I'm looking for loan level detail for Residential Mortgage Backed Securities.

The SEC requires that form ABS-EE (individual level asset data) be filed for all offerings backed by residential mortgages, commercial mortgages, autos, etc. But I have not been able to find any ABS-EE forms for Residential Mortgage Backed Securities.

I searched for all SIC code 6189 (Asset Backed Securities) filings, but this did not produce RMBS ABS-EE data I am looking for (just Autos and CMBS). An example of an issuer is JPMMT, or JP Morgan Mortgage Trust with an example of a specific issue being JPMMT 2018-8.

Where can I find such data?

  • $\begingroup$ intex.com $\endgroup$ – Nicholas Dec 3 '18 at 0:15
  • $\begingroup$ @Nicholas, thanks, though I'm looking for a free source (the SEC). I'm not sure why the SEC wouldn't have this data and am trying to understand if there is another place or reason why RMBS loan-level data would not be available. $\endgroup$ – steicher Dec 5 '18 at 16:13

While loan level filings are required for all publicly registered issuances of CMBS, RMBS, and auto ABS, the SEC has (at least for now) elected not to require these disclosures for Rule 144a offerings. You can read more about this on page 29 of the final rule https://www.sec.gov/rules/final/2014/33-9638.pdf

JPMMT 2018-8 is not a public deal so ABS-EEs will not be filed. All RMBS issuers have opted not to register publicly for some time, with one of the last publicly offered RMBS transactions being SEMT 2013-3, long before compliance with Reg AB II was required.

Unfortunately this means that in practice, you won't be able to find ABS-EE data for RMBS. If you're an investor in the deal, you can sometimes find loan-level disclosures on the trustee's website, but otherwise proprietary providers are your only bet.

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  • $\begingroup$ Thank you Steven!! How is it determined if a deal is public or not? Also, how do proprietary providers get the data? $\endgroup$ – steicher Feb 26 '19 at 14:47

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