CoreLogic launched a new service that provides automated, transparent credit grades and surveillance of nonagency residential mortgage-backed securities.
Through CoreLogic Bond Tracker, investors, banks and other institutions can receive life-of-bond surveillance in valuing and assessing the credit risk of mortgage securities. The new service will incorporate a wide range of risk factors including property value changes and other market-impacting events.
The Irvine, Calif.-based property information, analytics and services provider said CoreLogic Bond Tracker is based on clear, current, verifiable loan-level evidence as opposed to traditional RMBS credit grades, which may be derived from difficult-to-validate criteria.
“Today, investors are looking for greater transparency into the quality and risks of the collateral backing nonagency bonds, and issuers are looking for new ways to rebuild investor confidence. We believe CoreLogic Bond Tracker will appeal to both groups,” said Ben Graboske, senior vice president of real estate and financial services for CoreLogic.
Other features of CoreLogic Bond Tracker include providing credit assessments of nonagency RMBS across product type, vintage and tranche position, with credit grades ranging from AAA through D. CoreLogic said the service has the capability to incorporate the position at which the bond or tranche was purchased when evaluating the likelihood of investment loss.
Additionally, the service can reflect factors that might affect credit performance, such as the CoreLogic Home Price Index, by refreshing this information as appropriate. Also, the solution assesses the probability of credit grade migration due to deviation of future performance from projected bond cash flows by including a sensitivity score that ranges from one to five.
Overall, CoreLogic said the service has the ability to publish cohort-level assessments on approximately 23,000 nonagency bonds.
“We’ve designed CoreLogic Bond Tracker to utilize our data and risk tools to provide information and surveillance that is objective and data based to augment what is currently available,” Graboske said.