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General

Athena™ Credit Risk Transfer Analysis

By | General

OSIS has developed Athena to support originators and investors to structure a Credit risk transfer transactions. With Athena the user can navigate through a changing regulatory and macro economic landscape and to optimize the underlying loan portfolio composition from both an investors’ and an originators’ perspective.

Dashboard of RWA and Expected Credit loss forecasting.

Athena offers easy to use portfolio analytics looking at many different variables:

  • Industry compositions (SME, CRE, Large Corp, Project Finance)
  • Single name concentrations (SME)
  • LTV buckets (RMBS, CRE)
  • PD and LGD compositions
  • Maturity profile
  • PD & LGD estimates from OSIS (RMBS).

 

Dashboard to stress test expected credit losses and RWA in function of EBA or FED defined macro scenarios.

Athena offers a credit model with in-depth economic analyses of the pool and potential tranches:

  •  IRR at each confidence level as a function of:
    • Attachment and detachment point of each tranche
    • Macro stress scenario
    • Coupon
    • Discount rate
    • Excess spread
    • Sequential or pro rate amortization
    • Time calls and clean up calls
  • Providing an iterative process to amend the composition of the pool or change pricing / tranching
  • Value the transaction in function of different stress and regulatory scenarios discounting the invested amount of capital against future capital repayments and realized capital relief, timing of provisions (CECL, IFRS9), protections fees and net income
    .

Transaction performance outputs: expected IRR Investor, portfolio p&l forecast, cost of relieved capital, optimisation on tranching and check on SRT requirements.

IFRS 13 Residential Mortgage Valuation

By | General, News

IFRS 13 Residential Mortgage Valuation

We determine a fair market value of Dutch Residential mortgages, in accordance with IFRS 13 using a loan level data provided by the originators.

IFRS 13 does not specify a detailed approach to use for valuing assets and therefore there is no market standard for the valuation of mortgages. The market value is the price that a knowledgeable and willing seller and buyer would agree in an orderly arm’s length transaction at the reference date. IFRS 13 essentially requires to follow the same approach in valuation that such market participants would use to agree on the price.

The Dutch Central Bank (DNB) has published guidance on the fair value determination of Dutch mortgages for prudential purposes. Our valuation method aims to meet both IFRS and prudential requirements:

  1. The amortization type of the mortgages (annuity, linear, bullet)
  2. Time to interest reset of fixed rate mortgages
  3. The guarantee from NHG (if any)
  4. Current loan to value of the mortgage
  5. Product specific-options (caps/floors) including the option of the borrower to prepay without penalty

Further we model on the loan level expected credit loss (compliant with IFRS9), expected prepayments. We follow an extensive process to build these models.

Credit model flow chart explaining all individual steps in the modeling process.

Therefore, our valuations not only take into account the actual point of the cycle but also could be stressed in function of FED or EBA defined or user defined macro scenarios.

In-sample 1t and residuals for the reference default macro model (blue) and a model using the mortgage spread for comparison.

To contact us, complete the fields below and we’ll get back to you or call us at +31703260370.







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Details

Open Source Investor Services B.V. (OSIS)
WorldTrade Centre The Hague
Prinses Margrietplantsoen 33
2595 AM The Hague
The Netherlands

[TEL] +31 70 32 60 370
[E-MAIL] info@os-is.com

Certification ISAE 3402 type 1

By | General, News

Certification ISAE 3402 type 1

OSIS, has also decided to issue an ISAE statement by Ernst & Young Accountants LLP based on testing the implementation of September 2017.

The objective of the ISAE3402 declaration is to demonstrate to our online customers and their internal organization that the quality of service provided by OSIS is sufficiently guaranteed. The quality of the service is demonstrated in the statement by assessing the design, existence and operation of the internal controls. For internal control, OSIS has set up and implemented a framework to ensure the quality of the management system and to anchor the processes. With this system, OSIS manages its risks.

ISAE 3402 deals with assurance engagements that are performed at a service organization. This is done to provide customers of services of this service organization and their accountants with a reasonable degree of certainty about the internal control measures of the service organization. The scope of the investigation is limited to processes and control measures, insofar as they are important for the audit of the financial statements of the services-purchasing entity.

Scope:

For this OSIS provides the following services that are in scope for this report:

  • Online services like Investor reporting, Athena and Metis provides system and application management, optimal security and a daily backup. This is also called a cloud, Software-as-a-Service (SaaS) or Application Service Provider (ASP) solution;
  • Data security is an absolute priority for OSIS. This security applies to both the hosting provider, the data connection and data management;
  • OSIS uses the sub-service organization Amazon Web Services to provide Platform as a Service hosting and housing services. In addition OSIS uses the sub-service organization Dropbox and Amazon Web Services to provide data exchange services between clients and the service provider. For its description OSIS uses the carve-out method for both sub-service organizations. OSIS’ Description includes only the control objectives and related controls of OSIS and therefore excludes the control objectives and related controls of Amazon Web Services and Dropbox.

