Residential Mortgage Servicing Rights

MountainView's fair value assessments are based on the accounting and regulatory guidance for Level 3 assets, and are performed by a team of highly experienced valuation and data analysts within a SOC 1 Type 2 environment.

MSR Valuation Solutions

MountainView is a leading provider of MSR valuation services and annually we serve over 250 clients, performing in excess of 1,500 assessments. MountainView's considerable experience in trading the mortgage servicing assets allows for an informed, well vetted, fair value assessment relative to secondary servicing market execution levels.

We provide MSR valuation support in many contexts, including the following:

Monthly and quarterly MSR Valuations

For each valuation that we perform for you, we provide you with customized fair value assessments unique to your portfolio's performance, providing loan level pricing breaking out for new originations, paid-off servicing and retained servicing period, over period. We will also run detailed asset attributions relative to key rate exposure, as well as critical assumption stress testing (including but not limited to cost to service, prepayment speed and yield/spread/discount rates).

Enhanced MSR Valuations

In addition to our standard or static MSR valuations, we can provide you with enhanced MSR valuations, representing a more detailed analysis using a stochastic (OAS) approach in valuing the asset. This enhanced analysis will provide you with a more in-depth analysis of your interest rate exposure, measuring DV01, PV01, duration and convexity. Additionally, given the complexity of evaluating the change in value period over period, we will create detailed attributions which quantify key rates, curve shape and swaption volatility measures.

MSR Buy Representations

MountainView can assist you in identifying and purchasing mortgage servicing assets in the secondary marketplace. We can provide you with analytics that are similar to our typical MSR valuation services, but we will focus more intensely on secondary market factors that may impact your transaction. These factors include counter party considerations, supply/demand dynamics, potential risks of the asset, critical transaction terms and issues that may arise throughout the negotiation process.

Excess Servicing/Servicing Strip Valuations

If you are looking to either buy or sell excess servicing cash flows, MountainView can provide you with a tailored analysis using a loan-level pricing methodology. Our modeling capability allows us to establish multiple yield assumptions within a given portfolio to better capture the risk/reward reflected in the marketplace. Since the pricing is truly determined at the loan level, changes in the population which often occur in such transactions do not represent an obstacle to getting work completed on a timely basis.

Taxation Services

MountainView can assist you in supporting capital gains treatment for your MSR sale transactions. Our process for documenting and supporting such treatment to the Internal Revenue Service is complex, involving several steps and requiring multiple scenario sensitivity testing. We will also parse the cash flows in order determine the portion of the gain on sale that qualifies for capital gains treatment. MountainView has worked with several major accounting firms and financial professionals over the years to develop and refine this service.

Valuation Methodology

MountainView can perform static, scenario, and stochastic (option-adjusted spread) analysis on your portfolio. Our analysis incorporates market-calibrated OASs or yields, which are often accounted for at a cohort level, including investor and product type. Additionally, MountainView maintains propietary models measuring spot and long term projections for primary and secondary spreads, including the mean reversion of those spreads. We can also track and model your other mortgage assets, such as IOS and agency trust interest-only strips, as well as the TBA MBS market, which provide valuable insight into valuation metrics and appropriate spread differentials.

Relative to our methodology for determining a servicing portfolio's fair value, we strive to determine the price at which the portfolio would trade in the current secondary servicing market, as trade activity represents the strongest support for fair value. We consider comparable portfolios that have recently traded and judiciously apply prevailing market prices to the portfolio being valued. In an active secondary market, we can calculate accurate observed market prices by tracking relevant market trades. When the secondary servicing market is not active or when activity in the market is considered to be distressed, it is even more imperative to find other supporting data points to use as benchmarks for pricing and assumption set definition.

We also participate in and review the results of several MSR assumption and valuation surveys each quarter, and this allows us to verify a given portfolio's reasonableness against the most recent set of survey results. We further validate our fair value assumption sets and values by incoporating the insight we obtain through our continuing dialogue with mortgage servicers and the assumptions that they are using.

Expertise with Factors Affecting MSR Valuation

Below are the major benchmarks, assumption sets, mortgage coupon data points and spreads and other factors we employ in arriving at our determination of fair value of your portfolio:

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.