Compliance With STS Requirements

The new EC Proposal 472 was released on 30th September 2015 and concerns STS, due diligence and transparency on securitisation transactions. The main objectives are to revive markets on a more sustainable basis so that STS securitisation can act as an effective funding channel to the economy, to allow for efficient and effective risk transfers to a broad set of institutional investors and to allow securitisation to function as an effective funding mechanism for some non-banks (e.g. insurance companies) as well as banks.
OSIS have powerful cloud-based tools, LoanCracker™ and LoanPilot™ABS, which are designed to aid compliance based on the following key features.

Originators

  • Originators have to make loan level data available free of charge on a quarterly basis and accessible through a website. OSIS provides a portal for investors to view data clearly and consistently via its website.
  • The data needs to meet certain data quality criteria especially if the transaction needs to be certified as STS. See on our website which SME and RMBS transactions published at the European DataWarehouse have a score meeting the required 95% confidence level. In practice this means that the data from all STS transactions can be processed automatically enabling sophisticated analysis at the fingertips of the investor.
  • Furthermore standardized data makes it easy to visualize entire securitization markets and benchmark transactions, originators or countries.
  • LoanCracker™ allows due diligence to be visualized in just a matter of seconds with easy-to-use analytics. Designed for Big Data analysis, the tool instantly aggregates data across millions of rows. Reports are downloadable as graphs or tables in JPG or PDF; csv files are available for the underlying data at loan level.

Investors

  • Investors have a written policy on their due diligence framework. We have documentation on our tools to help meet this requirement.
  • Investors need to focus on the underlying collateral, with loan level data analysis. LoanCracker™ has been built specifically for this purpose.
  • There is a requirement of monitoring during the life of the deal: roll rates, collateral types etc. For this investors need to analyse loan level data and LoanCracker™ can cater for all these requirements and more.
  • Investors need to stress test cash flows and collateral values. LoanPilot™ABS is the OSIS solution that runs credit models at loan level. It is also possible to interface LoanPilot™ with a deterministic, third party, cash flow model if the investor so wishes.