Case Study 4

The Need

Securitisation execution depends on producing consistent loan-level disclosure and responding quickly to due diligence questions from ratings agencies, arrangers, and investors. When portfolio construction and reporting rely on multiple offline extracts, it becomes more difficult to demonstrate selection logic, manage iterations, and keep external parties aligned with the same version of the pool. A controlled, repeatable process for building the pool and exporting standard templates reduces execution risk and shortens turnaround times.

The Challenge

The bank needed a way to build and evidence a securitisation portfolio with speed and
control.

1. Portfolio construction. The bank needed to remove ineligible loans based on user-
   defined criteria, while keeping the selection logic transparent and repeatable.

2. Template-ready outputs. The resulting portfolio needed to be available in standard
   ECB, Bank of England, and ESMA formats so it could be shared efficiently with
   securitisation counterparties.

3. Controlled external access. Multiple external parties needed to review the same
   portfolio, with access governed through permissions rather than uncontrolled file
   distribution.

4. EPC and climate preferences. The bank wanted the ability to identify pools with
   specified EPC ratings and favourable climate and peril risk characteristics.

What the Bank Delivered

The bank implemented four connected capabilities within InCol Intelligence.

1. Data onboarding and validation. Mortgage loan-level data was onboarded to the
   platform so it could be prepared consistently for portfolio construction and export.

2. Portfolio Creator. The securitisation pool was created by applying user-defined
   criteria. Eligible loans were tagged virtually, enabling rapid portfolio iteration without
   rebuilding extracts.

3. Template export. Tagged portfolios were converted into ECB, Bank of England, and
   ESMA templates, ready for distribution to ratings agencies, potential investors, and other
   transaction participants.

4. External access and permissions. External parties were provided login access to
   review the portfolio directly, with permissions configured through the administrative
   controls to ensure appropriate segregation and governance.

Results

The bank established a repeatable securitisation readiness workflow that supports fast portfolio construction, controlled iteration, and template-ready outputs. External parties were able to review the same portfolio through governed access, reducing friction and avoiding multiple versions of the data tape. The bank also gained the ability to construct pools with EPC and climate and peril characteristics aligned to investor preferences.

Operating Rhythm

1. Refresh the mortgage loan-level dataset and run automated checks.

2. Define and apply portfolio criteria using Portfolio Creator.

3. Tag the selected loans and review portfolio composition and exceptions.

4. Export the portfolio into ECB, Bank of England, or ESMA templates.

5. Grant external access to approved parties and support due diligence queries using
   the same tagged portfolio.