RealEstate/data/DATA_DICTIONARY.md

Data Dictionary

Every table this project builds, and every field in it. Source-file field definitions are transcribed from official documentation; derived fields state their formula and their limitation.

Vocabulary rules that govern this whole document: AGENTS.md §1.

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1. data/interim/origination/ — parsed origination records

Partitioned cohort=YYYYQn/part-*.parquet. One row per loan. Field positions, names, types, and sentinel "Not Available" codes are transcribed from the public file_layout.xlsx and user_guide.pdf (32 fields; see src/lockin/schemas/freddie.py).

#	field	type	sentinel → null	notes
1	credit_score	Int64	9999	301–850 valid
2	first_payment_date	Date		YYYYMM → first of month
3	first_time_homebuyer_flag	Utf8	9	Y/N. Not populated for refinance loans
4	maturity_date	Date
5	msa_code	Utf8	blank, 00000	NOT updated for changing OMB delineations — MSA analysis needs a versioned crosswalk
6	mi_percent	Int64	999	1–55 valid; 0 = no MI
7	num_units	Int64	99	1–4
8	occupancy_status	Utf8	9	P primary, I investment, S second home
9	orig_cltv	Int64	999	set to NA when CLTV < LTV; ranges differ pre/post 2018Q2
10	orig_dti	Int64	999	>65% and all HARP loans are reported as Not Available
11	orig_upb	Float64		rounded to the nearest $1,000
12	orig_ltv	Int64	999	6–105 (≤2018Q1) / 1–998 (≥2018Q2)
13	orig_interest_rate	Float64		percent, e.g. 6.875
14	channel	Utf8	9	R retail, B broker, C correspondent, T TPO unspecified
15	ppm_flag	Utf8		prepayment-penalty mortgage
16	amortization_type	Utf8		FRM / ARM
17	property_state	Utf8		two-letter abbreviation — the default geography key
18	property_type	Utf8	99	SF, CO, PU, MH, CP
19	postal_code	Utf8	blank, 00000	first three ZIP digits + 00. Not a full ZIP; cannot identify a property
20	loan_seq_no	Utf8		PYYQnXXXXXXX. The join key
21	loan_purpose	Utf8	9	P purchase, C cash-out refi, N no-cash-out refi, R refi unspecified
22	orig_loan_term	Int64		(maturity − first payment) + 1, months
23	num_borrowers	Int64	99	02 semantics differ pre/post 2018Q2
24	seller_name	Utf8		collapsed to Other sellers below 1% of quarterly original UPB
25	servicer_name	Utf8		collapsed to Other servicers below 1% of quarterly original UPB
26	super_conforming_flag	Utf8	blank	Y = exceeds conforming limits
27	pre_relief_refi_loan_seq_no	Utf8	blank	Relief Refinance / HARP chains only — not ordinary refinancing (D005)
28	special_eligibility_program	Utf8	9	H Home Possible, F HFA Advantage, R Refi Possible
29	relief_refi_indicator	Utf8	blank	Y; with orig LTV > 80 these are HARP loans
30	property_valuation_method	Int64	7	1 appraisal waiver, 2 appraisal, 3 other, 4 ACE+PDR
31	interest_only_indicator	Utf8
32	mi_cancellation_indicator	Utf8	7, blank

Derived on ingest:

field	formula	limitation
cohort	from the source filename
seq_product, seq_orig_year, seq_orig_quarter	parsed from loan_seq_no	kept so a mismatch with the file cohort is visible rather than silent
approx_origination_date	first_payment_date − 2 months	an approximation. Origination date is not a field
geography_state	alias of property_state

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2. data/interim/performance/ — parsed monthly performance

Partitioned cohort=YYYYQn/period_year=YYYY/part-*.parquet. One row per observed loan-month. The loss/expense block (official fields 14–23, 27, 28, 31) is projected away at parse time — loss-severity analysis is out of scope and dropping it roughly halves the footprint.

