Documentos de Académico
Documentos de Profesional
Documentos de Cultura
Current 30 60+
60+ Default Prepay 2.3% 0.1% 4.3% 55.6% 6.4% 0.8% 68.5% 13.9% 0.3%
If we apply the slope of the reduction in subprime transition rates from their peak to the sample pool, it would result in significantly lower 2 year, 3 year, 5 year, and lifetime default rates.
Severe Case 13.9% 17.9% 23.8% 40.3% Subprime Trend Slope 10.1% 11.6% 13.7% 23.2%
5
20
800000
70%
60%
15
600000
Vol CPR
10 Actual CPR
5
50%
Default
40%
REO FCL
90+
60 30
Remittance Date
25 20
Vol CPR
15 10 5
Remittance Date
CONFIDENTIAL 2011 Bayview Advisory Services, LLC. All Rights Reserved. Actual CPR Model CPR
Loan Count
Loan Count
Sample Size
6.00%
4.00%
2.00% 0.00%
Portfolio A Portfolio B Portfolio C
2.00%
1.00%
0.00%
Portfolio A
Portfolio D
Portfolio B
Portfolio C
Portfolio D
18.00%
10.00% 16.00%
14.00% 8.00%
12.00%
6 MonthRoll to 60+
10.00%
prediction
6.00%
Model
actual 8.00%
Actual
4.00% 6.00%
4.00% 2.00%
2.00%
0.00% 1 2 3 4 5 6 7 8 9 10
0.00% 1 2 3 4 5 6 7 8 9 10
10
11
A Comprehensive Approach to Forecasting Credit Losses: Borrower Related Underwriting and Property Level Analysis
While Regression and Roll Rate Analyses provide important data points, there is no substitute for re-underwriting loan files and evaluating the collateral supporting the loans.
For residential and small balance commercial mortgage loans, strength of a guarantor is an important factor in long term performance. Underwriting is focused on evidence in the loan files that the homeowner, investor, or business using the property has strong credit and stable cash flows. Updated property values are obtained using AVMs and BPOs that are reviewed by internal appraisers. For larger balance commercial mortgage loans and C&D loans, property visits by real estate professionals are essential to understanding the status and condition of the property, verifying physical occupancy, assessing the market for vacant space, and incorporating market conditions into an updated valuation.
12
A Comprehensive Approach to Forecasting Credit Losses: Borrower Related Underwriting and Property Level Analysis
Benefits of Borrower Related Underwriting and Property Level Analysis: Borrower Related Underwriting is essential for predicting default probabilities: Assesses the accuracy and quality of the original underwriting analysis to help determine the risk profile of each borrower. Helps assure that the data used in the Regression Model is accurate (documentation type, DSCR, LTV). Provides for a re-grading of loans to normalize for institution specific risk grading process. Facilitates comparisons to other portfolios based upon strength of underwriting. Property Level Analysis provides a baseline forecast for portfolio loss severity: Determines the value of the collateral today. Integral to analysis of cash flow stability. Incorporates current and projected market conditions. Evaluates reasons for property value decline: Capitalization rate deterioration vs. decline in property operating income due to vacancy increase.
13
15
Recommendation: Re-underwrite the loans that appear to be the highest risk in the Regression model. Is the institution rolling due dates as part of an aggressive modification campaign? Confirm payment histories. Conclusions: Loan tapes can have inaccuracies and servicing practices can mask delinquency issues but loans rarely significantly over perform or underperform their loan characteristics without the reasons being observable in the loan underwriting and property analysis. A triangulation approach to credit is essential in the current high risk environment.
17
About Bayview
18
Bayview has a proven track record and is an industry leader in mortgage investment analytics and loan servicing
Bayview was founded in 1984 and now has 964 employees. Our senior management team has an average of 12 years company tenure.
Bayview Asset Management is minority-owned by affiliates of Blackstone Capital Partners. Since 2008, Bayview has advised many clients on whole bank acquisitions ranging in asset size from less than $200 million to greater than $50 billion.
Bayview services nearly 55,000 loans with an aggregate UPB of approximately $13.0 billion.
Bayview Loan Servicing, whose predecessor was founded in 1999, now has 688 employees in 6 locations (FL (2), TX, PA, IL and PR) and is comprised of teams of experts in asset valuation, loss mitigation, loan workouts, bankruptcy and foreclosure Senior and mid-level managers average more than 21 years of industry experience, with no change in management personnel in the past five years
Bayview has proven success in loss mitigation with a focus on servicing delinquent and high-risk performing loans for itself and third parties.
