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CCAR Data Quality & Remediation
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Since 1985, Situs is the premier third party real estate advisory firm
supporting the financial markets in both the US & Europe.
An Introduction to Situs
• Rated Master, Primary and Special Commercial Loan Servicer
• Since 1985, Situs has reviewed and underwritten over $1 trillion of Commercial Real Estate related transactions
• Data Aggregation and Validation
• M&A Loan Due Diligence
• Loan Underwriting & Valuation
Key Products: Longevity: Prestige:
Technology Project
Consulting Dedicated Platforms
Loan Risk Advisory
Loan Servicing
CRE Advisory
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Regulatory Compliance Advisory
Situs DFAST/CCAR Data Aggregation/Validation projects record:
• 10 million data points populated and validated • Accounting for $75.3 Billion in outstanding
principal • Across 441,141 loan files • With a 99.9998% accuracy rate
Situs market leading status is unique in that we:
• Help design a data integrity program focused on CCAR compliance reporting requirements.
• Substantially reduce or eliminate Fed edit checks.
• Provide a team qualified and experienced data and credit underwriters.
• Assist in the uploading of data to be used for a bank’s CCAR reporting and stress testing.
Situs is market leader in
DFAST/CCAR Data Aggregation
services in the US
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• Internal banking systems frequently are not migrated into one system
• Merged banks have multiple proprietary systems that aren’t always in synch
• Resulting in a loss of data integrity at all levels
Integration, Integration, Integration
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• One-third fewer banks in 35 years
• Few achieved full integration
• Most Community banks are still working with paper files
M&A Activity Creates Stress in Stress Testing
• Where do the source of truth documents reside?
• Document imaging and inputting of data is challenging
1980: 18,000 banks vs. 2015: 6,400 banks
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A financial executive said the Fed’s position was unyielding:
“We have a form. Fill it out.’’ (WSJ 10/14/15)
Stress Testing is Stress Creation
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Paper Files Weighing You Down?
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Banks are Paper Filers
• Any bank merging with a DFAST or CCAR bank, or the merged entity exceeds $10B in assets. Are required to perform annual stress tests
• Data is in bad shape:
o Loan files in paper/PDF format
o Data tapes are incomplete
• Banks created by multiple mergers have multiple systems, but each data element can have only a single source of truth
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Data Element Validation & Calculation
Loan Portfolio Data Element Aggregation, Validation & Calculation Services:
• Data elements are aggregated, validated, updated and integrated into the data tape • Revised loan stratification analysis is performed • Results used to advise client on what risks are inherent in their loan products • Work with client to create and execute a risk mitigation plan
Data Element Validation
• Validation of risks inherent to each loan product
• In-depth review of each data element for accuracy
• Primary and Secondary Source Documents are identified and used
• Data Elements are validated, retrieved and/ or calculated
• Loan File and Document Review
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Imaging and Uploading Challenges
• Imaging technology is not operating at a rapid fire pace and still is not accurate
• Expert level uploading takes more than 2 minutes per data point
o 60 seconds to extract a data point
o 40 seconds for the 2 rounds of quality control
o 40 seconds to upload the data element
• CCAR requires 138 data points per loan
o Approx. 4.5 hours per loan
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FR Y-14 M Required Data Elements – MORM (CCHE)
