The expanded dataset will now feature loan-level loss information as expenses and recoveries. 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.
The dataset covers approximately 17 million 30-year, fixed-rate single-family mortgages originated between Jan. 1, 1999, and June 30, 2013. Actual loss and monthly loan performance data, including credit performance information up to and including property disposition, is being disclosed through Dec. 31, 2013.
Adding the loan-level data will help investors build more accurate credit performance models in support of Freddie Mac's single-family credit risk offerings, the company says in a release.
‘It is important for investors to have this expanded view of credit risk, especially as we continue to grow and evolve our credit risk offerings,’ says Kevin Palmer, vice president of single-family strategic credit costing and structuring for Freddie Mac. ‘Having data openly available in the marketplace allows us to expand the amount of risk transferred to private investors.’
The government-sponsored enterprise also plans to introduce an actual loss credit offering in its ACIS reinsurance and STACR programs next year, Palmer informs.
‘We are releasing this data now to give potential credit investors sufficient time to get familiar with Freddie Mac's actual loss performance,’ he adds.