BPA was hired by a large subprime mortgage originator to value their 15 securitization assets (30 securitization residuals and I/Os). Some of the major components of this project include:

·          Identify and evaluate the models used by company management to calculate valuations.  For each model type (Intex, Wall Street Analytics, etc.), develop a set of input assumptions as needed.

·          Establish specific performance histories for each securitization and whole loan pool.

·          For any whole loans, develop a profile of the individual loans.

·          Perform a servicing review of the loan servicer.

·          Determine which class/entity by securitization owns the call rights and prepayment penalty income.

·          Develop mark to market assumptions.

·          Develop hold to maturity/hold to clean up call assumptions.

·          Determine realistic present values for the residuals.

Note:    Actual client names have been removed due to confidentiality issues.