Review, Benchmarking, & Gap Analysis of Structured Finance and Bail-in Capital Products... Tender

Procurement Summary

Country : USA

Summary : Review, Benchmarking, & Gap Analysis of Structured Finance and Bail-in Capital Products at IFC

Deadline : 27 Mar 2024

Other Information

Notice Type : Tender

TOT Ref.No.: 99015173

Document Ref. No. : 0002007720

Competition : ICB

Financier : World Bank (WB)

Purchaser Ownership : Public

Tender Value : Refer Document

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Tender Details

Expression of Interest are invited for Review, Benchmarking, & Gap Analysis of Structured Finance and Bail-in Capital Products at IFC

We are seeking a consulting firm to conduct an in-depth review, benchmarking and gap-analysis of securitizations, structured credit products, and bail-in instruments. The selected firm will be responsible for comparing our current valuation and risk measurement techniques against those employed by leading investment banks, multilateral development banks (MDBs) and non-bank institutional investors. The goal is to identify areas for improvement, redevelopment, or revamp in Pre-Transaction Risk Analysis and Pricing, Ongoing Risk Monitoring and Valuation, and Economic Capital Allocation to ensure alignment with industry best practices.

The project will be divided into several key areas:

1. Securitization Review:

a. Benchmark valuation and risk management techniques for instruments such as Significant Risk Transfer (SRT), cash/synthetic securitization of loans originated by IFC (WESP), Risk Sharing Facilities (first loss), Collateralized Loan Obligation (CLO), ABS (trade receivables, auto, etc.), RMBS, Covered Bond and Future Cash Flow Securitization (Diversified Payment Right - DPR, Power Generation Revenues - PEPT).

b. Benchmarking peers should include Investment Banks and MDBs.

c. Prepare a comprehensive report that summarizes findings and recommends corrective actions.

2. Bail-in Instruments Review:

a. Evaluating current valuation and risk measurement techniques for B3T2 and MREL instruments. AT1 instruments are out of scope.

b. Benchmarking peers should include MDBs and Non-Bank Institutional Investors.

c. Delivering a report that outlines conclusions and suggests improvements.

3. Distressed Asset Instruments Review:

a. Evaluate current valuation and risk measurement techniques for NPL acquired from partner financial institutions.

b. Benchmarking peers should include funds specializing in NPL management.

c. Compile findings into a report with proposed corrective actions.

4. Prudent Valuation Adoption

a. Implement Basel Committee guidelines on prudent valuation for a representative sample of the aforementioned instruments.

5. Capital Framework for securitizations:

a. Align IFC-s Economic Capital model with best practices for securitizations.

b. Provide guidance on adapting best practices to IFC-s higher credit rating.

The consulting firm will review current IFC practices through meetings with relevant teams. The focus of items 1-3 will be on underlying portfolio models, cash flow models, internal credit ratings, market data, and valuation approaches. We expect the consulting firm to provide insights into industry best practices around valuation and risk management for the aforementioned products. The final deliverables will include a report summarizing the conclusions of the product review and benchmarking activities, along with actionable recommendations for improvements and corrective actions.

Documents

 Tender Notice