Boxwood assists clients in the analysis of commercial mortgage securities or whole loan portfolios, with a special emphasis on small-balance commercial loan assets. This asset class, which is performing solidly compared with other mortgage-backed securities, has become increasingly attractive to investors in today's troublesome capital markets environment.

Some analytical challenges come along with this growing appeal. Small-balance mortgage securities are typically composed of a mix of investor and owner-occupied properties, so the task of measuring individual loan and portfolio performance is complex given the differing types of credit risk. Moreover, many small-balance bonds are backed by hundreds of individual small commercial properties.

Boxwood's mortgage analytics are geared especially to these challenges. Consulting on acquisition/deal support and ongoing surveillance services, we bring along a toolkit including valuation models and a credit risk system. Our automated valuation models provide rapid market value estimates for small commercial properties that are vital to updating LTVs and overall portfolio determinations. Our credit risk tool quickly processes loan tapes for hundreds of loans or more, while generating statistical estimates for critical performance metrics such as default probability, loss severity (i.e., loss given default), and expected and unexpected loss.

Boxwood takes a rigorous and quantitative approach to this mortgage analysis utilizing Monte Carlo simulation that uncovers different levels of risk and return for 5,000 or more different scenarios of future macroeconomic, demographic and real estate market conditions. Importantly, we generate the analytics using real estate, and economic and business-related data sources that are directly associated with small commercial property ownership and small-business health.

The chief benefit of Boxwood's mortgage analytics services, then, is that investors gain quantitative and reliable estimates of future small-balance loan performance that support day-to-day buy/hold/sell decisions.