CoreLogic has announced the availability of CoreLogic Bond Tracker, an innovative bond assessment service for non-agency residential mortgage-backed securities (RMBS). The service offers granular, dynamic, and automated analyses of security holdings and underlying collateral. CoreLogic Bond Tracker will provide life-of-bond surveillance and aid investors, banks and other institutions in valuing and assessing the credit risk of mortgage securities. CoreLogic Bond Tracker will incorporate a wide range of risk factors including property value changes and other market-impacting events.
Specifically, CoreLogic Bond Tracker:
►Provides credit assessments of non-agency RMBS across product type, vintage and tranche position, with credit grades ranging in descending order from AAA through D. CoreLogic Bond Tracker can incorporate the position at which the bond or tranche was purchased or marked when evaluating the likelihood of investment loss.
►Includes a sensitivity score ranging from 1-5, assessing the likelihood of credit grade migration due to deviation of future performance from projected bond cash flows.
►Publishes cohort-level assessments on approximately 23,000 non-agency bonds.
►Refreshes dynamically to reflect, as appropriate, factors affecting credit performance, incorporating impacts based on the CoreLogic HPI suite of real estate analytics.
►Employs the premier analytic engines of CoreLogic, including its loan-level evaluation tool (RiskModel) and its structured-finance Bond Analytics platform to derive a probability-weighted outcome that the investment in a bond or tranche will incur a loss.
“Today, investors are looking for greater transparency into the quality and risks of the collateral backing non-agency 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, Real Estate and Financial Services for CoreLogic. “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.”