Mortgage Pipeline / Servicing Management

Projects:

Client: Mortgage Originator
Project: A Review of the Secondary Marketing Risk Management Process
Our study included a review of lock policies and procedures, hedge policies and procedures, hedge instruments utilized, trade execution, risk management systems and the mark-to-market process. In addition, we completed an evaluation of the loan-shipping department to determine sources of shipping delays, which impacted profitability.

Client: Mortgage Company
Project: Established a Pipeline Risk Management Process
The focus of this project was to assist in the development of a centralized risk management process for their mortgage pipelines. Our responsibilities included evaluating current risk management procedures, assessing pipeline data and establishing daily risk management procedures.

Client: US Mortgage Servicer
Project: Recommend Hedging Strategies for Mortgage Pipeline
The client's pipeline contained 15 and 30 yr fixed mortgages as well as ARM and balloon mortgages. The loans were both seasoned and unseasoned. We determined the effect convexity of portfolio across various scenarios and measured the impact of negative convexity and total return across the same scenarios. Our recommendations included choosing swaps of various lengths for particular pipeline sectors to provide duration offset. Floors on treasury bonds were recommended to protect against falling rates.

Client: US Mortgage Servicer
Project: Pipeline Risk Management Systems Review
Our investigation into the features, limitations and exactitude of six systems helped us determine if they would sufficiently expose areas of risk in our client's pipeline. Among the aspects reviewed: flexibility in using OAS and prepayment models; whether the assumptions buried within the models were reasonable; what collateral types could be analyzed; and the quality of reports. In addition, we reported on the costs, productivity impact and customer support for each system.