Residential Mortgage Backed Securities (RMBS) are securitizations of residential mortgage loans. The poor performance of the residential housing market is well-known. Poor mortgage underwriting standards and drops in housing prices have caused an increase in defaults and delinquencies while lowering recovery rates.
In order to properly value these securities, the collateral pool of underlying mortgages must be carefully considered. Differences in the characteristics of the pool of mortgages can have a large impact on future expected performance.
Black Swan Consulting can provide loan-level loss projections that is tailored to the unique loan characteristics of the collateral. We can then feed the loan-level projections through to the RMBS securities.