The previously-implemented semi-automated business-used prototype of the daily fund transfer price (FTP) for the mortgage domain was moved to production from business to IT departments of a large Dutch bank and became an IT system under FAM responsibility.
The resulting fully-automated application was built on a consistent technology stack, which includes .NET, Visual Studio, C#, SQL-Server, SSIS package, QRM. The tool is accompanied by the corresponding graphical user interface (GUI) which was developed in ASP.NET.
This project turned out to be very challenging, especially because of: i) the interactions among various bank departments, including IT, FAM, FTP Centre and Mortgage Group; ii) the large technology stack involved. In all these cases we were in the lead.
We helped a Dutch bank establish a vision on the prepayments level(s) of their residential mortgage portfolio by hosting a series of expert meetings. The goal of the sessions was to establish the prepayment level the bank expects in the near future, that is within a horizon of 10 years. To this end the total prepayment level is split in 3 subparts: refinance, curtailments
and relocation. We prepared a list of key factors driving these subparts, which were refined during the first session. For the consecutive session we provide more data and give insights into the impact of the choices of the experts. The final output of the work was a new set of model parameters to use for the banks prepayment model along with the impact on the balance sheet of the update in parameters.
We derived a model to compute the penalty of Residential Mortgage in the case clients prepay their mortgage. The penalty conditions are described in the terms and conditions posted by the bank. We used these terms and conditions to derive a theoretical penalty. This approach allowed us to make a model, which doesn’t depend on statistical analysis.