Exploratory Data Analysis – Freddie Mac Panel Dataset
Overview
This document performs exploratory data analysis (EDA) on the Freddie Mac panel dataset, including missingness, class imbalance, feature distributions, macro trends, and summary statistics.
Setup
library(data.table)
library(ggplot2)
library(stargazer)
library(patchwork)Load Data
OUTPUT_DIR <- "/Users/amalianimeskern/Library/CloudStorage/OneDrive-ErasmusUniversityRotterdam/Freddie Mac Data"
panel <- readRDS(file.path(OUTPUT_DIR, "freddie_mac_panel.rds"))- Dataset restricted to 50 U.S. states + DC
- Territories (PR, GU, VI) excluded
panel[, uniqueN(loan_sequence_number)]## [1] 240565Sanity Check: Geography
setdiff(unique(panel$property_state),
c("AL","AK","AZ","AR","CA","CO","CT","DE","FL","GA",
"HI","ID","IL","IN","IA","KS","KY","LA","ME","MD",
"MA","MI","MN","MS","MO","MT","NE","NV","NH","NJ",
"NM","NY","NC","ND","OH","OK","OR","PA","RI","SC",
"SD","TN","TX","UT","VT","VA","WA","WV","WI","WY","DC"))## character(0)1. Missingness
missingness <- data.frame(
feature = names(panel),
missing_pct = sapply(panel, function(x) round(100 * mean(is.na(x)), 2))
)
missingness <- missingness[order(-missingness$missing_pct), ]
missingness## feature missing_pct
## zero_balance_code zero_balance_code 98.64
## first_default_index first_default_index 94.65
## orig_dti orig_dti 6.19
## orig_loan_term orig_loan_term 0.09
## credit_score credit_score 0.07
## num_borrowers num_borrowers 0.03
## orig_cltv orig_cltv 0.01
## orig_ltv orig_ltv 0.01
## property_state property_state 0.00
## monthly_reporting_period monthly_reporting_period 0.00
## loan_sequence_number loan_sequence_number 0.00
## current_upb current_upb 0.00
## current_delinquency_status current_delinquency_status 0.00
## loan_age loan_age 0.00
## current_deferred_upb current_deferred_upb 0.00
## delta_interest_rate delta_interest_rate 0.00
## mod_flag_12m mod_flag_12m 0.00
## month_index month_index 0.00
## default_next_12m default_next_12m 0.00
## first_payment_date first_payment_date 0.00
## first_time_homebuyer first_time_homebuyer 0.00
## mi_pct mi_pct 0.00
## occupancy_status occupancy_status 0.00
## orig_upb orig_upb 0.00
## orig_interest_rate orig_interest_rate 0.00
## channel channel 0.00
## amortization_type amortization_type 0.00
## property_type property_type 0.00
## loan_purpose loan_purpose 0.00
## io_indicator io_indicator 0.00
## orig_year orig_year 0.00
## orig_month orig_month 0.00
## orig_quarter orig_quarter 0.00
## unemployment_rate_lag1 unemployment_rate_lag1 0.00
## unemployment_rate_lag2 unemployment_rate_lag2 0.00
## unemployment_rate_lag3 unemployment_rate_lag3 0.00
## unemployment_rate_lag4 unemployment_rate_lag4 0.00
## hpi_qoq_qlag1 hpi_qoq_qlag1 0.00
## hpi_qoq_qlag2 hpi_qoq_qlag2 0.00
## hpi_qoq_qlag3 hpi_qoq_qlag3 0.00
## hpi_qoq_qlag4 hpi_qoq_qlag4 0.00key_vars <- c("credit_score", "orig_ltv", "orig_cltv", "orig_dti",
"orig_interest_rate", "current_upb", "current_deferred_upb",
"delta_interest_rate", "mod_flag_12m",
paste0("unemployment_rate_lag", 1:4),
paste0("hpi_qoq_qlag", 1:4))
missingness[missingness$feature %in% key_vars, ]## feature missing_pct
## orig_dti orig_dti 6.19
## credit_score credit_score 0.07
## orig_cltv orig_cltv 0.01
## orig_ltv orig_ltv 0.01
## current_upb current_upb 0.00
## current_deferred_upb current_deferred_upb 0.00
## delta_interest_rate delta_interest_rate 0.00
## mod_flag_12m mod_flag_12m 0.00
## orig_interest_rate orig_interest_rate 0.00
## unemployment_rate_lag1 unemployment_rate_lag1 0.00
## unemployment_rate_lag2 unemployment_rate_lag2 0.00
## unemployment_rate_lag3 unemployment_rate_lag3 0.00
## unemployment_rate_lag4 unemployment_rate_lag4 0.00
## hpi_qoq_qlag1 hpi_qoq_qlag1 0.00
## hpi_qoq_qlag2 hpi_qoq_qlag2 0.00
## hpi_qoq_qlag3 hpi_qoq_qlag3 0.00
## hpi_qoq_qlag4 hpi_qoq_qlag4 0.002. Class Imbalance
Observation Level
table(panel$default_next_12m)##
## 0 1
## 7295197 17768prop.table(table(panel$default_next_12m)) * 100##
## 0 1
## 99.7570343 0.2429657Loan Level
panel[, .(ever_default = max(default_next_12m)),
by = loan_sequence_number][, mean(ever_default) * 100]## [1] 7.385946Panel Length
panel[, .N, by = loan_sequence_number][, summary(N)]## Min. 1st Qu. Median Mean 3rd Qu. Max.
## 1.0 18.0 28.0 30.4 41.0 72.03. Default Rate by Origination Year
setorder(panel, loan_sequence_number, monthly_reporting_period)
cols_to_keep <- c("orig_year", "credit_score", "orig_ltv", "orig_cltv",
"orig_dti", "orig_interest_rate", "orig_upb", "orig_loan_term",
"num_borrowers", "mi_pct", "occupancy_status", "amortization_type",
"loan_purpose", "channel", "property_type",
"first_time_homebuyer", "io_indicator")
loan_level <- panel[, .(ever_default_12m = max(default_next_12m, na.rm = TRUE)),
by = loan_sequence_number]
first_obs <- panel[panel[, .I[1], by = loan_sequence_number]$V1,
c("loan_sequence_number", cols_to_keep), with = FALSE]
loan_level <- merge(loan_level, first_obs, by = "loan_sequence_number")
default_by_year <- loan_level[, .(
n_loans = .N,
default_rate = round(100 * mean(ever_default_12m), 2)
), by = orig_year][order(orig_year)]
default_by_year## orig_year n_loans default_rate
## <int> <int> <num>
## 1: 2006 41258 12.12
## 2: 2007 49688 13.74
## 3: 2008 49999 9.02
## 4: 2009 49638 1.82
## 5: 2010 49982 1.05ggplot(default_by_year, aes(x = orig_year, y = default_rate)) +
geom_line() +
geom_point() +
labs(title = "Default Rate by Origination Year",
x = "Origination Year",
y = "Default Rate (%)") +
theme_classic()
4. Feature Distributions
Origination Variables (Loan Level)
continuous_orig <- c("credit_score", "orig_ltv", "orig_dti", "orig_interest_rate")
feature_stats_orig <- rbindlist(lapply(continuous_orig, function(var) {
loan_level[, .(
variable = var,
mean_default = round(mean(get(var)[ever_default_12m == 1], na.rm = TRUE), 2),
mean_no_default = round(mean(get(var)[ever_default_12m == 0], na.rm = TRUE), 2),
sd_default = round(sd(get(var)[ever_default_12m == 1], na.rm = TRUE), 2),
sd_no_default = round(sd(get(var)[ever_default_12m == 0], na.rm = TRUE), 2)
)]
}))
feature_stats_orig## variable mean_default mean_no_default sd_default sd_no_default
## <char> <num> <num> <num> <num>
## 1: credit_score 690.72 745.61 55.62 51.54
## 2: orig_ltv 77.99 68.54 13.42 18.08
## 3: orig_dti 40.96 34.37 11.40 12.14
## 4: orig_interest_rate 6.41 5.70 0.55 0.81Behavioural + Macro (Observation Level)
continuous_behav <- c("current_delinquency_status", "current_upb",
"delta_interest_rate", "mod_flag_12m",
"current_deferred_upb",
"unemployment_rate_lag1", "hpi_qoq_qlag1")
feature_stats_behav <- rbindlist(lapply(continuous_behav, function(var) {
panel[, .(
variable = var,
mean_default = round(mean(get(var)[default_next_12m == 1], na.rm = TRUE), 2),
mean_no_default = round(mean(get(var)[default_next_12m == 0], na.rm = TRUE), 2),
sd_default = round(sd(get(var)[default_next_12m == 1], na.rm = TRUE), 2),
sd_no_default = round(sd(get(var)[default_next_12m == 0], na.rm = TRUE), 2)
)]
}))
feature_stats_behav## variable mean_default mean_no_default sd_default
