Irish Residential Mortgage-Backed Securities – Preliminary Analysis of Loan-Level Data

Andrew Linn, Anne-Marie Kelly and Samuel Bailey
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Anne-Marie Kelly: Central Bank of Ireland
Samuel Bailey: Central Bank of Ireland

Quarterly Bulletin Articles, 2014, 60-70

Abstract: The European DataWarehouse, established in July 2012, provides access to publicly available information on European Asset-Backed Securities (ABS). There was limited detailed information on the underlying securities in Irish Residential Mortgage-Backed Securities (RMBS) prior to this time. This loan-level dataset allows investors in ABS to analyse the underlying assets. It also facilitates a detailed economic analysis of the underlying mortgage characteristics of Irish RMBS. This dataset supplements other currently available Central Bank of Ireland data sources, allowing a comparative analysis to be performed. This article analyses the underlying mortgages in the Irish RMBS dataset, focusing on Loan-to-Value and Loan-to-Income ratios, and mortgage arrears.

Date: 2014-10
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