Valuation and Services

MWSA offers an outsourcing option via the Service Bureau which caters to the sector of the market which would prefer someone to drive the software for them.

 

This may be to provide one-off projects, specialist services, to cover busy periods or to provide temporary expertise to the ‘volume sensitive’ market which is incapable or unwilling to staff their user groups appropriately to handle the volumes associated with the use of the software.

 

A sample of recent projects undertaken include:

 

CDO Pricing Service

A leading fund of funds administrator needed an independent pricing service for a fund of CDO equity pieces. They contracted with MWSA’s Service Bureau to provide monthly prices on the assets in the fund using MWSA’s proprietary CDOnet software and CDO Deal Library products. MWSA created cash flow models of the CDO transactions. On a monthly basis, MWSA’s analysts update the transactions and then run interest rate, prepayment, and default scenarios on the CDO structure to determine the expected cashflows and present values of each CDO equity piece in the fund.

 

MBS Modeling and Pricing

An investor in MBS tranches from the early 1990’s needed to go back in time and re-run quarterly valuations on its holdings for a period of several years. It needed a transparent model that was independent of that used by the structuring banks. In under a week MWSA’s Service Bureau modeled over 30 complex transactions down to the residual, updated them to each required reporting date, and ran complex interest rate, prepayment, and default projections on the transactions. The resulting tranche cashflows and prices were bundled into a series of reports which the client was able to integrate into its presentation.

 

Bond Calculation Work

A large MBS and ABS issuer was going through a reorganization and didn’t have the manpower to calculate the bond payments on its new and outstanding securitizations. MWSA’s team created models of the newly issued transactions and used its proprietary tools to calculate the payments due to the note holders for two consecutive months on a significant book of deals. Using its Bond Administration Workstation, MWSA was able to calculate the payments, create the note holder reports, send reports to the SEC, DTC, and other agencies, and ensure that its client’s customers didn’t see a temporary interruption in their service.