Loans

Sperlinga Advisory LLC has extensive experience with residential whole loans, with specialization in the non-performing and re-performing areas. The firm's work with large loan data sets has been applied to valuations, loan sales, as well as loan acquisition program development.

Links to Sperlinga Advisory's loan related assignments are listed to the right and do not represent a complete list.

The experience is divided between supporting government loan sales, and program advisory assignments, which facilitated the development of loan purchase and / or securitization programs.

Myerberg & Co. / US Small Business Administration:

Sperlinga Advisory analyzed, and assisted in both the valuation and sale of a pair of US Small Business Administration’s loan portfolios. SA LLC worked for Myerberg & Co., a woman-owned broker-dealer, who acted as the transaction financial advisor for a pair of these SBA asset sales (Sale #4 and Sale #8).

Together, these portfolios contained tens of thousands of loans, representing close to $2.0 B of face amount. Sperlinga Advisory’s role began with analysis of the tape information provided by the due diligence contractor throughout the sale process. Updated analysis SA LLC provided was re-distributed to the bidders on the loan portfolio as updates were received. In this way, the team kept the bidders apprised of changes in the portfolio.

The portfolios provided challenges in terms of diversity. Included in the SBA sales are unsecured loans, commercial and residential loans. The amount and quality of the data from loan group to loan group varied widely.

There was also a requirement for the loan portfolio to be valued at certain points prior to the sale. Sperlinga Advisory’s role was to handle the valuation of the non-performing assets. We created a model which would value residential, commercial and unsecured non-performing assets. These valuations were presented to the SBA and to the Office of Budget and Management.

Myerberg & Co. / HUD Single Family Loan Sale Program:

Sperlinga Advisory analyzed, and assisted in both the valuation and sale of certain loan auctions under HUD's Single Family Loan Sale program ["SFLS"]. SA worked as an advisor to Myerberg & Co., a woman-owned broker-dealer, who acted as the Transaction Specialist for the 2000-1 sale and subsequent sales in the SFLS program in varying capacities.

SA LLC performed certain tasks under its agreement on those sales where Myerberg & Co. was involved, including analysis of loan data, assisting in sale pool stratification, creation of data presented to bidders and interim valuations of non-performing loans. SA LLC continued to assist Myerberg & Co. with its involvement in SFLS through 2014.

Cendant Mortgage / WM Daugherty:

Sperlinga Advisory was retained to structure a series of bonds backed by so called “scratch and dent” loans. These loans were not necessarily made to poor credit borrowers, but had some characteristic which made them unacceptable to GNMA, FNMA or FHLMC. Document deficiencies were often the reason for their unacceptability.

These loans were aggregated by Cendant Mortgage, a large New Jersey based mortgage banker. W.M. Daugherty who was assigned to create the securitization, retained Sperlinga Advisory for the actual structuring of the bonds. We were provided with collateral tapes of what Cendant wanted to securitize. We performed analysis to be used in the rating agency process. As one might imagine, the Cendant portfolio included loans with a wide array of mortgage characteristics [e.g. fixed and floating, Federal and state insured, balloon and relocation, etc.].

Sperlinga Advisory produced yield tables for the marketing of the bonds, as well as the decrement tables used in the legal offering documents. We also provided Cendant analysis of the residual, first-loss and mezzanine securities they retained.

European Insurance Company:

Sperlinga Advisory assisted a large European insurance company (the "Insurance Company"), in evaluating whether it was profitable for them to purchase adjustable rate home loans from borrowers with sub-prime credit ("sub-prime ARM loans").

In evaluating the profitability of purchasing these loans, SA performed the following steps:

i) Once a potential seller of loans to the Insurance Company was identified, SA accumulated a large amount of historical data from that originator. From that data, SA was able to track the performance of these loans across different economic environments, and to derive preliminary estimates for defaults, losses and voluntary prepayments.

ii) Hedges were incorporated to take into account the fact that the Insurance Company's liabilities to fund the loans were entirely LIBOR-based and were partially mismatched with the sub-prime ARM loans.

iii) Determined the risk-adjusted return for various prices at which the Insurance Company could purchase the sample portfolio. These returns (adjusted for the hedging costs) were compared to the Insurance Company's hurdle rates of return to determine whether the sub-prime ARM loans represented a suitable transaction.

Given that the offered price of the portfolio did not meet the Insurance Company's hurdle returns, SA determined the appropriate price that would be necessary in order for the transaction to be suitable.

Myerberg & Co. / FHLB Mortgage Purchase Program ["MPP"]:

Sperlinga Advisory acted as an advisor to Myerberg & Co., a woman-owned broker-dealer who acted as the Program Financial Advisor to the Federal Home Loan Banks of Cincinnati, Indianapolis and Seattle in the development of their Mortgage Purchase Program ["MPP"].

MPP was developed to allow the three above mentioned FHLBs to purchase loans from their member banks. The program was designed to allow the three banks to:

i) Purchase a meaningful volume of single-family mortgage loans from their members;

ii) Individually control pricing of their purchases, as well as other program risks (e.g. loan underwriting); and

iii) Provide appropriate returns to their member shareholders.

SA LLC's role was to analyze the efficacy of different program structures which allocated loan default and prepayment risks to various MPP participants [e.g. the originating member bank, a PMI company, the FHLB, etc.]. The structure ultimately employed a component which departed from the GSE model and rewarded member banks for originating good quality loans.

Our analysis was also used to balance the need to offer the FHLB member banks competitive loan pricing to alternative executions (e.g. FNMA), with the need for program safety.

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