Loan modifications within CMBS can introduce significant complexity into cashflow calculations. Oakleaf was approached by a Commercial Mortgage-backed Securitie...
Due to Oakleaf ’s strong reputation for delivering complex data and analytics projects in the Financial Services and Regulatory industry, the company has been retained by counsel for various plaintiffs to offer an opinion regarding losses incurred by the Plaintiffs in connection with their purchase of Residential Mortgage-Backed Securities (RMBS) certificates.
Starting in 2005, the plaintiffs had invested over $4 billion in RMBS certificates and had lost approximately $1.6 billion as of August 31, 2016. The project entailed providing data, analytics, and subject matter expertise for end-to-end litigation expert services, including performing loss analysis and understanding the Pooling and Servicing Agreements (PSAs). PSAs are essentially a contract that governs the rights and obligations of multiple parties, including the plaintiffs and defendants involved in the transaction. This effort included: building a “unique-to-each” transaction cashflow model per the PSA; collecting monthly collateral performance and bond administration data for the past 12 years; building a Monte Carlo Alternate Scenario Simulation Engine; responding to interrogatories; formulating depositions, and providing expert affidavits and authoritative declarations on subject matter and expert testimony at trial.
Oakleaf invested in a strategic plan to support potential legal outcomes from the nation’s 2007 housing crisis. This plan required an accumulation of expertise for financial markets and RMBS securities by understanding PSAs, analyzing RMBS Trustee Remittance Reports, and RMBS Collateral Performance Data. To be successful and compliant with court deadlines, Oakleaf developed a process to respond within court mandated reporting deadlines (typically 3 to 21 days). The analytics and reporting process involves downloading and parsing terabytes of data, performing data analytics, and developing models with 100% accuracy.
As part of this process, Oakleaf developed complex cashflow models incorporating up to 20 variables and up to 200 data fields based on the terms of the Pooling and Servicing Agreement. Once developed, Oakleaf performed cashflow model validations against industry standard models (INTEX). Oakleaf also developed a tool that monikered the “MC1000 Tool” that would execute 1,000 Monte Carlo simulations and apply statistical methods to affect alternate scenarios for the cashflow models.
In serving as the damages expert, Oakleaf advised clients on meaning and applicability on RMBS Securities and Collateral Performance data for 746 securitizations (including monthly trustee bond administration and collateral performance data for over 13 years). This required transforming trustee reported bond administration and collateral data into relational databases to allow for more efficient analytics and modeling.