1 Loan Number M142 36 ARM Periodic Pay Floor M181 71 Interest Rate Reduced M262 106 Exposure at Default – EAD M117
2 Loan Closing Date M143 37 Original Loan/Line Term M184 72 Term modification M263 107 Entity Type M952
3 First Payment Date M144 38 Bankruptcy Flag M194 73 Principal Write-down M229 108 HFI FVO/HFS Flag M953
4 Property State 9200 39 Next Payment Due Date M196 74 Line Re-age M264 109
Origination Credit Bureau Score
Vendor R036
5 Property ZIP Code 9220 40 Original Interest Rate M185 75 Loan Extension M265 110
Origination Credit Bureau Score
Version R037
6 Original Loan Amount Disbursed M147 41 Current Interest Rate M197 76 Current Combined LTV M266 111
Current Credit Bureau Score
Vendor R038
7 Original Loan / Line Commitment M242 42 Interest Type - Current M248 77 Modification Type M215 112
Current Credit Bureau Score
Version R039
8 Original Property Value M148 43
Principal and Interest (P&I) Amount
Current M200 78 Last Modified Date M216 113
Current Credit Bureau Score
Date S382
9 Original Combined LTV M150 44 Unpaid Principal Balance M201 79 Refreshed Property Value M209 114
Escrow Amount at Origination
M942
10 Income Documentation M151 45 Monthly Draw Amount M249 80
Refreshed Property Valuation Method
M210 115 Remodified Flag M943
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Debt to Income (DTI) Back-End at
Origination M152 46 Current Credit Limit M250 81 Refreshed Property Valuation Date M267 116
Mortgage Insurance Company
M944
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Debt to Income (DTI) Front-End at
Origination M153 47 Loan Status (MBA method) M251 82
Escrow Amount Current (Retired March
2013) M268 117
Interest Type at Origination
M244
13 Origination Credit Bureau Score M154 48 Foreclosure Referral Date M203 83 Loan Purpose Coding M161 118 Entity Serviced M945
14 Current Credit Bureau Score M189 49 Foreclosure Sale Date M202 84 Remaining Term M198 119 Loss/Write down Amount M241
15 Occupancy M155 50 Pre-Payment Penalty Flag M187 85 Bankruptcy Chapter M195 120 Loss/Write down Date M947
16 Lien Position at Origination M158 51 Pre-Payment Penalty Term M188 86 Accrual Status M957 121 Sales Price of Property M948
17 Home Equity Line Type M243 52
Paid-in-full Coding (Retired
March 2013) M205 87 Foreclosure Suspended M204 122
Performance of Junior Lien(s)
M949
18 Number of Units M162 53 Foreclosure Status M206 88
Property Valuation Method at Origination
(appraisal method) M940 123
Ever 90+ DPD in the Past 12
months M950
19 Property Type M164 54 Liquidation Status M252 89 Loss Mitigation Performance Status M226 124 Commercial Loan Flag M951
20 Interest Type at Origination M244 55 Troubled Debt Restructure Date N185 90 Other Modification Action Type M958 125
Alternative Home Retention
Loss Mitigation Date M939
21 Interest Only at Origination M168 56
Repayment Plan Performance Status
M219 91
Reason for Default This item has been
removed and should not be reported. 126
Alternative Home Liquidation
Loss Mitigation Date M938
22 Interest Only in Reporting Month M190 57 Capitalization M222 92 Third Party Sale Flag M941 127
Escrow Amount After
Modification M937
23 Loan Source M159 58 Interest Rate Frozen M232 93 Loss/Write down Amount M241 128
Escrow Amount Before
Modification M936
24 Credit Class M156 59 Principal Deferred M227 94 Loss/Write down Date M947 129
Remaining Term After
Modification M935
25 Loan / Line Owner M245 60 SOP 03-3 Status M234 95 Unpaid Principal Balance (Net) M960 130
Remaining Term Before
Modification M934
26 ARM Initial Rate Period M171 A 61 Workout Type Completed M218 96 Performance of First Lien M961 131
Interest Rate After Modification
M933
27 ARM Payment Reset Frequency M246 62 First Mortgage Serviced In House M253 97 Ever 90+ DPD in the Past 12 months M950 132
Interest Rate Before
Modification M932
28 Allowable Draw Period M247 63 Settlement Negotiated Amount M254 98 Entity Serviced M945 133
P&I Amount After Modification
M931
29 ARM Index M173 64 Credit Line Frozen Flag M255 99
Total Debt at Time of any Involuntary
Termination M235 134
P&I Amount Before
Modification M930
