"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,” said 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."
Freddie Mac said it is releasing the data now to give potential credit investors enough time to become familiar with Freddie Mac's actual loss performance. The agency expects to introduce an actual loss credit offering in its ACIS reinsurance and STACR programs next year.
In addition to loan level loss information as expenses and recoveries, the dataset includes 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, and other affordable or non-standard mortgages.
The dataset covers approximately 17 million 30-year fixed-rate mortgages originated between January 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 December 31, 2013.
Freddie Mac has added loan-level actual loss data to its single-family, loan-level historical dataset in an effort to increase investor transparency. The enhanced dataset will help investors build more accurate credit performance models in support of the company's single-family credit risk offerings, according to the government-sponsored enterprise.