ASG provides to its clients extensive experience in the capital markets, investment banking, trading, sales and capital markets analysis. ASG is a Financial Advisor to CalSTRS, a Financial Advisor and Due Diligence Provider to Freddie Mac, a Financial Advisor to Ginnie Mae and a Transaction Financial Advisor to the SBA. ASG has also been Financial Advisor, Loan Sale Advisor and Due Diligence Contractor for the RTC, FDIC and HUD. ASG has a distinguished private-sector client base and performs portfolio advisory, securitization and due diligence for securities dealers, pension funds, insurance companies, and banks.
ASG has managed all facets of the loan sale process, including structuring, stratification, portfolio valuation, securitization, marketing to investors, bid analysis, packaging and closing. ASG has marketed consumer and commercial assets, residential loans and acquired property portfolios through sealed bids, bulk sales, auctions, and agency and non-agency securitizations. In every engagement, ASG has sold assets well in excess of the reserve price and completed its projects within the explicit timeframes set by its clients.
Pooling by product type is the standard methodology for selling any asset. Pooling allows the analyst to examine the portfolio for product type, credit quality, and performance and determine the degree of homogeneity. The analyst performs a comparative analysis of alternative disposition strategies given current market conditions of supply, demand, interest rates, economic activity to determine the best approach: securitization, bulk sale, auction, or equity sharing joint venture. ASG pools the portfolio by product type and loan/lease characteristics, e.g., index, term, balance, coupon, among other variables.
Structuring Methodology: ASG incorporated its pooling methodology in its proprietary software. The ASG Mortgage Tool Kit © 1996-2003 (The ASG Toolkit) was developed over a period of seven years. ASG beta tested the software by the processing of over two million loans. The ASG Toolkit reflects ASG’s experience with a wide variety of loan products and their complexities. It contains functions for data mapping, portfolio analysis, structuring, due diligence and pricing. The Structuring Tool contains pooling and reporting functions. This is also the tool in which calculations are performed, such as LTVs, remaining term, delinquencies and automatically triggered deficiencies.
The Structuring Tool enables pooling by over 20 variables, such as ARM vs. fixed, term, balance, index, interest reset frequency or status, and credit grade. As the User applies different criteria or combinations of criteria, the pool result is displayed at the bottom of the Pooling Screen. The User can view the pooling results in order to decide on an optimum pooling strategy.
The User can further refine the portfolio structure by utilizing the Filtering Tool to stratify the products by qualitative measures such as LTV, FICO Scores, Credit Ratios and Delinquency, among many others. ASG’s software, was designed to accommodate GSE and rating agency imports and exports (Midanet and Mornet). The ASG Tool Kit contains the field formatting, code conversion and field mapping functions necessary for the import and export of data. Customized maps can be saved for future use.
ASG first stratifies the portfolio by product type. Product type assignments consider fixed versus adjustable rate, maturity, adjustment frequency, index, margins and caps. The product type becomes the basis for the assignment of a benchmark yield.
ASG stratifies the portfolio with respect to document and credit deficiencies, as well as payment delinquencies and assigns a grade to each stratification, with “A” being the highest grade level. ASG recognizes that methodologies differ from firm to firm. Therefore, the ASG Tool Kit™ has been designed to accommodate any set of criteria. Once stratification of the portfolio has been completed, ASG assigns a yield spread over the benchmark to each grade.
The stratification yield spreads are a function of conservative current market spreads for whole loans with those quality features. Factors influencing quality spreads would include the investors’ ability to cure a deficiency and resell the loan for a higher price and/or the risk or cost associated with making representations and warranties upon resale.
The calculation of price utilizes the actual data for each loan and assumes a prepayment speed as determined by a survey of current estimates for comparable coupon and seasoned mortgages. Following current market practice, both fixed rate calculations and ARM calculations are based on CPR (Constant Prepayment Rate) speeds. All yields are expressed as mortgage or monthly cash flow yields as opposed to bond equivalents.