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Category: Case Study

Case Study: Securitization Disclosure File Creation Process

The Client

Private Label Mortgage-Backed Security Issuer 

The Problem

The client issues private label MBS with sources from multiple origination channels. In accordance with industry requirements, the client needed to create and make available to securitization counterparties a loan-level data file (the “ASF File”) which has been defined and endorsed by the Structured Finance Industry Group. ​

The process of extraction and aggregation was inefficient and inconsistent with data from various originators, due diligence vendors and service providers.

RiskSpan consulting services streamlined extraction and aggregation, and reconciling the data used in this process.

The Solution

RiskSpan automated and improved the client’s processes to aggregate loan level data and perform data quality business rules. RiskSpan also designed, built, tested, and delivered an automated process to perform quality control business rules and produce the ASF File, while producing a reconciled file meeting ASF File standards and specifications.

Data Lineage

RiskSpan has experience working with various financial institutions on data lineage and its best practices. RiskSpan has also partnered with industry-leading data lineage solution providers to harness technical solutions for data lineage.

Data Quality

It’s increasingly important to reduce inefficiency in the data process and one of the key criteria to achieve the same is to ensure Data is of highest quality for downstream or any other analytical application usage. Riskspan experience in data quality stems from working with raw loan and transactional data from some of the world’s largest financial institutions.

The Deliverables

  • Created and documented data dictionary, data mapping, business procedures and business flows​
  • Gathered criteria and knowledge, from various client departments, to assess the reasonableness of data used in the securitization process ​
  • Documented client-specific business logic and business rules to reduce resource dependency and increase organizational transparency​
  • Enforced business rules through an automated mechanism, reducing manual effort and data scrub process time​
  • Delivered exception reporting which enabled the client to track, measure and report inaccuracies in data from due diligence firm​
  • Eliminated maintenance and dependency on ad hoc data sources and manual work-arounds​

Asset Manager: Cost-Efficient and Flexible Solution

An asset management company needed to replace an inflexible risk system provided by a Wall Street dealer.  The client’s portfolio was diverse, with a sizable concentration in structured securities and mortgage assets. The legacy analytics system was rigid with no flexibility to vary scenarios or critical investor and regulatory reporting.

Every portfolio manager requires reliable and accurate analytics to manage risk and improve investment decisions. They require understanding of investment positions and the impacts on risk metrics measures such as value at risk (VaR). The faster they can assess a portfolio’s total exposure and understand the key drivers, the better they can react and align activities with the overall firm risk appetite.

“The challenge was that our existing daily process for calculating, validating and reporting market and credit risk metrics required significant manual work. If we could get to the answers faster, we would be in a much better position to identify exposures and address potential problems.”                             

The Solution

As a fully-managed solution, RiskSpan’s Edge Platform provides the asset manager with a cost-efficient and flexible solution. The service bundles required data feeds, infrastructure management, and predictive models for mortgages and structured products. Edge manages and validates third-party data as well as client portfolio data, and produces scenario analytics in a secure hosted environment. With the combination of models, data management, and an end-to-end managed process, Edge provides the asset manager with unmatched value.

The Benefits

  • Portfolio risk measures on-demand
  • Structured product expertise
  • Outsourced data management
  • Predictive models for mortgages
  • Outsourced hardware management
  • Customized dashboards and reports

The asset manager used the Edge Platform to cut hours from daily risk-reporting processes and free several analysts to focus on their primary task: optimizing analytics and processes that support better investment decisions.


Analytics Software

The Edge Platform provides for the calculation of key market risk metrics for over 70 different instrument types. The service provides for a combination of on-demand or overnight batch processing. Users have online access to platform to run ad-hoc analyses, including additional scenarios or what-if analyses. The hosted platform makes the processing speed lightning fast.

Data Management Outsourced

The Edge market-risk analytics platform integrates data from six major data vendors.  Our data management services support integrated data for interest-rates, implied volatility, and terms & conditions for over 70 different instrument types. The platform includes loan-level data for Agency and non-Agency mortgage-backed products. The platform integrates seamlessly with Intex subroutines to support all structured products.  Further, Edge clients have access to a team of experts in mortgage and structured product – not just technical support.

Technology and Infrastructure Management

As a hosted solution, the asset manager is able to leave management of hardware to the Edge technology team. We secure and manage all required hardware, freeing up millions of dollars in hardware acquisition costs and labor costs required to manage the infrastructure.

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