Credit scoring with class imbalance data: An out-of-sample and out-of-time perspective

The raw datasets provided here are intended for use in a Data in Brief article. These comprehensive files, sourced from the Freddie Mac website, offer quarterly snapshots of mortgage loans that have been originated in the USA since 1999, along with details of their subsequent repayment behaviours. This data remains current and is updated every three months. Specifically, the loan origination data present here encompasses amortized fixed-rate mortgage loans from 1999 up to June 2022. In contrast, the performance data is presented on a monthly basis, detailing loan repayment profiles from 1999 until September 30, 2022. Both the origination and performance datasets feature a unique loan ID, which can be utilized to integrate the data on loan originations with that of loan repayments.