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ASSET-BACKED SECURITIES (ABS)

ADDRESSING ALL YOUR RISK MANAGEMENT AND REGULATORY REQUIREMENTS
Outsourced, Auditable, and Independent Valuation

We support your securitisation-related due diligence, both prior to investing and for assets held over one year. Additionally, we create and maintain performance and risk reports and risk dashboards.

Finalyse offers an outsourced, auditable, and independent valuation for your products through a mix of market pricing practices and cash-flow modelling approaches.

This service covers all types of asset-backed securities, including mortgage-backed securities (Commercial and Residential) and collateralised obligations (CDO/CLO).

How does Finalyse address your challenges?

Due Diligence

Our templates comply with Regulation (EU) 2017/2402. All performance data, qualitative analysis and quantitative measures collected, processed and stored under one roof.  

Valuation

Cash flow models using our views on defaults, prepayments, and recoveries; market data and valuation methodologies applied to ensure marketability of the valuations.

Risk dashboard

Delivered under flat file or customised reports upon request. Provides a regular view on important risk factors you can select from available risk items, both at collateral and note level.

To get all your questions answered
Contact us

How does it work in practice?

 

 

Key Features

  1. Analysis of the products.
  2. Collection of the related market data.
  3. Configuration of the tool, linking to the model and control of the outputs.
  4. Regular independent valuation and justification.
  5. Systematic reconciliation.
  6. Generation of pre-trade due diligence and risk dashboard.
Marc-Louis Schmitz
Partner

Marc-Louis Schmitz, Partner, is in charge of the operations and services development of Finalyse Valuation Services. He guides a team of dedicated experts who aim to master the pricing and valuation best practices as well as the related complex processes and systems.

Marc-Louis has recently steered the extension of our Valuation services to regulatory compliance topics. Before launching the valuation department, he developed in-depth expertise in Valuation and Risk models as a consultant.

Silvio Pretto
Consultant

As part of Finalyse’s alternative investments valuation team, Silvio evaluates alternative financial products, such as ABS, MBS, etc. He contributes to the set up of new financial instrument valuation models and performs Due Diligence before investment and ongoing. Silvio also performs the valuation of private equity and private debt instruments of dedicated investment funds, using different methodologies to evaluate the funds underlying companies on an ad-hoc basis, primarily market-based and DCF models, including scenario analysis and stress tests.

Daniele Catapano
Consultant

Daniele prepares the fair value measurement and valuation of structured products, derivatives and asset-backed securities. He is involved in supporting, following up and analysing clients’ requests.
 
Daniele is also involved in the internal project to develop an internal pricing library to price vanilla derivatives and structured products and calculate risk metrics.

Client Cases

AN ASSET MANAGEMENT COMPANY IN LUXEMBOURG

A client being in charge of UCITS and AIFs has hired Finalyse for external independent valuation service. Some strategies include illiquid products for which a fair value needs to be calculated for the ManCo to be compliant with European regulation (UCITS and AIFMD). The Board of Directors wants to be able to justify to any regulator or client all prices used for the calculation of the related Net Asset Values.

We have helped the conducting officer in charge of Risk Management to screen the portfolios and identify the products that should be challenged. As the strategies are diversified, the scope of product types is wide: OTC derivatives, ABS and Private Equities. For each type of products Finalyse had to apply different methodologies, tools and models. 

Finalyse took care of the whole process: from the analysis of the products to systematic reconciliation of prices and explanations in case of important differences.  

As a special service and according to the European Securitization regulation, Finalyse provides the client with a due diligence service for the ABS positions. Finalyse generates on an ongoing basis, pre-trade due diligence and risk dashboard.