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Wilary Winn LLC
  • (651) 224-1200
  • Services
    CECL
    & ALM
    • Credit Risk
      • Current Expected Credit Loss (CECL)
      • Capital Stress Testing
      • Concentration Risk Management
      • Real Return Analyses
    • Outsourced ALM Advisory
      • Interest Rate Risk Management
      • Budgeting and Balance Sheet Optimization
      • Liquidity Stress Testing
    Mergers &
    Acquisitions
    • Preliminary and Final Merger Valuation
    • Accretion True-up
    • Goodwill Impairment Testing
    • ASC 310-30
    Valuation of
    Loan Servicing
    • Residential MSRs
    • SBA 7(a) Loan Servicing
    • Commercial Servicing
    Additional
    Services
    • Mortgage Banking Derivatives (IRLCs)
    • Fair Value Footnotes
    • ALM Model Validation
    • Non-Maturity Sensitivity Analyses
    • SBA 7(a) Gain on Sale
    • TDRs
    • Non-Agency MBS
    • TruPS
    Overview of Services
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    • Overview of Services
    • CECL & ALM
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    • Valuation of Loan Servicing
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Non-Agency Mortgage Backed Securities

Wilary Winn provides OTTI analyses and fair value estimates for approximately 400 Non-Agency MBS per year.

Why Choose Us

We have been providing valuations and OTTI analyses for over a decade. We were the first valuation firm in the country to build housing price appreciation into our analysis of non-Agency MBS. We made this change in June 2009, which caused our loan loss severity amounts to decrease over time and resulted in much more accurate and lower loss estimates for the securities. Bloomberg was second to incorporate this assumption, but not until 2011. The actual results since then have borne out our assumptions, saving our clients from millions of dollars of unnecessary OTTI charges.

Our Approach

Our valuations are based on a discounted cash flow analysis. Using a library of deal structures that we license from Intex, collateral cash flows are allocated to bonds according to the rules associated with each deal. The cash flows are dependent on the estimated:

  • Speeds at which the loans are expected to prepay;
  • Rates at which the loans are expected to default; and
  • Severity of the losses on loans that are liquidated through the foreclosure process.

Prepayment Assumptions

Our prepayment speed estimates are based on the borrower’s incentive to refinance given the interest rate on their loan compared to market interest rates, adjusted by their ability to prepay given their credit score and the estimated loan-to-value ratio as of the valuation date.

Default Assumptions

Our initial default rates are based on the payment status of the loan as of the valuation (current, 30 days delinquent, etc.) and our proprietary loss migration models (roll rates). We vector our default rate assumptions based on expected changes in housing prices.

Loss Severity Assumptions

Wilary Winn estimates for loss severity are based on the initial loan to value ratio, lien position, private mortgage insurance proceeds available (if any), judicial vs. nonjudicial foreclosure process and the estimated change in the price of the property since origination. We estimate the historical change in the value of the property using Housing Pricing Indices by Metropolitan Statistical Area produced by the Federal Housing Finance Agency (FHFA). Our estimates for future changes in the prices of the residences collateralizing the mortgages use the forecasts by MSA for the near-term and the Case Shiller forecast for the long-term.

To ensure quality, non-Agency MBS valuation assumptions and results are thoroughly analyzed and benchmarked to industry sources.

Services

  • Additional Services
    • Mortgage Banking Derivatives (IRLCs)
    • Fair Value Footnotes
    • ALM Model Validation
    • Non-Maturity Sensitivity Analyses
    • SBA 7(a) Gain on Sale
    • TDRs
    • Non-Agency MBS
    • TruPS
Featured

Other Than Temporary Impairment (“OTTI”) of Fixed Income Securities [Presentation]

Wilary Winn offered this OTTI of Fixed Income Securities presentation as a webinar for McGladrey & Pullen, LLP. Wilary Winn considers the accounting and regulatory reporting for OTTI to be among […]

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What our clients say

Over the last several years, Five Star has relied on the skills and expertise of the Wilary Winn team to perform our annual goodwill impairment testing. They have always been […]

Tyler Beck, Senior Vice President & Chief Operating Officer, Five Star Credit Union – Dothan, AL
Read More

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What We Do

  • CECL & ALM
  • Mergers & Acquisitions
  • Valuation of Loan Servicing
  • Additional Services
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  • (651) 224-1200
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