Residential Loan Securitization Case Study: Large Bank Holding Company leverages JWL’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 non-current 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 probability-weighted macroeconomic scenarios in order 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 up-to-date 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.