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

Author

Listed:
  • Linn, Andrew

    (Central Bank of Ireland)

  • Kelly, Anne-Marie

    (Central Bank of Ireland)

  • Bailey, Samuel

    (Central Bank of Ireland)

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.

Suggested Citation

  • Linn, Andrew & Kelly, Anne-Marie & Bailey, Samuel, 2014. "Irish Residential Mortgage-Backed Securities – Preliminary Analysis of Loan-Level Data," Quarterly Bulletin Articles, Central Bank of Ireland, pages 60-70, October.
    • Handle: RePEc:cbi:qtbart:y:2014:m:10:p:60-70
    as

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    File URL: https://centralbank.ie/docs/default-source/publications/quarterly-bulletins/qb-archive/2014/qb4-2014.pdf?sfvrsn=6#page=62
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    References listed on IDEAS

    as
    1. Kelly, Robert & McCarthy, Yvonne & McQuinn, Kieran, 2012. "Impairment and negative equity in the Irish mortgage market," Journal of Housing Economics, Elsevier, vol. 21(3), pages 256-268.
    2. McCarthy, Yvonne & McQuinn, Kieran, 2013. "Credit conditions in a boom and bust property market," Research Technical Papers 08/RT/13, Central Bank of Ireland.
    3. Kennedy, Gerard & McIndoe-Calder, Tara, 2012. "The Irish Mortgage Market: Stylised Facts, Negative Equity and Arrears," Quarterly Bulletin Articles, Central Bank of Ireland, pages 85-108, February.
    4. Reamonn Lyndon & Yvonne McCarthy, 2013. "What Lies Beneath? Understanding Recent Trends in Irish Mortgage Arrears," The Economic and Social Review, Economic and Social Studies, vol. 44(1), pages 117-150.
    5. Kelly, Robert & McQuinn, Kieran, 2013. "On the hook for impaired bank lending: Do sovereign-bank inter-linkages affect the fiscal multiplier?," Research Technical Papers 01/RT/13, Central Bank of Ireland.
    6. Duffy, David, 2014. "Updated Estimates for the Extent of Negative Equity in the Irish Housing Market," Research Notes RN2014/2/1, Economic and Social Research Institute (ESRI).
    7. Duffy, David & FitzGerald, John & McQuinn, Kieran & Morley, Ciara, 2014. "Quarterly Economic Commentary, Summer 2014," Forecasting Report, Economic and Social Research Institute (ESRI), number QEC20142, June.
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