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Burnaman Art 77 Report

Burnaman Art 77 Report

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Published by Chris Herzeca
BAC Settlement Valuation Report re BAC Art 77
BAC Settlement Valuation Report re BAC Art 77

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Categories:Types, Business/Law
Published by: Chris Herzeca on Mar 16, 2013
Copyright:Attribution Non-commercial

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12/29/2013

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 SUPREME COURT OF THE STATE OF NEW YORK COUNTY OF NEW YORK ---------------------------------------------------------------------- XIn the matter of the application of :::::::::::::THE BANK OF NEW YORK MELLON,(as Trustee under various Pooling and ServicingAgreements and Indenture Trustee under variousIndentures),Index No. 651786/2011Assigned to: Kapnick, J.
 
Petitioner,for an order, pursuant to CPLR § 7701, seeking judicial instructions and approval of a proposedsettlement.---------------------------------------------------------------------- X
Expert Report of Phillip R. Burnaman, IIThe GreensLedge Group LLCOpinion on Settlement Amount,Valuation of Servicing Improvementsand Certain Document Exception CuresCONFIDENTIAL
FILED: NEW YORK COUNTY CLERK 03/14/2013
INDEX NO. 651786/2011NYSCEF DOC. NO. 539RECEIVED NYSCEF: 03/14/2013
 
 2
Contents
1
 
Scope of Work ......................................................................................................................... 4
 
2
 
Summary and Conclusion ........................................................................................................ 5
 
3
 
Background .............................................................................................................................. 8
 
4
 
Qualitative and Quantitative Considerations Regarding Claims ........................................... 10
 
4.1
 
Mortgage Portfolio Modeling Considerations................................................................ 13
 
4.2
 
Application of Breach, Success, Causality and Repurchase Rate .................................. 13
 
4.3
 
Valuation Methodology Considerations......................................................................... 15
 
4.4
 
Counterparty Risk, Litigation Risk and Other Risk Considerations .............................. 16
 
5
 
Review of the Parties’ Claims Valuation Methodology
........................................................ 18
 
5.1
 
Valuation Methodology of BANA ................................................................................. 18
 
5.2
 
Valuation Methodology of the Institutional Investors ................................................... 19
 
5.3
 
Key Differences in Valuation Methodology .................................................................. 20
 
5.4
 
Opinion on Derivation of the Settlement Amount ......................................................... 21
 
6
 
Range of Reasonable Value for Repurchase Claims and Settlement Amount ...................... 25
 
7
 
Servicing Improvements Background ................................................................................... 29
 
8
 
Review of Servicing Improvements in Proposed Settlement ................................................ 32
 
8.1
 
Transfer of High Risk Loans to Subservicers ................................................................ 32
 
8.2
 
Servicing Improvements for Loans Not Transferred ..................................................... 33
 
8.3
 
Cure of Certain Document Exceptions........................................................................... 33
 
9
 
Servicing Improvement Valuation Methodologies ................................................................ 34
 
10
 
Calculation of Value for the Transfers of High Risk Loans .................................................. 39
 
10.1
 
Total High Risk Loan Population as of November 2011 ............................................... 39
 
10.2
 
Identify Loans to Transfer to Subservicers .................................................................... 40
 
10.3
 
Calculation of the Benefit from Improved Re-Performance Rates ................................ 40
 
10.4
 
Calculation of the Benefit from Improved Foreclosure Timeline .................................. 42
 
10.5
 
Total Benefit this Quarter from Re-performance and Foreclosure Timeline ................. 43
 
10.6
 
Total Savings after Five Years of Transfers................................................................... 44
 
 
 311
 
Transfer Costs ........................................................................................................................ 45
 
12
 
Incentives for a Timely Foreclosure Process ......................................................................... 46
 
12.1
 
Incentive Payment - Timeline for Referral to Foreclosure ............................................ 46
 
12.2
 
Incentive payment - Timeline for Foreclosure Process .................................................. 47
 
12.3
 
Incentive payment
 – 
Current Loans ............................................................................... 48
 
12.4
 
Incentive payment
 – 
Summary ....................................................................................... 49
 
13
 
Cure of Certain Documentation Exceptions .......................................................................... 50
 
14
 
Summary ................................................................................................................................ 51
 
Appendix A.
 
Phillip R. Burnaman, II ....................................................................................... 52
 
Appendix B.
 
Materials Relied Upon ........................................................................................ 54
 
Appendix C.
 
Transfer Costs ..................................................................................................... 58
 
Appendix D.
 
High Risk Loan Transfer Calculations ................................................................ 60
 
Appendix E.
 
Fair Value Measurement (Topic 820) No. 2011-04
 – 
May 2011 Key Sections . 65
 
Exhibit A. ...................................................................................................................................... 69
 
Exhibit B. ...................................................................................................................................... 72
 

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