Marks to market, margin call, and collateral auction

For a major international bank in litigation between it and its former customer, The Brattle Group conducted an analysis of a series of contentious MBS marks to market and margin calls. The disputed margin calls led to the bank selling the MBS collateral through a type of auction called a ‘bids wanted in competition’ or BWIC. Statistical analysis of winning bids in the BWIC showed the auction generated competitive prices for the collateral although the entire bidding process lasted only a few hours.