#	field	type	notes
1	loan_seq_no	Utf8	join key
2	monthly_reporting_period	Date	Combines the current month's accounting cycle for performing loans with the previous calendar month's default reporting for non-performing loans. Accounting cycle was 16th-to-15th through 2019-04, calendar month from 2019-05
3	current_upb	Float64	END-of-period balance; 0 in a zero-balance month. Do not use it for a within-month decision — see upb_start_of_month (D018)
4	delinquency_status	Utf8	0 current, 1 30–59d, 2 60–89d, …, RA REO acquisition
5	loan_age	Int64	scheduled payments since origination — resets on MODIFICATION (not on a payment deferral)
6	remaining_months_to_maturity	Int64	uses the modified maturity date for modified loans
7	defect_settlement_date	Date	representation-and-warranty resolution
8	modification_flag	Utf8	Y current period, P prior period
9	zero_balance_code	Utf8	see §3. Set at most once per loan
10	zero_balance_effective_date	Date	the period of the triggering event
11	current_interest_rate	Float64	reflects modifications
12	current_deferred_upb	Float64	the guide calls this "Current Non-Interest Bearing UPB"
13	ddlpi	Date	due date of last paid installment
24	step_modification_flag	Utf8
25	deferred_payment_plan	Utf8
26	reported_eltv	Int64	Freddie Mac's own estimated LTV; populated only for a subset of loan-periods
29	delinquency_due_to_disaster	Utf8
30	borrower_assistance_status	Utf8	F forbearance, R repayment, T trial
32	interest_bearing_upb	Float64

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3. Zero Balance Codes — the official termination-event priority table

From user_guide.pdf, "Zero Balance Codes". Priority 1 is highest: when two termination events fall in the same reporting period, the higher-ranking one is reported.

ZB	official label	priority	our event class	censored?	why
15	Whole Loan Sale	1	admin_removal	yes	Freddie Mac portfolio action, not a borrower decision
16	Reperforming loan securitizations	2	admin_removal	yes	portfolio action
09	REO Disposition	3	credit_event	no	terminal credit outcome
96	Defect prior to other termination event	4	admin_removal	yes	repurchase / indemnification / make-whole
03	Short Sale or Charge Off	5	credit_event	no	terminal credit outcome
02	Third Party Sale	6	credit_event	no	foreclosure-auction sale — a CREDIT outcome, not a household move
01	Prepaid or Matured (Voluntary Payoff)	7	prepayment	no	CONFLATES voluntary payoff with scheduled maturity, and does NOT distinguish refinance from sale-related payoff

An unset code means the loan was active at the performance cutoff → right censoring. An undocumented code is censored, never guessed at.

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4. data/processed/loan_events.parquet — one row per loan

field	type	definition
loan_seq_no	Utf8
entry_date	Date	first_payment_date — the time origin for loan age
observation_start	Date	first observed performance month. Begins at Freddie Mac acquisition, not origination, and is further truncated by the configured performance window
observation_end	Date	exit month, or the last observed month (right censoring)
start_age, end_age	Int64	loan age at the observation bounds. start_age > 1 ⇒ left truncated
event_type	Utf8	prepayment | credit_event | censored. No home_sale, no household_move, ever
event_date	Date	zero_balance_effective_date, falling back to the reporting period
censored	Boolean
censoring_reason	Utf8	active_at_performance_cutoff, admin_removal_zb15_…, undocumented_zb_code
zero_balance_code, zero_balance_label	Utf8
n_months_observed	UInt32
n_month_gaps	Int64	span minus observed months. Gap months contribute no risk time
ever_modified	Boolean	modification_flag in {Y, P} at any point
modification_reset	Boolean	loan age decreased — expected only across a modification
conflicting_zb_codes	Boolean	more than one ZB code; resolved by the priority table
reappeared_after_exit	Boolean	performance months after the exit; truncated at the exit
home_sale_observed	Boolean	always False. A validator makes it a hard error if it is ever True
ever_30d_plus	Boolean
(origination fields)		carried through from §1

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5. data/processed/loan_episodes/ — one row per observed loan-month