Not in scope:

The risk and validation models, which are used by the user organizations, have been tested and accepted by the user organization prior to the initiation of the SaaS hosting. OSIS’ core processes manages these risk and validation models and their underlying life cycle.

When is the ISAE 3402 type 2 report available?

The next report will be the reporting for the entire year September 2017 until September 2018. To make a complete report, the year must be finished. Because the audits can take some time at the accountant, it is expected that the next report will be available around quarter 4 2018. We do not have ‘Bridge letters’ available for the meantime.

Software Developer

By | Careers, General, News

Software Developer

OSIS™ is looking for a full time Software Developer based at its office in The Hague. The Software developer will work in an innovative environment of a dynamic analytics and software’s boutique. The position is full time and suited for a motivated individual with demonstrable affinity with software development and financial industry. Candidates should have strong quantitative and communication skills with at least 3 years of relevant work experiences in a similar function.

OSIS™ offers an attractive reward package, an investment in further education and an inspiring, international working environment with clients in Europe, North America, Asia and Australia. We work for tier 1 banks, insurance companies, fintech companies, asset managers and pension funds.

Responsibilities of the Software Developer are:

  • Maintenance, improvement and development of the OSIS™ data and software infrastructure
  • Develop professional, intuitive web-based solutions in close co-operation with our clients, client support team and model development team
  • Document the technical details of your work clearly to facilitate collaboration with other team members and ensure quality control

Requirements for this position include the following:

  • Master’s degree in computer science, engineering, Software engineering Artificial Intelligence
  • 3-5 years of related work experience.
  • A strong foundation in programming or web development, including distributed version control, Linux operating systems, and web frameworks.
  • Proficiency in R and Shiny (required), with experience in JavaScript and HTML.
  • Experience working with and managing large data sets, data cleaning and transformations, and providing preliminary descriptive statistics.
  • Strong written and verbal communication skills.
  • GitHub portfolio or other accessible code samples desired.
  • Demonstrable affinity with the financial industry.
  • Enthusiastic and creative team player.
  • English both verbal and in writing (one or two other European languages is a plus).

Applications package: CV and motivation
For sending your application or more information please contact:
recruitment@os-is.com | +31 70 32 60 370

Quantitative Credit Analyst (senior)

By | Careers, General, News

Quantitative Credit Analyst (senior)

OSIS™ is looking for a full time quantitative credit analyst based at its office in The Hague. The analyst will work in an innovative environment of a dynamic analytics boutique. The position is full time and suited for a motivated individual with demonstrable affinity with financial industry. Candidates should have strong quantitative and communication skills with at least 3 years of relevant work experiences in academics or in the financial industry.

OSIS™ offers an attractive reward package, an investment in further education and an inspiring, international working environment with clients in Europe, North America, Asia and Australia. We work for tier 1 banks, insurance companies, asset managers and pension funds.

Responsibilities of the Quantitative Credit Analyst are:

  • Maintenance and improvement of the OSIS™ data infrastructure and suite of statistical models
  • Analysing asset-backed securities and loan portfolios under various stress scenarios
  • Producing credit analysis and research with macro-economic elements

Requirements:

  • Enthusiastic and creative team player
  • Strong quantitative analytical skills
  • English both verbal and in writing (one or two other European languages is a plus)
  • Experience with financial programming (preferably R and Shiny)
  • Demonstrable affinity with the financial industry

Applications package: CV and motivation
For sending your application please use recruitment@os-is.com and for more information please call us at  +31 20 70 85 769

 

 

Dutch mortgage PD model

By | General, News, RMBS Analysis

OSIS has developed a new Bayesian PD and LGD model for residential mortgages to estimate, benchmark and backtest PDs and LGDs in a fast, robust and dynamic framework. The model currently covers and is calibrated on 1.8 million Dutch mortgage loans and will shortly be extended to 8 million residential mortgage loans throughout Europe.Average PD per Dutch transaction

Average PD-estimate per Dutch originators

OSIS has used 60% of all the reported Dutch mortgages at the European Datawarehouse (ED) after OSIS applied 1,000 data quality checks on each individual mortgage loan. With the 1.8 million loans rated by the model, analysts can compare the average PD and LGD of 14 different Dutch Originators.

The model will be automatically recalibrated each quarter once new external and/or internal loan level data (“LLD”) becomes available.

PD CycleRecalibration cycle

The initial calibration is based on 3 years of historical loan level data and approximately 14 million observations. The PD Model achieves an accuracy ratio (AR) of 71% in the latest out-of-sample test.CAP curve

Cap curve comparing estimated defaults at 2014Q3 with realised defaults until 2015Q3.

European Commission proposals on securitisation

By | General, Regulations

The European Commission has announced new rules on Standardised, Transparent and Simple Securitisations “STS” on securitisations. Apart from rules on documentation issuers have to provide loan level data on a quarterly basis and have an ongoing data quality monitoring in place.

Transactions that meet the STS criteria will have a lower risk weight floor on senior tranche of 10% according to the second proposal. This will not include synthetic securitisations except if governmental bodies like ECB, EIB or EIF cover the protection.

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