A private equity firm acquired a large portfolio of non-performing residential mortgage loans and needed both a retroactive performance analysis and a picture of collateral composition at acquisition. Oak Branch Advisors delivered both using cohort-based analysis built on PCS/1.
The firm had acquired a sizable pool of non-performing residential mortgage loans over the course of a year and needed two things: a retroactive analysis of how the underlying collateral had contributed to performance, and a clear picture of collateral composition at the point of acquisition. Without this, the firm had limited visibility into what was actually driving returns across the pool.
Oak Branch Advisors onboarded loan-level details and servicing data for the full pool into PCS/1 to build a composition analysis. Our team identified meaningful cohorts within the pool and utilized proprietary Oak Branch tools to perform a comprehensive analysis. Using the same cohorts, we conducted a performance analysis on the liquidated portion of the pool, covering expected and realized recovery amounts, recovery timelines, annualized yield, and multiple on invested capital.
We further enhanced the analysis by incorporating home price appreciation data to isolate its effect on the pool’s overall performance, giving the firm a clearer view of which factors were actually driving results.
The firm gained a clear, cohort-level view of both collateral composition at acquisition and actual performance drivers across the liquidated portion of the pool, including recovery amounts, timelines, yield, and the specific impact of home price appreciation on returns.
Loans are grouped into meaningful cohorts to reveal performance patterns that a single pool-wide view would obscure.
Dynamic PCS/1 reporting allows the firm to explore composition and performance data directly rather than working from static reports.
Home price appreciation data is layered into the analysis to isolate its specific contribution to recovery performance.
This approach fits private equity and credit investors who have acquired or are evaluating non-performing loan pools and need to understand what is actually driving performance beneath the surface of a single blended return figure.
Cohort-based composition and performance analysis that revealed what actually drove an acquired pool of non-performing residential mortgages.
Yes. This engagement was a retroactive analysis, performed after acquisition to assess collateral contribution to performance over the following year.
Yes, where relevant. In this engagement, home price appreciation data was incorporated to isolate its specific effect on the pool’s performance.
