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Asset-Backed securities (ABS)

Finalyse valuation service can address all your risk management and regulatory requirements. We will provide support for your securitisation related due diligences, both prior to investing or for assets held over one year. Additionally, we are used to creating and maintaining performance and risk reports or creating risk dashboards. Through a mix of market pricing practices and cash-flow modelling approaches, we can provide an outsourced, auditable and independent valuation for your products; our scope covers all types of asset-backed securities, including mortgage-backed securities (Commercial and Residential) as well as collateralised obligations (CDO/CLO).

Your challenges

  • Valuation
  • Due diligence at inception and on a yearly basis
  • Compliance with European directive (EU 2017/2402)
  • Access to market data
  • Time and expertise to fill in term sheets

Our offer

Due Diligence

Pre-trade and ongoing

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

Valuation of the instrument

Cash flow model and other quantitative approaches

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

Internal and external reporting purposes

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.

Why outsource ABS valuation and due diligence reports to Finalyse?

Finalyse offers a managed service with a touch of risk advisory expertise where applicable. We take care of developing the methodology and data bases. This service allows you to invest in ABS instruments and follow on their price without a burden of specific processes necessary for compliance.

Typical deliverables

Analysis of the products
Collection of the related market data
Configuration of the tool, linking to the model and control of the outputs
Regular independent valuation and justification
Systematic reconciliation
Generation of pre-trade due diligence and risk dashboard

Selected client case

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.