Professional Services
MIAC’s
Capital Markets Group (“CMG”)
specializes in providing FAS 157 compliant
fair market value appraisals of prime, Alt-A,
subprime and commercial mortgage servicing
rights, new and seasoned whole loans and
retained mortgage residual interests. MIAC’s
CMG staff adheres to a comprehensive, systematic
and regular price and assumption discovery
processes. MIAC’s fair market value
includes an extensive analysis of the mortgage
collateral behavior and the sensitivity
of the price of the mortgage assets to the
various input pricing assumptions such as
prepayment rates, forward curves, frequency
of foreclosure, loss severity, and Option-Adjusted
Spreads (“OASs”).
All MIAC third-party asset
valuation methodologies and business control
procedures are regularly audited through
our SAS 70 – Type II audit by Grant
Thornton, LLP, www.gt.com.
Residual Valuation - Subprime / ALT-A
MIAC’s
Capital Markets Group specializes in providing
fair market value appraisal of subprime / ALT-A
residuals. MIAC analysis includes an extensive
analysis of the sensitivity of the price of the
residual to the various input pricing assumptions
such as frequency of foreclosure, loss severity,
prepayment, discount rates etc. Additionally,
MIAC provides consulting to review company specific
internal valuation and hedging procedures to
make
sure it is in accordance with industry best practices.
Mortgage Derivative Instruments
MIAC
provides pricing on illiquid residential or commercial
collaterized mortgage obligations(“CMOs”),
as well as Structured IO's and PO's and mortgage
residual assets. MIAC has provided daily pricing
for Reuters on Trust IOs and Trust POs for over
8 years. MIAC can establish the appropriate delinquency
loss behavior, prepayment assumptions, and market
yield spreads and then use MIAC Analytics to
model the expected cash flows. Illiquid and non-vanilla
CMOs can be accurately priced by MIAC.
Interest Rate Derivatives
MIAC
models and prices over many other traditional
derivative instruments including: interest rate
swaps, interest rate caps, interest rate floors,
swaptions, Eurodollar strips, spread-lock swaps,
swap futures, options of swap futures, U.S.T.
futures, options on U.S.T. futures, agency futures,
options on agency futures, MBS futures, options
on MBS futures, and total-return mortgage swaps.
Mortgage Hedging / FAS133 Hedge Accounting
MIAC
provides risk measurement, pricing, and risk
management advisory services to a wide range
of mortgage industry participants including:
commercial banks and thrifts; residential, commercial,
and sub-prime mortgage companies; warehouse lenders;
and securities firms.
MIAC
hedge advisory services also include developing
FAS133 accounting strategy, creating hedge policy
and FAS133 related documents that support hedge
accounting treatment.
|
MSR
Hedging |
|
Whole
Loan Hedging |
|
Residual
Hedging |
|
Inverse
IO Hedging |
MSR FAS140 Accounting and Tax Outsourcing
Many
institutions within the mortgage industry have
grown increasingly frustrated with the constantly
changing tax and accounting requirements for mortgage
servicing rights. As a result several mortgage
banking institutions have decided to outsource
to MIAC their MSR FAS 140/133 accounting and impairment
testing, tax basis amortization and tracking requirements
for mortgage servicing assets. MIAC accounting
process is SAS70 compliant and is in accordance
with interagency advisory directive.
_____________________________________
For
more information on MIAC Professional
Services, please contact us at products@miacanalytics.com |
