Structured Finance Securities

Our fair value measurement follows ASC 820 guidance in accordance with generally accepted accounting principles, and is performed by a team of highly experienced valuation and data analysts within a SOC 1 Type 2 environment.

Structured Finance Valuation Solutions

MountainView has been valuing structured finance securities since 2004, and we provide recurring and one-time valuations of securities for investors, including hedge funds, banks and credit unions.

The securities we can value for you include:

  • RMBS
  • ABS
  • CMBS
  • CLO
  • CDO

Valuation Process

MountainView will provide full transparency in terms of the projections and assumptions, showing prepayment speeds (CPR), default rates (CDR), loss severity and discount rates. We will also provide you support for issues such as impairment, liquidity (and marketability) factors, projected principal write-downs, and loss forecasts.

Our valuation process is comprehensive and captures collateral and structural performance information for each security being valued, as well as current market and credit considerations that will determine price.

The foundation of MountainView's pricing process is a fundamental collateral analysis that generates performance projections (vectors) for each of the underlying assumptions that will impact the expected future cash flows of the security. Depending on the asset being valued, these assumptions may include:

  • CPR
  • CDR
  • Loss severity
  • Cash flow trigger assumptions
  • Servicer advance rates
  • Monoline insurance wrap assumptions
  • Representation and warranty settlements and other recovery estimates

We analyze each asset based on its projected performance and appropriate market color. When required, we analyze a security by reviewing the collateral performance at the underlying loan level.

Once our fundamental analysis is complete, we rely on a diverse set of market references to determine the most appropriate discount rates specific to our base case performance scenario for each security, which include the following:

  • A third party database of dealer inventories and BWIC color
  • Available trade data and market color
  • Various sell-side and other industry research reports
  • Information obtained from our ongoing client dialogue which provides additional clarity and insight regarding specific assets and a general outlook regarding performance and value

Valuation Workflow and Reports

A more detailed look at our structured finance securities valuation procedures are set forth in the diagram below:

We will deliver to you a comprehensive securities valuation report that includes the following data points:

  • Metrics including value, yield, WAL, duration, projected losses, credit support, etc.
  • All assumptions that we used in your valuation analysis
  • Complete transparency into the performance and market data that support our analysis

Risk Retention Valuation

If you are a securitization transaction sponsor, MountainView’s Risk Retention Valuation Service delivers a high-quality, independent valuation if you prefer to meet the meet the minimum five percent credit risk retention requirement using an eligible horizontal residual interest (EHRI). We can provide you with fair value determinations and valuation disclosure documentation for an EHRI in both the pre-pricing period and as of the transaction closing. Our comprehensive and efficient valuation solution:

  • Combines our securitized bond valuation data, models, and analyses with our auditor- and regulator-reviewed valuation methodologies
  • Includes methodologies, assumptions, and inputs required for valuation disclosures
  • Offers complete transparency through the delivery of summary-level and asset-level reporting

Quality Control Environment

MountainView has successfully completed a SOC 1 Type 2 examination for its analytics-based advisory services. The corresponding report states that our description of our complete analytics-based advisory services system was fairly presented, the controls related to the control objectives stated in the description were suitably designed, and the controls tested operated effectively.