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

Tim Martin, Gunnar Blix and Juan Carlos Calcagno
The Journal of Structured Finance Winter 2012, 17 (4) 196-204; DOI: https://doi.org/10.3905/jsf.2012.17.4.196
Tim Martin
is group vice president of U.S. housing at Trans-union in Chicago, IL.
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  • For correspondence: tjmarti@transunion.com
Gunnar Blix
is a senior analyst at Equifax in New York, NY.
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  • For correspondence: gunnar.blix@equifax.com
Juan Carlos Calcagno
is director of consumer credit analytics at Moody’s Analytics in West Chester, PA.
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  • For correspondence: juancarlos.calcagno@moodys.com
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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.

TOPICS: MBS and residential mortgage loans, CMBS and commercial mortgage loans, asset-backed securities (ABS)

  • Copyright © 2012 Equifax Information Services LLC. All rights reserved. Not to be reproduced or redistributed without permission.
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The Journal of Structured Finance: 17 (4)
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Consumer Credit Metrics and Their Application to the ABS and RMBS Markets
Tim Martin, Gunnar Blix, Juan Carlos Calcagno
The Journal of Structured Finance Jan 2012, 17 (4) 196-204; DOI: 10.3905/jsf.2012.17.4.196

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Consumer Credit Metrics and Their Application to the ABS and RMBS Markets
Tim Martin, Gunnar Blix, Juan Carlos Calcagno
The Journal of Structured Finance Jan 2012, 17 (4) 196-204; DOI: 10.3905/jsf.2012.17.4.196
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