Asset Valuation

Talk Scope

Proven Valuation Methodology

 

Analysts, developers, and financial engineers provide expert solutions for complex asset valuation

RiskSpan understands the complexity involved in accurately valuing whole loans and structured securities. Our Valuation Service leverages the data, models, and computation power of the RiskSpan Edge Platform. We incorporate market-based information, loan level collateral files, and proprietary models to provide clients with audit compliant valuations that are defendable and meet their needs.

  • Agency Passthroughs
  • Agency CMOs
  • Mortgage Whole Loans
  • HELOCs
  • ABS
  • CMBS and RMBS
  • CDO (RMBS/Hybrids) Trust Preferred
  • CLOs (Lev Loans and CRE)
  • RPL/NPL
  • Reverse Mortgages
  • MSRs
  • Principal Finance

Asset Valuation Methodology

Loan Level Analysis

RiskSpan incorporates loan level cashflow analysis to asset valuation. We use collateral files or client data to project defaults, severities, losses and prepayments

Robust Analytics

Our Interest Rate, Loss Distribution and Prepayment Models are calibrated to actively traded securities markets. This calibration provides the most accurate, and audit compliant prices for illiquid securities

Full Service

RiskSpan’s Asset Valuation Team can deliver a full suite of solutions including: Advisory, Risk Management, Vigilance, Trade Management, Portfolio Analysis, and Data Management

Market Inputs

Real time and historical closing prices for:

  • Swaps
  • Swaptions
  • Caps/Floors
  • US Treasury
  • TBAs
  • IO/POs
  • ABX
  • CMBX
  • CDX

Typical Asset valuation Clients

  • Distressed Buyers
  • Dealers
  • Hedge Funds
  • REITs
  • Pension Funds
  • GSEs
  • Banks
  • Thrifts
  • Credit Unions
  • Insurance Companies
  • Financial Guarantors
  • Auditors

Data

The cornerstone of our valuations

In addition to live feeds for market data, RiskSpan’s valuation services leverages the following RiskSpan data:

  • Loan Level Collateral
  • Agency Pool Reference Data
  • ABX/CDX/CMBX Indicies Closing Prices
  • IO/PO Closing Prices
  • Market Price Database

Looking for an independent asset valuation?

We are the loan data and securities data experts

Talk Scope

Modeling Expertise

RiskSpan’s modeling and valuation teams deliver industry-leading knowledge and experience

Our financial engineers harness the compute power of our analytics system to generate thousands of loan level cashflows for portfolios of whole loans within and outside of securitizations. The results are transparent, reliable, and audit-compliant valuations