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Industry-Standard Securities Information

CoreLogic® non-agency Residential Mortgage Backed Securities (RMBS) is one of the industry's leading post-crisis tracking prepayment and delinquency credit risk information databases. Since the Great Recession of 2008, CoreLogic has captured the new non-agency RMBS market (i.e. RMBS 2.0) that developed in the form of Prime Jumbo, NPL, RPL, and the emerging non-QM segments.

Deal Issuance Volumes

Applications for Every Segment

Decision-makers in all functional areas of the mortgage backed securities marketplace use the CoreLogic non-agency dataset for a range of applications designed to optimize the risk-return ratio to:

  • Support pool and portfolio investment decisions with detailed comparative analysis.
  • Support surveillance efforts and monitor under-performing securities by benchmarking performance against relevant market segments.
  • Support trading desk analysis with deal, issuer, and market performance request of prepayment, delinquency and defaults.
  • Explore and define the non-QM credit box.
  • Gather data for the valuation of first loss, spread and residual account 

Non-Agency RMBS Highlights

Our data is updated daily to non-agency RMBS for performance, and is available on the Vector Securities and Vector Portfolios platforms—and as text and includes:

  • MBS (Prime) – over 98% of market on 1,200+ active deals and 4.5MM loans
  • ABS (Alt-A and BC/Subprime) – over 93% of market on 4,100+ active deals and 22MM loans
  • History back to 1991
  • Extensive loss, loan modification and supplemental stop advance data
  • Key updated metrics of payment, coupon, delinquency, and more
  • QM / Non-QM Flagging
  • CUSIP mappings

Integrated Analytics Modules:

Various integrated modules provide even greater transparency than the non-agency data alone can help provide.
Depending on needs, an extensive array of modules are available to provide a layered 360-degree risk perspective for non-agency portfolios.

Anonymized borrower credit information powered by TransUnion™, including credit scores, credit limits, inquiries, delinquencies, utilization, predictive

Data includes post payoff information about refinance or sale activity specific to the associated non-agency RMBS loans.

Data includes associated property record open mortgage lien specifics with product details, underwriting characteristics, and recording information for up to the first five open mortgage liens appearing on the property record.

Data supplies best fit HPI tier and geography updated valuations for appraisal, sales price, and LTVs when associated to the non-agency RMBS set.

Data provides associated property record summary open mortgage lien counts and amounts along with an AVM, confidence level, and forecasted standard deviation. Derived metrics for Property LTV and Property Equity are included.

Stay on top of the new market by leveraging CoreLogic as your source for loan level RMBS 2.0 needs.