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.
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