Freddie Mac plans to start making available more timely and detailed monthly pool-level delinquency disclosures on its MBS participation certificate and Giant PC securities.
This is a move, the GSE said, that might aid market participants in modeling prepayment speeds.
The disclosures will be available starting in January and will provide the loan count and associated aggregate unpaid principal balances for certain categories of distressed loans in each PC and Giant PC. The categories are: 30-59 days delinquent, 60-89 days delinquent, 90-119 days delinquent and 120 days or more delinquent.
In addition, the disclosures will provide information about certain seriously delinquent loans purchased by Freddie from each PC and Giant PC. This information will consist of the loan count and aggregated UPB of these purchased loans.
Principal payments related to the loans purchased out of pools will be passed through to fixed-rate security holders on the payment date in the current month, and passed on to adjustable rate security holders on the payment date in the following month.
Freddie Mac buys loans from pools when loans are 120 days or more delinquent and the cost of making guarantee payments on the securities they collateralize, including advances of interest, exceeds the cost of holding such loans in its portfolio. The GSE also buys loans from pools when loans are 120 days or more delinquent and those loans have remained delinquent for a total of 24 months.
Ginnie Mae also has expanded its monthly MBS disclosures to include the number and percentage of purchase, refinanced and modified loans in Ginnie pools.
Starting in February, the disclosures will break out Home Affordable Modification Program (HAMP) modifications from proprietary modifications.
A Fannie Mae spokeswoman had not responded to a call for comment at press time.