CMBS Risk Management System for a Major CMBS Originator
PROBLEM:- Large portfolio of mortgage servicing rights
- Surveillance of portfolio and potential acquisitions
- Data mining for prepayment and default behavior analysis
- Significant operational risk as an official servicer
- No online record of loans
- Manual interactions with subservicers
- Reconciling large cash flows through servicing accounts
SOLUTION:
- INPURE methodology for requirements analysis
- Considered needs of various stakeholders (trading, operations, IT, risk management)
- Consensus on requirements and priorities, using rapid prototyping
- Procedures manual to document how business was operating
- Servicing portfolio management system
- Feeds of monthly loan data from four separate servicing systems
- Calculates historical prepayment rates and other statistics (e.g., WAC, WAM) on loan cohorts
- Calculates delinquency and default rates
- Tracks payments, prepayments, actions, and communications
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