CoreLogic (CLGX) unveiled its latest service, CoreLogic Bond Tracker, to provide life-of-bond surveillance as well as aid investors in valuing and assessing the credit risk of mortgage securities.
The bond assessment service for non-agency residential mortgage-backed securities will incorporate a wide range of risk factors including property value changes and market-impacting events.
"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,” said Ben Graboske, senior vice president, Real Estate and Financial Services for CoreLogic. “We believe CoreLogic Bond Tracker will appeal to both groups."
The bond tracker provides credit assessments of non-agency RMBS across vintage, tranche position and product type, while providing credit grades ranging from AAA through D (in descending order).
The service also publishes cohort-level assessments on approximately 23,000 non-agency bonds. Additionally, the tracker refreshes dynamically to appropriately reflect factors affecting credit performance, incorporating impacts based on the CoreLogic Home Price Index suite on real estate analytics.
The bond tracker assesses the likelihood of credit grade migration due to deviation of future performance from projected bond cash flows including a sensitivity score ranging from 1 through 5.
CoreLogic will also use its loan-level evaluation tool as well as its structured-finance Bond Analytics platform to derive a probability-weighted outcome that the investment in a bond or trache will incur a loss, which is a feature in the tracker.
"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.
CoreLogic is a property information, analytics and services provider. The company combines data from public, contributory and proprietary sources including more than 3.3 billion records to provide coverage over various sectors including properties and mortgages.