30 ARM Margin at Origination M174 A 65
Locked Amount – Amortizing – LOC
M256 100 Net Recovery Amount M236 135 Term Extended M929
31 ARM Periodic Rate Cap M176 66
Locked Amount – Interest Only – LOC
M257 101 Sales Price of Property M948 136 Interest Rate Frozen M232
32 ARM Periodic Rate Floor M177 67 Repayment Plan Start Date M258 102 Commercial Loan Flag M951 137 Interest Rate Reduced M262
33 ARM Lifetime Rate Cap M178 68 Actual Payment Amount M259 103 Probability of Default – PD M114 138
Reported as Bank Owned Flag
M239
34 ARM Lifetime Rate Floor M179 69 Lockout Feature Flag M260 104 Loss Given Default – LGD M115
35 ARM Periodic Pay Cap M180 70 Credit Line Closed Flag M261 105 Expected Loss Given Default – ELGD M116
FR Y-14 M Required Data ElementsMDRM (CCHE)
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Newly Required Data Elements
Additional Required Data
Elements
Origination Credit Bureau Score M154
Origination Credit Bureau Score Vendor
R036
Debt to Income (DTI) Back-End at
Origination M152
Debt to Income (DTI) Front-End at
Origination M153
Escrow Amount at Origination M942
First Payment Date M144
Interest Type at Origination M244
Third Party Sale Flag M941
Workout Type Completed M218
Loss/Write down Amount M241
ARM Periodic Pay Floor M181
Allowable Draw Period M247
Foreclosure Sale Date M202
Refreshed Property Value M209
Refreshed Property Value M209
Additional Required Data
Elements
Origination Credit Bureau Score M154
Origination Credit Bureau Score Vendor
R036
Debt to Income (DTI) Back-End at
Origination M152
Debt to Income (DTI) Front-End at
Origination M153
Escrow Amount at Origination M942
First Payment Date M144
Interest Type at Origination M244
Third Party Sale Flag M941
Workout Type Completed M218
Loss/Write down Amount M241
ARM Periodic Pay Floor M181
Allowable Draw Period M247
Foreclosure Sale Date M202
Refreshed Property Value M209
Refreshed Property Value M209
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Case Study – Regional Bank passes CCAR with an MRIA…
• CCAR Bank passed the Stress Test but was given an MRIA regarding Data integrity
• Called Situs for advice
• Situs was onsite the next week with the Lead Team to set up all KDEs for Project 1 ~200,000 loan files (SFR, HE, CRE, C&I)
• Project Started 10 days later with 109 onsite Underwriters
• 3 months later the rest of the bank was given a “Hall Pass” and took advantage
• More than 370,000 files completed by year end
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Project 1 Phase I
Validation of 200,000 Comml & Resi Files
15 – 53 Data Elements
Project 1 Phase II
Validation of 50,000 Comml & Resi Files
10 –30 Data Elements
Project 1 Phase III
Validation of 12,500 Comml & Resi Files
5 – 20 Data Elements
Project 2
Validation of 18,000 Comml & Resi Files 1 – 2 Data Elements
Project 4
Validation of 26,000 Comml & Resi Files
1 Data Element
Project 5
Ongoing Remediation and Validation of Commercial Files
Project 6
Validation of 85,000 Residential Files
2 - 5 Data Elements
Project 7
Validation of 30,000 Residential Files 2 Data Elements
Project 20
HMDA Certification of 4,000 Residential Files
Project 21
ECOA Dispositioning of 1,500 Files
Project 23
ECOA Dispositioning of 2,000 Residential Files
Project 24
HMDA Certification of 250 Residential Files
Project 26
HMDA Certification of 325
Residential Files
Project 27
HMDA Certification of 500
Residential Files
Project 30
Validation of 1,500 Residential Files
10 –30 Data Elements
Project 31
Validation of 2,500 Residential Files
10 – 30 Data Elements
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Since 1985, Situs is the premier third party real estate advisory firm
supporting the financial markets in both the US & Europe.
What We Do
• Reviewed files and Data for 30 years
• In 2014, aggregated data for 70% of the CMBS market
• Advised on countless bank M&A deals in past 10 years
• Data Aggregation and Validation
• M&A Loan Due Diligence
• Loan Underwriting & Valuation
Key Products: Data Quality is our DNA:
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