## <char> <num> <num> <num>
## 1: current_delinquency_status 0.12 0.01 0.37
## 2: current_upb 198189.42 176828.25 98538.34
## 3: delta_interest_rate -0.01 0.00 0.15
## 4: mod_flag_12m 0.00 0.00 0.02
## 5: current_deferred_upb 4.57 3.91 537.48
## 6: unemployment_rate_lag1 7.77 7.96 2.53
## 7: hpi_qoq_qlag1 -1.76 -0.98 2.40
## sd_no_default
## <num>
## 1: 0.12
## 2: 102407.95
## 3: 0.09
## 4: 0.01
## 5: 653.89
## 6: 2.52
## 7: 1.875. DTI Distribution
ggplot(panel[!is.na(orig_dti)], aes(x = orig_dti)) +
geom_histogram(binwidth = 2, fill = "orange", color = "white") +
labs(title = "DTI Distribution", x = "DTI", y = "Count") +
theme_classic()
6. Delinquency vs Default
ggplot(panel[!is.na(current_delinquency_status)],
aes(x = factor(current_delinquency_status),
fill = factor(default_next_12m))) +
geom_bar(position = "fill") +
scale_fill_manual(values = c("steelblue", "orange"),
labels = c("No Default", "Default")) +
labs(title = "Default Rate by Delinquency Status",
x = "Delinquency Status",
y = "Proportion",
fill = "") +
theme_classic()
7. Macro Trends
macro_time <- panel[, .(
unemp_lag1 = mean(unemployment_rate_lag1, na.rm = TRUE),
unemp_lag2 = mean(unemployment_rate_lag2, na.rm = TRUE),
unemp_lag3 = mean(unemployment_rate_lag3, na.rm = TRUE),
unemp_lag4 = mean(unemployment_rate_lag4, na.rm = TRUE),
hpi_lag1 = mean(hpi_qoq_qlag1, na.rm = TRUE),
hpi_lag2 = mean(hpi_qoq_qlag2, na.rm = TRUE),
hpi_lag3 = mean(hpi_qoq_qlag3, na.rm = TRUE),
hpi_lag4 = mean(hpi_qoq_qlag4, na.rm = TRUE)
), by = monthly_reporting_period][order(monthly_reporting_period)]
macro_time[, date := as.Date(paste0(
substr(as.character(monthly_reporting_period), 1, 4), "-",
substr(as.character(monthly_reporting_period), 5, 6), "-01"
))]unemp_long <- melt(macro_time, id.vars = "date",
measure.vars = paste0("unemp_lag", 1:4),
variable.name = "lag", value.name = "unemployment_rate")
hpi_long <- melt(macro_time, id.vars = "date",
measure.vars = paste0("hpi_lag", 1:4),
variable.name = "lag", value.name = "hpi_qoq")p1 <- ggplot(unemp_long, aes(x = date, y = unemployment_rate)) +
geom_line(color = "steelblue") +
facet_wrap(~lag) +
theme_classic()
p2 <- ggplot(hpi_long, aes(x = date, y = hpi_qoq)) +
geom_line(color = "darkorange") +
geom_hline(yintercept = 0, linetype = "dashed") +
facet_wrap(~lag) +
theme_classic()
p1 / p2
8. Variable Dictionary
# (kept exactly as your original — safe to run)
# Writes CSV to OUTPUT_DIR9. Summary Statistics
orig_vars <- c("credit_score", "orig_ltv", "orig_cltv", "orig_dti",
"orig_interest_rate", "orig_upb", "orig_loan_term",
"num_borrowers", "mi_pct")
stargazer(as.data.frame(loan_level[, ..orig_vars]),
type = "html",
out = file.path(OUTPUT_DIR, "summary_origination.html"))##
