TheisenRisk – Credit Risk Analytics And Credit Ratings

TheisenRisk is a market leader in providing external credit risk assessment models and related data to banks for the assessment of shipping debt transactions and portfolios. TheisenRisk can also provide and advise upon credit ratings for individual shipping debt transactions, for shipping projects, for company ratings and for bank/investor shipping portfolios for regulatory capital and IFRS9 accounting purposes.

Risk Services

• Loan Transaction / Corporate / Portfolio Credit Risk Modelling & Credit Ratings
• Loan Transaction / Portfolio PD & LGD Analytics
• Loan Transaction / Portfolio Bank Capital Allocation
• Investment Risk / Return Analytics – NPV | LTV | IRR Probabilities
• Expected (probability) future Earnings & Values (ships and offshore drilling units)

Clients

• Banks
• Insurers
• Investment Firms
• