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Why RMBS Loan-Level ABS-EE Filings Are Often Unavailable

Article Quant Q&A · Author: santorch
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Summary

The document explains why investors searching SEC filings may not find loan-level ABS-EE data for residential mortgage-backed securities. The key distinction is between publicly registered offerings, for which loan-level disclosures are required, and Rule 144A offerings, for which the SEC had not required those disclosures at the time described. The example issue is identified as a non-public deal, so it would not have an ABS-EE filing.

The practical implication is that public ABS-EE data is generally unavailable for RMBS under the market conditions described. Investors in a deal may sometimes access loan-level disclosures through the trustee, while other researchers may need proprietary data providers. The account is tied to the regulatory framework and issuance practices in the source; it does not establish current filing requirements or guarantee that trustee data will be available for a particular deal.

Key ideas

  • ABS-EE loan-level disclosure requirements described here apply to public registered offerings.
  • The answer says Rule 144A offerings were not subject to the same disclosure requirement at the time.
  • The cited RMBS issue is described as a non-public transaction without an ABS-EE filing.
  • Investors may sometimes obtain loan-level information from trustees, while other researchers may need proprietary providers.

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Full text
# Loan Level Data for Residential Mortgage Backed Securities


# Loan Level Data for Residential Mortgage Backed Securities












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?

## Answer by Steven McCarthy (score 1, accepted)

https://quant.stackexchange.com/a/44226

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.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.