Bloomberg prepares to publish loan-level RMBS data

Market information provider Bloomberg plans to include loan-level data in its residential mortgage-backed securities analytics platform after June 30, when new securitisation industry reporting guidelines take effect.

Bloomberg's head of structured products, Russel Parentela, said the company started work two years ago on a more robust RMBS service that would include information on RMBS issues down to the loan level.

Bloomberg worked with issuers and with Perpetual, the dominant trustee in the RMBS market, to get access to the data and launched the service 18 months ago.

"Issuers have been supportive of our aim to get more data onto our platform," Parentela said.

"There may be one or two that are still going back and forth but in general people were receptive."

Bloomberg has been collecting loan-level data but has not been able to publish it. It can only provide that information in aggregate.

That will change in July, when new Reserve Bank securitisation industry reporting guidelines take effect. Issuers will have to submit monthly reports containing loan-level, security-level, transaction-level and pool-level data, as well as cashflow waterfall models.

The information collected will be made publicly available. If issuers do not supply the data they run the risk that the RBA will remove the security from its list of securities that are eligible for inclusion in its repurchase facility.

Parentela said: "We will display what is publicly available."

Bloomberg's RMBS service includes a number of analysis tools. Investors can stress some of the loans in a portfolio (for example, loan in a particular state), they can change prepayment volumes, they can model extension risk and arrears risk.

"When an issue is launched the price is based on certain expectations. This system lets investors do their upside and downside scenarios," Parentela said.

Bloomberg's system can also run the same analytics for asset-backed securities and commercial mortgage-backed securities but so far the company has concentrated on the RMBS market.