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Performance measurement & valuation -OSIS

 OSIS offers performance measurement and valuation solutions to help banks, Fintech companies, asset managers, pension funds, and insurance companies measure and value their portfolios effectively. Our solutions include powerful tools for performance measurement and valuation, expert guidance on best practices, and training to help you develop the expertise needed to manage your portfolios effectively.

Performance measurement & valuation

When providing a loan, it is important that a loan is well priced. This means the internal costs, the expected losses, and capital costs during the expected term of the loan are carefully considered and pricing is competitive.

We can help our clients to develop the best tooling by considering:

(1) the costs in the origination process,

(2) the costs during the management process,

(3) through-the-cycle estimates for capital,

(4) point-in-time estimates for provisions,

(5) upward and downward rating migrations,

(6) migrations to stage 2 and 3 under IFRS 9,

(7) macroeconomic scenarios,

(8) legal maturity,

(9) prepayments and any prepayment penalties 

(10) time value effects.

In addition, we can investigate how comparable loans are priced by other institutions by looking at securitization data, annual reports and EBA reports.

Valuation Reporting

OSIS has been providing fair market valuation service on Dutch Residential mortgage portfolios for several years, in accordance with IFRS 13, using 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 buyer and seller would agree in an orderly arm’s length transaction at the reference date. IFRS 13 essentially requires that such market participants would follow the aforementioned approach in valuation and use it as a basis to agree on the transaction price. Our valuation method aims to meet both IFRS and prudential requirements. We take into consideration: amortization types, time to interest reset, NHG guarantees, current loan to values and product specific options (caps/floor) including the option of the borrower to prepay without penalty. The calibrated risk parameters we propose are sensitive to borrower and loan characteristics and are also conditional upon forward-looking macroeconomic scenarios. That means the valuation can be conditional on the economic forecast. We can offer the valuation on an annual, quarterly, monthly or even on a daily basis.

We also used this approach when we advised the court in Amsterdam in the case against the Dutch State regarding the nationalization of SNS Bank.