Integrated Portfolio Management
Focused on the impact and integration of key portfolio management functions and related modeling risk for assets under management including:
Mortgage Servicing Rights (MSR / MSAITM)
Interest Only (IO) / Principal Only (PO) Strips
Stripped Mortgage Back Securities (SMBS)
Residential Whole Loans
Pricing & Valuation
Performed in accordance with ASC 820 requirements, our methodology is supported by both bottoms up and top down approaches to triangulate fair value of assets impacted by documented support for Level III inputs.
Provide independent benchmarks to internal pricing (capitalization) and portfolio valuation processes including detailed attribution of value period over period.
Ensures back-testing of modelled component cashflows and behavioral performance assumptions (prepayments, delinquency, default, etc.) to actual results.
Encompasses scenario analysis to highlight idiosyncratic and other risks embedded in the assets under management.
IRR & Credit Risk
Development of technical metrics to support identification and quantification of market risk exposures and related impact to capital adequacy and liquidity.
Thorough evaluation of behavioral models (prepayment, default and deposit decay) leveraged in pricing, valuation and ALM models supporting base and scenario forecasts for loan loss provisions, PPNR, NII and EVE / NPV.
Development and review of P&Ps and risk limits supporting the internal enterprise risk management and oversight framework maintaining compliance with supervisory guidance and regulatory requirements
Enhance efficiency and transparency in risk management reporting processes
Trading & Liquidity
Given the relative illiquidity in some retained portfolios, we believe in the importance of understanding the economic versus the implied market returns to support the investment and trading decision.
We support our clients in understanding returns relative to the time horizon or average life of the asset through the review of historical performance, expected yields at acquisition versus currently implied market yields.
Our connections in the industry afford us the ability to appropriately determine relevant liquidity in the market based on the underlying collateral characteristics and implied counterparty risks.
Provide assistance with contract review, negotiation and coordination for the operational on-boarding/transfer of loans.
We bridge the gap between modeling assumptions and actual performance providing necessary executive management insight into portfolio performance allowing for effective planning and measured analysis.
Support development of KPI metrics based on historical and forecasted performance trends highlighting strategic implications and effective communication for portfolio strategy changes and executive decisioning.
Contribution to the financial model development and FP&A reporting processes highlighting business unit performance monitoring, budgeting, forecasts, variance analysis, etc.
We partner with internal accounting and finance departments to facilitate appropriate disclosures in accordance with GAAP requirements
Model Risk Management
Supports the documentation and evaluation of conceptual soundness, data management, assumption support and analysis of results.
Encompassing design, implementation, on-going monitoring and effective challenge, our approach provides the required independence throughout the model life cycle.
As necessary, our solutions include development of an effective challenger model to support identification of model limitations and required remediation.