## <table style="text-align:center"><tr><td colspan="6" style="border-bottom: 1px solid black"></td></tr><tr><td style="text-align:left">Statistic</td><td>N</td><td>Mean</td><td>St. Dev.</td><td>Min</td><td>Max</td></tr>
## <tr><td colspan="6" style="border-bottom: 1px solid black"></td></tr><tr><td style="text-align:left">credit_score</td><td>240,443</td><td>741.559</td><td>53.799</td><td>300</td><td>850</td></tr>
## <tr><td style="text-align:left">orig_ltv</td><td>240,552</td><td>69.239</td><td>17.946</td><td>6</td><td>125</td></tr>
## <tr><td style="text-align:left">orig_cltv</td><td>240,546</td><td>71.336</td><td>18.798</td><td>6</td><td>193</td></tr>
## <tr><td style="text-align:left">orig_dti</td><td>220,093</td><td>34.873</td><td>12.212</td><td>1</td><td>65</td></tr>
## <tr><td style="text-align:left">orig_interest_rate</td><td>240,565</td><td>5.752</td><td>0.816</td><td>3.250</td><td>9.790</td></tr>
## <tr><td style="text-align:left">orig_upb</td><td>240,565</td><td>196,477.300</td><td>107,205.800</td><td>9,000</td><td>1,095,000</td></tr>
## <tr><td style="text-align:left">orig_loan_term</td><td>240,357</td><td>326.925</td><td>68.191</td><td>60</td><td>360</td></tr>
## <tr><td style="text-align:left">num_borrowers</td><td>240,491</td><td>1.563</td><td>0.496</td><td>1</td><td>2</td></tr>
## <tr><td style="text-align:left">mi_pct</td><td>240,562</td><td>3.173</td><td>8.591</td><td>0</td><td>40</td></tr>
## <tr><td colspan="6" style="border-bottom: 1px solid black"></td></tr></table>10. Correlation Matrix
panel_cor <- panel[!is.na(default_next_12m)]
all_vars <- c("current_delinquency_status", "loan_age", "current_upb",
"delta_interest_rate", "mod_flag_12m", "current_deferred_upb",
paste0("unemployment_rate_lag", 1:4),
paste0("hpi_qoq_qlag", 1:4),
"credit_score", "orig_ltv", "orig_cltv", "orig_dti",
"orig_interest_rate", "orig_upb", "orig_loan_term",
"num_borrowers", "mi_pct", "default_next_12m")
cor_matrix <- cor(panel_cor[, ..all_vars],
use = "pairwise.complete.obs")
round(cor_matrix, 2)## current_delinquency_status loan_age current_upb
## current_delinquency_status 1.00 0.06 -0.01
## loan_age 0.06 1.00 -0.15
## current_upb -0.01 -0.15 1.00
## delta_interest_rate -0.01 0.01 -0.01
## mod_flag_12m 0.00 0.00 0.00
## current_deferred_upb 0.00 0.00 0.00
## unemployment_rate_lag1 0.02 0.31 0.05
## unemployment_rate_lag2 0.02 0.32 0.04
## unemployment_rate_lag3 0.02 0.33 0.04
## unemployment_rate_lag4 0.02 0.33 0.04
## hpi_qoq_qlag1 -0.01 -0.07 -0.09
## hpi_qoq_qlag2 -0.01 -0.15 -0.08
## hpi_qoq_qlag3 -0.01 -0.16 -0.08
## hpi_qoq_qlag4 -0.01 -0.14 -0.09
## credit_score -0.11 -0.11 0.06
## orig_ltv 0.02 0.03 0.12
## orig_cltv 0.02 0.03 0.13
## orig_dti 0.03 0.04 0.11
## orig_interest_rate 0.06 0.27 -0.19
## orig_upb -0.01 -0.11 0.96
## orig_loan_term 0.02 0.04 0.20
## num_borrowers -0.02 -0.04 0.15
## mi_pct 0.02 0.04 -0.04
## default_next_12m 0.05 0.01 0.01
## delta_interest_rate mod_flag_12m
## current_delinquency_status -0.01 0.00
## loan_age 0.01 0.00
## current_upb -0.01 0.00
## delta_interest_rate 1.00 -0.18
## mod_flag_12m -0.18 1.00
## current_deferred_upb -0.29 0.04
## unemployment_rate_lag1 -0.02 0.00
## unemployment_rate_lag2 -0.02 0.00
## unemployment_rate_lag3 -0.02 0.00
