Banks & Insurance Companies
Pool analytics, regulatory capital modelling, and structured credit benchmarking for scheduled commercial banks, co-operative banks, and insurance companies with structured credit investment portfolios.
Who this applies to.
Scheduled commercial banks are the dominant buyers of structured credit in India, absorbing most PTC issuance through treasury. Insurance companies deploy premiums into structured credit under IRDAI's Investment Regulations. Both face common challenges: pool-level diligence, Basel III or IRDAI regulatory capital computation, and Ind AS 109 ECL for held positions. For banks, RBI restricts investment to PTCs (not direct assignments) and imposes diligence obligations on investor banks. For insurers — particularly life — eligible instrument categories, minimum ratings, and concentration limits make the usable universe materially narrower than the full market.
The analytical challenges this client type faces.
Pool-level investment due diligence
Treasury teams at major banks review 15–30 securitisation opportunities per quarter. Internal capacity to diligence pools independently — alongside other credit and market risk activities — is consistently stretched. Independent review documents the analytical basis for credit committee and RBI inspection.
Regulatory capital computation
RBI's Basel III implementation raised risk weights for junior tranches and complex structures. For banks with material PTC portfolios, the choice between SA, IRBA, and SFA approaches can materially move reported capital ratios.
Ind AS 109 ECL for structured exposures
Standard SICR indicators — DPD, rating migration — translate imperfectly to PTC holdings, where pool-level delinquency and credit enhancement depletion are the real signals. Loan-portfolio ECL approaches applied to PTC holdings regularly fail RBI inspection.
Structured credit portfolio benchmarking
Individual banks don't see market-wide issuance, pricing, and performance data. Third-party benchmarking provides the reference frame needed to assess whether a portfolio is positioned appropriately versus market conditions.
IRDAI compliance for insurance investors
Structured credit compliant at investment may become non-compliant post-rating action, requiring prompt divestment or reclassification. Systematic monitoring against IRDAI's evolving framework is an ongoing requirement.
Liquidity risk and duration management
Under RBI's LRM Framework, PTC holdings cannot be assumed to liquidate at carrying value on short notice. For insurers, matching PTC duration to liabilities requires prepayment and extension modelling that affects effective duration.
Our work for this client type.
Investor-side pool analytics
Independent due diligence accessed from the pool tape directly — vintage, credit enhancement stress testing, originator underwriting quality, and relative value against available alternatives. Credit committee-ready memoranda.
Regulatory capital analytics
Basel III securitisation exposure under SA, IRBA, and SFA, with RBI-specific adjustments. For banks transitioning approaches, comparative analysis and a roadmap for approach optimisation as the portfolio grows.
Structured credit ECL
ECL for structured credit investment book positions — stage allocation using pool-level credit signals as primary SICR indicators, documented in a model specification aligned to RBI's supervisory expectations.
Portfolio benchmarking
Quarterly portfolio analytics — credit quality, sector concentration, yield distribution, performance attribution — in IPS-compatible format. Identifies policy drift before it becomes a compliance issue.
IRDAI and RBI compliance support
Live compliance dashboard tracking each holding against IRDAI limits, flagging instruments approaching concentration thresholds and rating actions affecting compliance. Formatted for CIO and actuarial review.
Markets we cover for this client type.
How we structure our work for Banks.
Discuss how we can help.
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