cre loan performance & risk monitoring report
TRANSCRIPT
DE MONTFORT CRE Loan Performance & risk monitoring report
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Contact: Nicole Lux (Dr)
Senior Research Fellow DE MONTFORT UNIVERSITY
Leicester, LE1 9BH T: +44 (0)116 250 6438
Banks are dealing with multiple demands that include increased regulatory scrutiny and reporting; performance benchmarking of CRE portfolio credit risk and evaluation of risk capital allocation.
The De Montfort CRE loan performance & risk monitoring report is designed to support internal bank risk reporting, stress testing and capital allocation.
Analysis approach
• Analyse commercial real estate performance by individual loan and property characteristics, perform stress tests and review credit risk of individual and whole loan portfolios
• Assess performance and profitability of balance sheet CRE loan holdings
• Review portfolio on multi-dimensional level spread matrix based on LTV, DSCR, margin, and property type
• Quantify loan and property concentration risks
• Track loan performance, delinquency rates, watchlist status, provisions, realised losses
Probability of default by property type:
Advanced analysis will identify the correlation between distribution of losses by vintage, debt yields, property types and LTV’s.
Data quality & security
• Data exceptions and reporting mistakes are filtered through advanced programming technology and analyst checks
Losses by property type
Historic loan loss distribution
0%5%10%15%20%25%30%
0
200
400
600
Loan amount (£m) PD
0%
5%
10%
15%
20%
25%
30%
020406080
100
Loss severity PD
DMU Loan performance & risk monitoring report
0%
5%
10%
15%
20%
25%
0-20% 20-40% 40-60% 60-80% 80-100%
2014 2015 2016
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Contact: Nicole Lux (Dr)
Senior Research Fellow DE MONTFORT UNIVERSITY
Leicester, LE1 9BH T: +44 (0)116 250 6438
Note: this is a new project, which requires loan by loan reporting --- we would be happy to discuss. The required fields are listed above.
Data fields Loan performance
1 Number of Tranches 14 Floating Rate Basis 2 Facility type 15 Loan Margin 3 Borrower Type 16 Arrangement fee 4 Original Balance 17 other fee 5 Current Balance 18 Interest only 6 Committed Further Advance Balance 19 Amort Schedule 7 Revolving Facility Balance 20 Current Debt Service 8 Securitised Loan Balance 21 Current LTV 9 Syndicated balance 22 Current ICR 10 Loan Origination Date 23 Current DSCR 11 Loan Maturity Date 24 ICR Covenant 12 Interest Rate Basis 25 DSCR Covenant 13 Interest Rate Re-set Date/ Frequency 26 LTV Covenant
Data fields Property data
Loan default & loss data
1 Town/ City 1 Hedging: Who pays for Prepayment Breakage Costs 2
Post Code 2 Hedging: Default Breakage Costs Ranking with
Principal 3 Country 3 Provision (impairment) 4 Property Sizesqft 4 Reason for default 5 Actual Occupancy 5 Secondary/ Subordinate Financing 6 In-place Net Rent 6 Existing Sub-Debt Amount 7 ERV (if not available, use UW net rent) 7 Existing Sub-Debt Provider(s) 8 Open Market Value 8 Terms of Subordination Agreement 9 Date of Valuation 9 Syndicated Loan 10 Originator's Share in the Syndication
DE MONTFORT CRE Loan Performance & risk monitoring report
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DE MONTFORT CRE Loan Performance & risk monitoring report