Bayview Loan Servicing is one of only four servicers with S&Ps highest residential special servicer rating and the only one with the highest rating for small balance commercial
19
Bayview enjoys strong institutional support via a non-controlling investment from affiliates of the Blackstone Group
20
Bayview Asset Management is a fully-integrated mortgage investment company with expertise in the analysis and management of distressed and performing mortgage assets
Experience
Founded in 1984, as a leading advisor, valuation specialist, and broker of mortgage servicing rights portfolios
Purchased $20 billion in loans from 2,000 counterparties in 9,000 transactions Sponsored 75 commercial and residential securitization transactions totaling $28 billion in securities sold to 200 institutional investors (including securities issued under Bayviews small balance commercial platform) Raised over $3 billion and manages three opportunity funds of credit-sensitive residential and commercial mortgage loans
Depth
964 employees in six offices
Dedicated teams specializing in:
Mortgage Research and Analytics Loan and Securities Portfolio Management Loan Special Servicing Loan Underwriting and Valuation Real Estate Construction and Development
Stability
Minority-owned by affiliates of Blackstone Capital Partners
Senior management team with an average of 12 years company tenure Flexible infrastructure and strong management has enabled Bayview to successfully navigate the credit market turmoil
Bayview Loan Servicing manages a $13.0 billion mortgage portfolio of proprietary and third party assets 1 of only 4 servicers with S&Ps highest residential special servicer rating and the only one with the highest rating for small balance commercial loans
21
Bayview has principal expertise in assessing risk and determining value across the full-spectrum of bank balance sheet assets
Real Estate
C & D Loans
(Residential and Commercial)
Residential Bayviews experience includes both performing and nonperforming loans in the following asset classes:
Raw Land
Commercial
Construction
Multi-family Bayview also has experience in Mortgage and Asset-Backed Securities backed by real estate asset classes
Improved
C & D Loans
22
The same functional teams that drive Bayview Asset Managements successful proprietary investment process are available to clients of Bayview Advisory Services
Loan Servicing
688 FTEs
Loss mitigation expertise for high risk and distressed assets $13.0 billion portfolio of residential, commercial and C&D loans Servicing $3 billion in loss share assets (9 banks)
Due diligence process created to protect buyers of distressed assets Asset level valuations by staff with average experience between 15 years (residential) and 23 years (commercial) Valuations tracked and analyzed via a proprietary database
Dedicated mortgage research effort Proprietary loan-level credit & prepay analytics Extensive database of proprietary and industry data
Seasoned team of loan and securities managers Manage three funds of distressed commercial and residential mortgages ($3 billion capital raised) Active market participants provide detailed information on capital flows and capital markets activity
Portfolio Management
4 Loan and MBS Managers
Large balance commercial real estate team with expertise in troubled and transitional assets
Team management individuals have an average 21 years of experience in development, legal, valuation, construction, engineering, banking, and property management
23
Four core competencies serve as the foundation for the services Bayview delivers to its advisory clients
Credit Loss Forecasts and Asset Valuation Principal Takeout for Problem Assets
24
To better understand how Bayview can meet your loan portfolio advisory needs, please contact us:
25
DISCLAIMER:
The information contained herein has been compiled by Bayview Advisory Services, LLC (BAS) solely for use by the intended recipient and for no others. This material is confidential and cannot be reproduced in any manner. By its acceptance hereof, each recipient agrees (in addition to any obligations it may have under any confidentiality agreement with BAS or its affiliates) that neither it nor its agents, representatives, directors or employees will copy, reproduce or distribute to others this presentation, in whole or in part, at any time without the prior written consent of BAS and that it will keep permanently confidential all information contained herein not already in the public domain and will use this presentation for the sole purpose of deciding whether to proceed with a further investigation of, and business engagement with, BAS and/or its affiliates. This presentation shall remain the property of BAS. BAS reserves the right to require the return of this presentation (together with any copies or extracts thereof) at any time. Nothing herein may be relied upon by any person or entity for the purchase of or investment in securities or financial instruments. It is further understood and agreed that BAS, its subsidiaries, affiliates, officers, directors, shareholders, partners, agents and employees shall not be liable to any third party for any cause of action, claims, costs or damages related to the use of any of the information, analysis or reports contained herein. Any warranties, either expressed or implied, contained within the information, analysis and reports is hereby disclaimed to the fullest extent allowed. Neither BAS nor its advisors nor any of their respective directors, partners, employees or advisers nor any other person, shall be liable for any direct, indirect or consequential loss or damages suffered by any person as a result of relying on any statement in or omission from this presentation and any such liability is expressly disclaimed. BAS does not undertake any obligation to update or revise any statements contained herein, whether as a result of new information, future events or otherwise. Except where otherwise indicated, this presentation speaks as of the date hereof. In furnishing this presentation, neither BAS nor its advisors undertakes any obligation to update any of the information contained herein or to correct any inaccuracies. This presentation is for information purposes only and shall not form the basis of any contract.
26