RiskSpan understands the complexity involved in accurately valuing whole loans and structured securities. Our Valuation Service leverages the data, models, and computation power of RiskSpan’s data & analytics platform to deliver transparent valuation of complex assets. RiskSpan’s valuation methodology brings the expertise and support of nearly 100 analysts, developers, and financial engineers to provide a valuation solution for even the most complex assets.  Our valuation team incorporates market based information, loan level collateral files, and proprietary models to present clients with audit compliant valuations that are defensible and meet their needs.

We also understand the importance of our valuation and are quick to respond to client challenges.  Unlike the massive daily pricing services, when you call our team, you can speak to the valuation expert that priced your bonds.  

Asset Class Coverage

  • Agency CMO and Derivatives
  • RMBS
  • Whole Loans (Preforming and NPLs)
  • Mortgage Servicing Rights (MSRs)
  • CMBS
  • Esoteric ABS (Air, Train, Power, etc.)
  • CLO Equity
  • Fix and Flip Loans
  • P2P Loans
  • Credit Risk Transfer (CRT, STACR
  • Student Loan ABS

METHODOLOGY

Data: Data is the cornerstone of the RiskSpan System and Valuation Service. We have a team of market data experts that collect loan, security, and market data from the best third-party data providers.   In addition, the data team has created a proprietary system which collects and parses offering sheets and gathers the security data for each offering and stores the price and security data in a searchable database. This system allows us to provide market comparable prices for most security types. We collect and use a variety of security types and market data in our valuations, including:

  • Loan Level Collateral for RMBS supplied by CoreLogic
  • CDO Offering Memorandums
  • Agency Pool Reference and Loan Level Data
  • Intex Cash Flow Generator for Securitized Products
  • IO/PO Closing Prices
  • CLO Collateral Loan Database
  • Real-Time prices on all Liquid Treasuries, Swaps, Swaption Vols, Currencies from ICAP

Modeling:  RiskSpan’s valuation team leverages our own proprietary cash flow models for whole loans and the best in class securitization models of Intex in our valuation solution.  We harness the computation power of RiskSpan’s Data & Analytics Platform and proprietary prepayment and loss models to generate thousands of loan-level cash flows on securitized and whole loan products.

Loan Level Analysis: When analyzing securitized product, RiskSpan uses loan-level collateral files to provide the most granular analysis possible.  RiskSpan’s proprietary loss and prepayment models use loan-level data to make accurate cash flow predictions for both securitized and whole loan products. 

Robust Analytics: Our Valuation Service leverages the RiskSpan cloud-based data & analytics platform.   Our platform operates on-demand servers to analyze the largest portfolios at the most detailed level available, providing a complete end-to-end solution for valuation of complex securities.

WHY RISKSPAN?

Experience: The Valuation Team is led by Joe Sturtevant, former Managing Director of MBS Derivative Trading at UBS, RBS and CSFB brings 30+ years of pricing experience to every client portfolio.  In addition, Don Brown, former trader at Swiss Re, UBS and RBS has 20+ year of pricing experience and brings a deep understanding of derivatives and risk management.   Both Joe Sturtevant and Don Brown provide a vast network of traders on both the buy and sell side, allowing RiskSpan to develop methodologies for a range of asset classes.

Transparency:  RiskSpan can provide auditors with analysis and market data to support their valuations.

Quick response to challenges: If you are faced with a challenge you will speak directly to the pricing expert to ensure that it is resolved quickly and effectively

Computation power &speed: The RiskSpan Analytics Platform provides both market data and powerful computational power to run large portfolios in minutes, not hours.

Full Service: RiskSpan’s Valuation Team can deliver a full suite of solutions including: Advisory, Expert Witness, Risk Management, Surveillance, Trade Management, Portfolio Analysis, and Data Management.