Service

Securitization

Are you getting the guidance and assistance from your advisors as you navigate the securitization process lifecycle?

Whether your organization issues complex financial transaction or invests in fixed income securities, which collectively present unique challenges in raising capital, adhering to regulatory compliance needs, or meeting financial reporting requirements, our Securitization professionals are here to assist. We have over 30 years in experience in providing agreed upon procedures across all asset classes, securitization tax compliance and planning, Regulation AB compliance procedures, and credit impairment analysis.  Additionally, our Securitization professionals have teamed with KPMG’s Data & Analytics practice to develop machine learning and cognitive solutions for the securitization market related to predictive modeling to increase loan origination volumes, and apply our constraint-based optimization engine to optimize the securitization pooling selection process.  Collectively with our experience and services, we can provide a value-add to your organization from end-to-end through the securitization lifecycle.

RMBS, CMBS, ABS, CLO and CDO services

KPMG has in-depth knowledge across all primary securitization asset classes: RMBS, CMBS, ABS, CLO and CDO. KPMG’s Securitization Practice provides full lifecycle pre and post issuance service needs including: deal execution, portfolio compliance, tax strategy and compliance, regulatory compliance and reporting, accounting, and valuation services.

Payment verification services

KPMG’s payment verification services can provide you with an enhanced level of validation for monthly, quarterly and annual securities payments. Some of the key services KPMG offers related to the payment verification process include monthly payment calculations and validation of client payment calculations. We have over 25 years of experience in providing calculation services across a range of capital structures and RMBS, CMBS, and ABS collateral types. Our goal is to help you to reduce calculations and model errors in order to enhance timeliness and accuracy of payments.

Regulation AB services

KPMG assists more than a dozen trustees, servicers, and issuers with their annual management assertion related to compliance with the SEC's Regulation AB (Reg AB). Reg AB establishes uniform requirements for registration, servicing, loss mitigation, and other ongoing reporting for publicly issued transactions including RMBS, CMBS, and ABS. A key focal point of Reg AB is its 1122(d)(3) criteria, Investor Remittance and Reporting, which KPMG utilizes proprietary calculations tools and industry expertise to evaluate. KPMG also provides readiness assessment and gap analysis procedures for its clients related to the upcoming Regulation AB 2.0 and its additional loan-level XML reporting and submission requirements.

CLO services

KPMG has a dedicated team of CLO professionals that specialize in meeting the CLO accounting requirements throughout the CLO lifecycle. Services include risk retention planning, recomputation of warehouse reporting requirements, closing date cash flow modeling, effective date procedures, payment date calculations, PFIC tax services, valuation services, and redemption procedures.

Securitization tax services

KPMG’s securitization tax team is an experienced team with over 25 years of direct securitization experience assisting the financial services and alternative investment industry with tax planning and tax reporting over the life of an asset and transaction.

Risk Retention Advisory

KPMG has compiled a team of cross functional specialists from Accounting Advisory, Tax and Securitization Practice to advise clients on the accounting implications of their Dodd-Frank risk retention strategy. Services include MOA consolidation analysis, fair-market value disclosures, structure accounting, tax planning and operational risk assessment. KPMG professionals have been featured at multiple conferences and in publications as thought leaders on the topic.

Data & analytic solutions

KPMG has a dedicated team of Data & Analytics professionals that specialize in developing solutions for the financial markets. Our Securitization professionals have teamed with KPMG’s Data & Analytics practice to develop cognitive and machine learning solutions for the securitization market, such as our first time home buyer predictive model and our constraint-based loan optimization model.  The first time home buyer predictive model provides clients the ability to increase their customer acquisition rate by score ranking potential borrowers in their desired targeted market to increase loan origination volumes providing issuers/originators more loans to securitize.  Our constraint-based optimization engine is applied to optimize the pooling selection process on which loans to securitize versus not to securitize based on issuer, investor, and rating agency constraints, which provides issuers the ability to uncover hidden value in their loan portfolio warehouse.