Residual Valuation for Large Subprime Mortgage Originator

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:

  • Identified and evaluated the models used by company management to calculate valuations.  For each model type (Intex, Wall Street Analytics, etc.), developed a set of input assumptions as needed.
  • Established specific performance histories for each securitization and whole loan pool.
  • For any whole loans, developed a profile of the individual loans.
  • Perform a servicing review of the loan servicer.
  • Determined which class/entity by securitization owns the call rights and prepayment penalty income.
  • Developed mark to market assumptions.
  • Developed hold to maturity/hold to clean up call assumptions.
  • Determined realistic present values for the residuals.

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