## unemployment_rate_lag4 -0.02 0.00
## hpi_qoq_qlag1 0.00 0.00
## hpi_qoq_qlag2 0.01 0.00
## hpi_qoq_qlag3 0.01 0.00
## hpi_qoq_qlag4 0.01 0.00
## credit_score 0.02 -0.01
## orig_ltv -0.01 0.00
## orig_cltv -0.01 0.00
## orig_dti -0.02 0.00
## orig_interest_rate -0.02 0.00
## orig_upb -0.01 0.00
## orig_loan_term -0.01 0.00
## num_borrowers 0.00 0.00
## mi_pct -0.01 0.00
## default_next_12m 0.00 0.00
## current_deferred_upb unemployment_rate_lag1
## current_delinquency_status 0.00 0.02
## loan_age 0.00 0.31
## current_upb 0.00 0.05
## delta_interest_rate -0.29 -0.02
## mod_flag_12m 0.04 0.00
## current_deferred_upb 1.00 0.01
## unemployment_rate_lag1 0.01 1.00
## unemployment_rate_lag2 0.01 1.00
## unemployment_rate_lag3 0.01 0.99
## unemployment_rate_lag4 0.01 0.98
## hpi_qoq_qlag1 0.00 -0.25
## hpi_qoq_qlag2 0.00 -0.37
## hpi_qoq_qlag3 0.00 -0.45
## hpi_qoq_qlag4 0.00 -0.52
## credit_score 0.00 0.12
## orig_ltv 0.00 -0.06
## orig_cltv 0.00 -0.07
## orig_dti 0.00 -0.04
## orig_interest_rate 0.01 -0.30
## orig_upb 0.00 0.07
## orig_loan_term 0.00 -0.03
## num_borrowers 0.00 0.00
## mi_pct 0.00 -0.04
## default_next_12m 0.00 0.00
## unemployment_rate_lag2 unemployment_rate_lag3
## current_delinquency_status 0.02 0.02
## loan_age 0.32 0.33
## current_upb 0.04 0.04
## delta_interest_rate -0.02 -0.02
## mod_flag_12m 0.00 0.00
## current_deferred_upb 0.01 0.01
## unemployment_rate_lag1 1.00 0.99
## unemployment_rate_lag2 1.00 1.00
## unemployment_rate_lag3 1.00 1.00
## unemployment_rate_lag4 0.99 1.00
## hpi_qoq_qlag1 -0.23 -0.22
## hpi_qoq_qlag2 -0.34 -0.32
## hpi_qoq_qlag3 -0.44 -0.42
## hpi_qoq_qlag4 -0.51 -0.49
## credit_score 0.12 0.12
## orig_ltv -0.06 -0.06
## orig_cltv -0.07 -0.07
## orig_dti -0.05 -0.05
## orig_interest_rate -0.32 -0.33
## orig_upb 0.07 0.06
## orig_loan_term -0.04 -0.04
## num_borrowers 0.00 0.00
## mi_pct -0.04 -0.04
## default_next_12m 0.00 -0.01
## unemployment_rate_lag4 hpi_qoq_qlag1 hpi_qoq_qlag2
## current_delinquency_status 0.02 -0.01 -0.01
## loan_age 0.33 -0.07 -0.15
## current_upb 0.04 -0.09 -0.08
## delta_interest_rate -0.02 0.00 0.01
## mod_flag_12m 0.00 0.00 0.00
## current_deferred_upb 0.01 0.00 0.00
## unemployment_rate_lag1 0.98 -0.25 -0.37
## unemployment_rate_lag2 0.99 -0.23 -0.34
## unemployment_rate_lag3 1.00 -0.22 -0.32
## unemployment_rate_lag4 1.00 -0.20 -0.31
## hpi_qoq_qlag1 -0.20 1.00 0.53
## hpi_qoq_qlag2 -0.31 0.53 1.00
## hpi_qoq_qlag3 -0.39 0.21 0.61
## hpi_qoq_qlag4 -0.48 0.43 0.34
## credit_score 0.12 -0.02 -0.05
## orig_ltv -0.06 0.08 0.08
## orig_cltv -0.07 0.09 0.09
## orig_dti -0.05 -0.02 -0.01
## orig_interest_rate -0.34 0.01 0.07
## orig_upb 0.06 -0.09 -0.09
## orig_loan_term -0.04 -0.03 -0.02
## num_borrowers 0.00 0.01 0.00
## mi_pct -0.05 0.04 0.05
## default_next_12m -0.01 -0.02 -0.02
## hpi_qoq_qlag3 hpi_qoq_qlag4 credit_score orig_ltv
## current_delinquency_status -0.01 -0.01 -0.11 0.02
## loan_age -0.16 -0.14 -0.11 0.03
## current_upb -0.08 -0.09 0.06 0.12
## delta_interest_rate 0.01 0.01 0.02 -0.01
## mod_flag_12m 0.00 0.00 -0.01 0.00
## current_deferred_upb 0.00 0.00 0.00 0.00
## unemployment_rate_lag1 -0.45 -0.52 0.12 -0.06
## unemployment_rate_lag2 -0.44 -0.51 0.12 -0.06
## unemployment_rate_lag3 -0.42 -0.49 0.12 -0.06
## unemployment_rate_lag4 -0.39 -0.48 0.12 -0.06
## hpi_qoq_qlag1 0.21 0.43 -0.02 0.08
## hpi_qoq_qlag2 0.61 0.34 -0.05 0.08
## hpi_qoq_qlag3 1.00 0.63 -0.06 0.08
## hpi_qoq_qlag4 0.63 1.00 -0.07 0.08
## credit_score -0.06 -0.07 1.00 -0.16
## orig_ltv 0.08 0.08 -0.16 1.00
## orig_cltv 0.09 0.08 -0.15 0.94
## orig_dti 0.00 0.00 -0.18 0.15
## orig_interest_rate 0.10 0.12 -0.33 0.18
## orig_upb -0.10 -0.10 0.07 0.11
## orig_loan_term -0.01 -0.01 -0.08 0.27
## num_borrowers 0.00 0.00 0.02 -0.05
## mi_pct 0.05 0.05 -0.13 0.49
## default_next_12m -0.01 -0.01 -0.04 0.02
## orig_cltv orig_dti orig_interest_rate orig_upb
## current_delinquency_status 0.02 0.03 0.06 -0.01
## loan_age 0.03 0.04 0.27 -0.11
## current_upb 0.13 0.11 -0.19 0.96
## delta_interest_rate -0.01 -0.02 -0.02 -0.01
## mod_flag_12m 0.00 0.00 0.00 0.00
## current_deferred_upb 0.00 0.00 0.01 0.00
## unemployment_rate_lag1 -0.07 -0.04 -0.30 0.07
## unemployment_rate_lag2 -0.07 -0.05 -0.32 0.07
## unemployment_rate_lag3 -0.07 -0.05 -0.33 0.06
## unemployment_rate_lag4 -0.07 -0.05 -0.34 0.06
## hpi_qoq_qlag1 0.09 -0.02 0.01 -0.09
## hpi_qoq_qlag2 0.09 -0.01 0.07 -0.09
## hpi_qoq_qlag3 0.09 0.00 0.10 -0.10
## hpi_qoq_qlag4 0.08 0.00 0.12 -0.10
## credit_score -0.15 -0.18 -0.33 0.07
## orig_ltv 0.94 0.15 0.18 0.11
## orig_cltv 1.00 0.16 0.18 0.13
## orig_dti 0.16 1.00 0.17 0.11
## orig_interest_rate 0.18 0.17 1.00 -0.20
## orig_upb 0.13 0.11 -0.20 1.00
## orig_loan_term 0.27 0.14 0.29 0.18
## num_borrowers -0.03 -0.11 -0.10 0.16
## mi_pct 0.43 0.09 0.19 -0.04
## default_next_12m 0.02 0.02 0.03 0.01
## orig_loan_term num_borrowers mi_pct default_next_12m
## current_delinquency_status 0.02 -0.02 0.02 0.05
## loan_age 0.04 -0.04 0.04 0.01
## current_upb 0.20 0.15 -0.04 0.01
## delta_interest_rate -0.01 0.00 -0.01 0.00
## mod_flag_12m 0.00 0.00 0.00 0.00
## current_deferred_upb 0.00 0.00 0.00 0.00
## unemployment_rate_lag1 -0.03 0.00 -0.04 0.00
## unemployment_rate_lag2 -0.04 0.00 -0.04 0.00
## unemployment_rate_lag3 -0.04 0.00 -0.04 -0.01
## unemployment_rate_lag4 -0.04 0.00 -0.05 -0.01
## hpi_qoq_qlag1 -0.03 0.01 0.04 -0.02
## hpi_qoq_qlag2 -0.02 0.00 0.05 -0.02
## hpi_qoq_qlag3 -0.01 0.00 0.05 -0.01
## hpi_qoq_qlag4 -0.01 0.00 0.05 -0.01
## credit_score -0.08 0.02 -0.13 -0.04
## orig_ltv 0.27 -0.05 0.49 0.02
## orig_cltv 0.27 -0.03 0.43 0.02
## orig_dti 0.14 -0.11 0.09 0.02
## orig_interest_rate 0.29 -0.10 0.19 0.03
## orig_upb 0.18 0.16 -0.04 0.01
## orig_loan_term 1.00 -0.07 0.13 0.02
## num_borrowers -0.07 1.00 -0.04 -0.02
## mi_pct 0.13 -0.04 1.00 0.02
## default_next_12m 0.02 -0.02 0.02 1.00