Optimized Valuation and Trading of Single-Family Mortgage Assets for a Large Institutional Asset Manager

A large asset management firm was struggling to manage complex data issues associated with its open-end fund. With each loan having up to 100 data fields, errors could easily be compounded as a mortgage traveled from servicer to servicer. Furthermore, there was a challenge in standardizing information that was accurate but characterized differently by different servicers. As a result, investment managers were spending significant amounts of time aggregating, consolidating, standardizing and quality-controlling data before handing it off for asset valuation, fund reporting, and monthly accounting. The illiquid nature of the mortgage-related assets also posed a separate challenge for monthly valuation, as sophisticated models, incorporating assumptions that help predict borrower behavior around prepayments and defaults, were needed to determine performance. In addition, the client needed to value the assets in the context of where they would transact in the market from a fair-market value perspective, rather than through a black-box model performed in a vacuum. In order to tackle these issues, the institution needed a partner with industry knowledge, expertise and technology to better manage data - so it could focus on investment opportunities.

SitusAMC implemented the Centricity “life of loan” portfolio management platform, which is used by investment managers to buy, sell, finance, and monitor loans. Traditional loan trading happens via a combination of tools, software and disconnected datasets - inviting errors, missed opportunities, and miscommunication between parties. Centricity monitors purchase side-letter stipulations, on-going loan-servicing data, warehouse financing, and post-sale obligations. The platform’s transaction management features assist a whole loan trader with buy/sell trading processes, including acquiring and reconciling third-party data. The inventory management features assist in the on-going maintenance of the portfolio, including daily and monthly loan servicing data, and monitoring of trade stipulations and reps and warrantees. By consolidating data and processes into a streamlined, SaaS-based solution, costs and errors are greatly reduced.

SitusAMC provided customized services and technologies supporting due diligence, asset management, data management and valuations while ensuring data accuracy and standardization. Ultimately, portfolio professionals are freed up to manage their investments rather than wrangling the data, so they can focus on adding value tactically through sourcing and trading, and strategically through analysis, to optimize returns.