the fully amortizing 30-year fixed-rate single-family mortgages the company purchased over the past 13 years. The company is making the single-family performance data available at the direction of its regulator, the Federal Housing Finance Agency (FHFA).
This is part of a larger effort highlighted in the 2013 conservatorship scorecard [PDF], announced by FHFA earlier this month. The historical data will help to increase transparency, which helps investors build more accurate credit performance models in support of potential future single-family credit risk-sharing initiatives highlighted in the scorecard.
“We are releasing a tremendous amount of data that will take a while for credit investors to absorb and develop updated models,” says Donna Corley, senior vice president of Credit Pricing, Structuring and Securitization, Freddie Mac.
“As investors become familiar with Freddie Mac’s Single-Family credit performance they will be in a better position to participate in any potential future credit risk-sharing transactions.”
The dataset only contains loan-level credit performance data on 30-year fixed-rate mortgages. It excludes data on adjustable-rate mortgages, balloon mortgages, initial interest mortgages, government-insured mortgages, relief refinancing mortgages (including Home Affordable Refinance Program, or “HARP”) and other affordable or non-standard mortgages.
Additionally, the dataset covers approximately 15.7 million fully amortizing fixed-rate single-family mortgages originated between January 1, 1999, and December 31, 2011. The data represents approximately 53 percent of Freddie Mac’s total mortgage acquisitions during the same period.
The Single-Family Loan-Level Dataset and FAQs are accessible by visiting the Economics & Housing Research page on Freddiemac.com.
Credit performance information in the new dataset includes delinquencies of up to and including 180-days disclosed through June 30, 2012. Specific credit performance information in the dataset includes voluntary prepayments, repurchased and modified loans, and loans that were short sales, deeds-in-lieu of foreclosure, and foreclosure transfers, including third party sales.
The recent announcement builds on earlier efforts to improve data transparency, including Freddie Mac’s decision to make its multifamily loan-level data available in 2011 and its single family Participation Certificate (PC) delinquent pool-level data in 2010.
For more information, visit www.FreddieMac.com.