Residential Loan Securitization Case Study: Large Bank Holding Company leverages JSP’s Loan Level Tools to Optimize Securitization Strategy

Client’s Challenge

  • The client is a large U.S based bank holding company that purchases and aggregates residential loans as well as issues RMBS deals. These residential loan pools include both performing and noncurrent loans.
  • The client routinely retained subordinated pieces of these RMBS deals.
  • The client’s investment banking division needed superior whole loan analytics to properly model the various scenarios of return based on execution.

Our Solution

  • The client identified Five Bridges’ Javelin for Whole Loans (JWL) platform as a strong candidate to provide the enhanced analytics they needed.
  • We worked with client owners to identify an appropriate integration plan for incorporating their existing workflow into Javelin.
  • The client licensed JWL to host their owned loans and pools of loans for sale in the market. In addition, they leveraged the following JWL features for their securitization workflow:
    – Stratifying loans into various pools for potential securitization.
    – Creating sets of probabilityweighted macroeconomic scenarios inorder to price each loan across used multiple scenarios as a way to optimize pooling strategy.
    – Leveraged FBA’s econometric forecast models to add robustness to their existing pooling and sale methodology.


  • With the help of Five Bridges, the client was able to leverage JWL to establish accurate and uptodate loan and pool level prices, and optimize the loan mix to maximize return frontier.
  • By integrating their existing securitization workflow into the JWL platform,the client increased speed and efficiency in their securitization operations as well as identified and reduced pooling and securitizing risk.