The estimation dataset. Partitioned by period_year.

field	type	definition / formula	limitation
period	Date	monthly reporting period
loan_age	Int64	duration-model time index	resets on modification
at_risk	Int8	always 1 for an observed month
exit_prepayment	Int8	1 only in the exit month, if event_type == prepayment
exit_credit_event	Int8	1 only in the exit month, if credit_event
exit_any, censored_this_month	Int8
current_upb	Float64	as reported (end of period)	0 in a zero-balance month
upb_start_of_month	Float64	prior month's reported UPB → same-month UPB if positive → scheduled amortised balance	the balance used by every lock-in measure (D018)
upb_timing_source	Utf8	which of the three above was used
remaining_term	Float64	reported remaining months, else orig_loan_term − loan_age, floored at 1
note_rate	Float64	orig_interest_rate
market_rate	Float64	PMMS, point-in-time: last observation on or before the 1st of period	national only — local offered rates differ by tens of bp
rate_series, methodology_regime	Utf8	which PMMS series and methodology regime	not spliced silently
rate_gap	Float64	market_rate − note_rate. Positive ⇒ locked in
lockin_gap	Float64	max(rate_gap, 0)
refi_incentive	Float64	note_rate − market_rate. Positive ⇒ refinancing pays	ignores closing costs, eligibility, option value
payment_gap	Float64	PMT(upb_start, market, rem) − PMT(upb_start, note, rem), $/month	holds the remaining term fixed
pv_financing_gap	Float64	payment_gap × a(min(H, rem), δ)	H and δ are CALIBRATED, not estimated
gap_bucket	Int64	0–7, edges at −200/−100/0/+100/+200/+300/+400 bp
est_current_ltv	Float64	reported ELTV → orig_ltv × (upb/orig_upb) × (hpi_orig/hpi_t) → balance-only	a STATE index is a poor proxy for one property
ltv_source	Utf8	which of the three above was used
hpi_growth_12m	Float64	12-month log change in the state purchase-only index	quarterly index expanded to monthly
(loan characteristics)		state, MSA, purpose, occupancy, property type, FICO, DTI, LTV, UPB, term, FTHB flag, cohort year

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6. data/processed/active_stock.parquet — geography-month

One row per geography-month. Both weighting schemes are always present.

field	definition
geography, period	key
n_active_loans, total_upb	size of the observed stock
wavg_note_rate_count, wavg_note_rate_upb	weighted-average coupon, both weightings
market_rate	point-in-time PMMS for the month
locked_share_count_{100,200,300,400}	loan-count-weighted share above the bp threshold
locked_share_upb_{100,200,300,400}	UPB-weighted share
mean_rate_gap, mean_lockin_gap
median_payment_gap, mean_payment_gap, median_pv_financing_gap	$/month and $
refi_incentive_share	share with refi incentive above the configured bp cut
prepayment_rate_monthly, credit_event_rate_monthly	realised monthly rates
n_prepayments, n_credit_events	counts
median_est_current_ltv, mean_credit_score, mean_orig_cohort_year	composition
share_purchase_loans, share_refi_loans	loan-purpose composition
share_primary_residence, share_investment	occupancy composition
note_rate_p10 … note_rate_p90	coupon distribution deciles

Coverage caveat carried in the manifest. The stock has both entry (later cohorts phasing into the performance window) and exit, so a first-to-last change nets the two and can be positive. Attrition is therefore measured from the peak.

active_stock_cohort_mix.parquet gives geography × period × origination-year counts and UPB.

