Consumer Credit Metrics and Their Application to the ABS and RMBS Markets

Abstract

Although loan-level and CLTV information has been around for a while, adding consumer credit metrics to RMBS analysis completes the 360-degree view of risk. Over the last four years, secondary mortgage capital markets have been transformed by the introduction of consumer credit data to value mortgages and residential mortgage-backed securities. For non-RMBS assets, most of the information available is at the deal and pool level, but the U.S. SEC’s proposed revisions to Reg AB would improve the flow of detailed information.