Credit Risk Transfer

In December 2017 the Basel committee published Basel IV. Therefore banks have got a better idea how to manage their balance sheet. Still it is very complex because not only the macro economic climate is changing but also until 2027 the regulatory rules. Further banks need to deal with many rules at the same time: CET1 ratio in function of RWA, CET1 in function of total exposure (leverage ratio), CET1 in function of stress scenarios, tier 2 in function of RWA (MREL/TLAC) and capital affected by IFRS9 or CECL.

On this page OSIS™ will provide blogs, research, case studies and models about bank balance sheet management and how instruments like Credit Risk Transfer could be of help to the banks and at the same interesting asset class for investors to invest in.

Athena™ Credit Risk Transfer Analysis

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.