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7. Predetermined exposure (the event-study treatment)

Computed by lockin.stock.predetermined_exposure, frozen at event_study.pre_shock_date and never recomputed. Prefixed pre_ in the panel.

$$E_g=\sum _k{\omega }_{gk}^{\text{pre}}\cdot \mathbf{1}\{{\bar{R}}^{\text{post}}-r_k>\tau \}E\_g\; =\; \backslash sum\_k\; \backslash omega\_\{gk\}^\{\backslash text\{pre\}\}\; \backslash cdot\; \backslash mathbf\; 1\backslash \{\backslash bar\; R^\{\backslash text\{post\}\}\; -\; r\_k\; >\; \backslash tau\backslash \}$$

field	definition
pre_locked_share_count_{τ}	share of the frozen stock whose counterfactual gap at the post-shock rate exceeds τ bp, loan-count-weighted
pre_locked_share_upb_{τ}	the same, UPB-weighted (the default treatment)
pre_coupon_share_below_{τ}	share of loans with a note rate below R_post − τ/100. A pure coupon-share measure with no payment assumption
pre_mean_payment_gap, pre_median_payment_gap	counterfactual payment gap at the post-shock rate, $/month
pre_mean_rate_gap, pre_mean_lockin_gap	pp
pre_wavg_note_rate_upb, pre_wavg_note_rate_count	pre-shock coupon level
pre_note_rate_p10 … p90	the frozen coupon distribution itself
pre_coupon_share_hhi	Herfindahl of coupon-bin shares — a shift-share concentration diagnostic
pre_n_active_loans, pre_total_upb	coverage variables, not market size
exposure_as_of, exposure_post_rate_pct	provenance of the measure

Why not the contemporaneous locked share at the pre-shock date? It is ≈ 0 everywhere: the pre-shock market rate was near its historic low, so nobody was locked in yet. See docs/DECISION_LOG.md D016.

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8. data/processed/local_market_panel_{monthly,annual}.parquet

field	source	definition	limitation
geography, period / year		key
has_stock_data	derived	whether loan-level aggregates exist for this row	false in pre-shock years
hpi, hpi_year_start, hpi_year_end	FHFA	purchase-only state index level	an INDEX, not a property value
hpi_growth_period, hpi_growth_12m	FHFA	log differences at the published frequency	quarterly at state level
hpi_growth	FHFA	log(hpi_year_end) − log(hpi_year_start)	computed from published levels, not from expanded monthly steps
permits_total_units, permits_1unit, permits_2to4unit, permits_5plus	Census BPS	units AUTHORIZED	not starts, not completions; c vintage is preliminary; partial years dropped
n_purchase_originations, n_refi_originations	HMDA	loans originated (action taken 1)	applications and originations, not a property-sales registry; all-cash absent
n_purchase_applications, n_purchase_denials, n_refi_applications	HMDA
usd_*	HMDA	dollar sums
denial_rate	derived	n_purchase_denials / n_purchase_applications	a credit-conditions proxy; used as a placebo outcome
log_*	derived	natural logs of the count outcomes
coverage_regime	HMDA	post_2018_rule | threshold_100_closed_end	counts are NOT comparable across regimes
pre_hpi_growth_2019_2021	FHFA	cumulative log price growth 2019-01…2021-12	the pandemic-boom control
pre_refi_count_2020_2021	HMDA	2020+2021 refinance originations	the refi-intensity control
pre_*	derived	frozen exposure (§7)
(stock aggregates)		annual means/sums of §6	null before the performance window

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9. Result artifacts — outputs/<group>/<name>.json

Fixed envelope on every artifact:

field	meaning
artifact, group	identity
evidence_tier	descriptive | hazard_association | quasi_experimental | simulation. Determines the verb a report may use
population	mandatory statement of who is in the sample
geography, weight, outcome_definition	mandatory
caveats	list of strings, rendered into reports
provenance	run_timestamp, git_commit, config_name, config_digest, data_class, data_period, source_versions (schema@retrieved#checksum per dataset), python_version, platform_str
result	the payload

10. Manifests — <dataset>.manifest.json

field	meaning
name, source, source_url	provenance
retrieved_at, release_date, coverage_period	vintage
license_terms, redistribution_status	governance
schema_version, row_count, checksum_sha256, checksum_scope	integrity
geographic_level
known_limitations	list — travels with the data
data_class	PUBLIC | RESTRICTED | SYNTHETIC | DERIVED. SYNTHETIC forces the report banner