Freddie to add loan-level loss data to historical dataset

November 25, 2014

McLEAN, Va. (11/26/14)--Freddie Mac will begin including loan-level actual loss to its single family loan-level historical dataset, it announced Tuesday.

According to a release, the enhanced dataset will increase transparency and help investors build more accurate credit performance models in support of Freddie's single-family credit risk offerings.

"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. Having data openly available in the marketplace allows us to expand the amount of risk transferred to private investors," said Kevin Palmer, vice president of single-family strategic credit costing and structuring for Freddie.

"We expect to introduce an actual loss credit offering in our [Agency Credit Insurance Structure] reinsurance and [Structured Agency Credit Risk] programs next year. We are releasing this data now to give potential credit investors sufficient time to get familiar with Freddie Mac's actual loss performance," he added.

The dataset, which was first made available in March 2013, also contains loan-level credit performance data on 30-year fixed-rate single-family mortgages. It excludes data on adjustable-rate mortgages, balloon mortgages, initial interest mortgages, government-insured mortgages, relief refinancing mortgages and other affordable or non-standard mortgages.

The dataset covers roughly 17 million 30-year fixed-rate single-family mortgages originated between Jan. 1, 1999, and June 30, 2013.