...This report details Fitch Ratings' analysis of Freddie Mac's loan-level actual loss dataset and contrasts the historical data with private-label, non-agency loss data. Freddie Mac enhanced its single-family residential loan-level historical dataset in November 2014 with the addition of loan-level loss data. Thus, Freddie Mac increased transparency to the market in anticipation of an actual loss credit offering in 2015. To date, all risk-sharing transactions have passed losses on defaulted loans to investors using a pre-determined, loan loss severity (LS) schedule. Losses Differ in Aggregate: Historical loss severities on liquidated Freddie Mac mortgage loans are higher than those on prime jumbo liquidations and lower than the severities on Alt-A and subprime loans, when comparing the sectors in aggregate. While severities differ, liquidation timelines are comparable among all sectors. Attributes Drive Loss Differences: The differences in historical loss severities between agency and non-agency...
