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.

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