Development of our Loan Valuation Model (LVM)

We have built a Loan Valuation Model (LVM) solution to support our clients in the launch of their ‘Special Purpose Vehicles’ (SPVs) which often require investors.

These launches are often complex as they require the creation of a NAV, the ratings for the notes of the underlying SPVs need to be defined, and a number of stressed scenarios need to be run to analyse how the product behaves in different market conditions.

Part of the complexity of these SPVs is that the underlying investments are largely illiquid loans and there are a number of vectors used for the stressed modelling.

How we can help

Our LVM is designed to meet those challenges and empower you to effectively grow your product base.

We believe that agility, innovation and client-centricity are integral to developing a fit for purpose solution for our client. Our consultant-developer team built LVM in close collaboration with one of the UK’s largest banks, and will work with you to ensure that LVM is now tailored to your specific needs.

 

 

Functionality

  • Automatically import loan, customer and other financial data from a variety of internal systems, in multiple formats (including Excel, CSV, and SQL DB). Improving data access and management. Reducing the risk of data inconsistencies
  • Simulate a Cashflow Model over the lifetime of the SPV for both base and stress scenarios. Not only at the start of the product’s lifecycle, but by incorporating actual data every month-end to increase forecasting accuracy
  • Calculate the product credit rating
  • Interface with external market data feeds to perform accurate and up-to-date valuations
  • Generate automated reports, or customise them with ease to meet specific needs on an ad hoc basis
  • Generate files in multiple formats going to downstream systems
  • Perform “what if” scenario analysis., Adapting files and parameters to assess Borrow Changes or other items – to improve business decision-making and decrease business risk

 

 

  • Control & management app: Single user GUI to manage data, parameters and model runs
  • Data management: Managing loaded data sets and overwrite with updated sets
  • Parameter setting: Setting parameters in GUI and automatically pass to models for execution
  • Model execution: Executing models by automatically passing parameters and data sets
  • What-if analysis: Adapting files and parameters to assess borrow changes or other items
  • Market data provisioning: providing valuations market data to all other users from valuation database through an API
  • Valuation reporting: capability to report on valuation runs and results at a granular level

 

Technical specifications

Our VBA-based, End User Computing (EUC) solution effectively manages the complex rules and calculations required, and can be linked to our client’s SQL database environment.

For more information, please contact Steven Whaley, Head of Financial / Regulatory Technology and Digital Solutions