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Analysis Suite MORTGAGE VALUATION, ANALYSIS, AND REPORTING SYSTEM

EVERYTHING YOU NEED TO KNOW TO BUY AND SERVICE A POOL OF LOANS

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Who is Claren A team of veteran IT, modeling, and analytics professionals with dozens of years of mortgage expertise. We launched Claren to provide state-of-art software and Big Data solutions to support mortgage asset analysis.

• Mortgage performance forecast modeling

• Whole loan valuation

• Mortgage servicing rights valuation

• Servicing optimization – Maximizing loan value

• Intuitive software platform puts flexibility in the user’s hands Streamline your valuation processes and improve results effectiveness Instill your experience, assumptions, and opinions into all aspects of modeling process Maintain auditability and demonstrate regulatory compliance

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What is the Claren Analysis Suite

• At the heart is a robust Performance Model that forecasts prepayments and borrower behavior with a level granularity and breadth that is second to none.

• Mortgage loan valuation model provides cash flow roll ups, and detail and flexibility that goes well beyond the standard available today, to deliver intrinsic loan level values.

• MSR valuation model takes into account the cash flow roll ups associated with virtually every change in status to deliver intrinsic loan level values.

• Servicing Optimization model uses proven quantitative methods and years of mortgage experience to predict the impact of servicing actions on performance over the mortgage lifetime.

• Software interface gives the user unparalleled optics into the portfolio and the flexibility to make adjustments that fit the user’s circumstances.

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• Loan-level forecast of the probability of being in a given future status

Performance Modeling

Current 30 Days Past Due 60 Days Past Due 90+ Days Past Due Foreclosure Real Estate Owned (REO)

Liquidation through REO (involuntary prepay) Liquidation through short sale (voluntary prepay) Prepayment (voluntary prepay) Payment collected Survival (not prepaying / liquidating) Loss given REO sale or short sale


Performance Modeling • Three Collateral Type Models

Prime Alt-A Subprime

• 51 model segments (or loan groupings) Lien position Amortization type (Fixed/ARM) Loan age Modified Current status

• Static and Option Adjusted Spread (OAS) Available


Performance Modeling Inputs


Genetic Disposition (Origination) Medical History (Performance) FICO Original Balance Loan Purpose Origination DTI Amortization Term Occupancy Doc Level Lending Conditions

Pay History Current Status Time in Status Servicer Grade

Internal Stimulus (Product Details) External Stimulus (Market Forces) Future PP Penalty Expiration Future IO Term Expiration Future ARM Reset

Forecasted LTV (Home prices) Forecasted Mortgage Rates Forecasted Payment Shock Forecasted Lending Conditions

Mortgage Servicing Rights Valuation • Using the performance modeling to forecast monthly loan-level servicing cash flow

Servicing Incomes (+) • Servicing fee income • Float income • Other income

Servicing Costs (-)

• Net present value of cash flow • Intrinsic value vs. Market value


• Fixed Costs • Collection Costs • Loss Mitigation Costs • Foreclosure Costs

• REO Costs • ARM Servicing Costs • Other Costs

Loan Valuation • Using the performance modeling to forecast monthly loan-level

cash flows Amortization principal collected Interest collected (net servicing fee) Prepaid principal Balloon payments Liquidation proceeds from REO Sale Short sale proceeds

• Net present value of cash flow • Intrinsic value vs. Market value


Servicing Optimization • Simulating servicing actions for delinquent mortgages Payment modification Debt forgiveness Foreclosure Short sale Continue current servicing path

• Net present value each servicing action • Rank order the value of completing each action


Empowering the User • Self-serve processing of incoming data, including the useage of pre-

defined and user-saved field mapping, code translation, and assumptions templates

• Provide an easy-to-use set of tools that allow users to instill their experience and opinions into the results Origination characteristics risk Current status risk Market expectations

• Provide multiple options for processing OAS Discount rates Methodology selection


Interested is learning more?


Please contact [email protected]

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