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RMBS Recovery Advisory & Analytics for GSE

Oakleaf was retained to: (a) prototype, design and implement a loss mitigation process for Fannie Mae’s holdings of defaulted Residential Mortgage Backed Security (RMBS) Private Label Security (PLS) investments, and (b) identify breaches of Representations & Warranties and establish the basis for and an estimate of the resulting dollar amounts of damages due to fraud and non-compliance that could be put back to the original seller.  This was an entirely novel effort that had not been performed previously in the RMBS securities industry. Our goal was to help Fannie Mae recover billions in lost investment dollars.       


The project was very specialized, requiring the engagement of numerous Subject Matter Experts (SMEs) who were tasked with quickly gathering and analyzing financial data, providing a detailed analysis and understanding of complex mortgage loan level data, and recommending prototyped methods that combined loan level data with other available data sets to identify fraud, potential misrepresentations, and outright breach of contract situations. The SMEs prototyped and tested reports and executed analytics routines to analyze and report on the project, recommending methodologies to further sustain the analyses and reports of the data.


Oakleaf Group’s SMEs quickly identified innovative ways of leveraging available mortgage loan data to create a loan data repository and created a series of reports and new analytics methods. This data repository and associated analytics and reports became the first cloud-based data and computing platform at Fannie Mae, “PLS-FURS” (Private Label Security Forensic Underwriting Reporting System).


At the client’s request, Oakleaf Group brought numerous specialized SMEs who advised Fannie Mae’s stakeholders: Legal, Policy, Portfolio Management, and Economists.  We also deployed statistical programmers and data analysts and managed the project.  We adhered to the client’s highly mature and well-controlled change management and SDLC standards which required obtaining Project Quality Office approval prior to new tools being moved into production.


The system was populated with static data, time-series data, valuation data, and public records data for more than 1,800,000 residential mortgage loans. Oakleaf Group’s SMEs designed and built over 20 analytic tools and reports to help Fannie Mae examine underwritten loans for potential fraud.  Our workflows, streamlined QC processes and standardized procedures ensured repeatable, consistent, timely results.


Oakleaf utilized powerful multi-level reporting functionality from the client's PLS-FURS database to identify the transactions with the highest potential value for successful repurchase claims based on fraud. We developed “Battle Plans” for each securitized loan and adjusted our strategies in response to, and in anticipation of the complex and changing dynamics of the securities market, and the changing legal and regulatory environment.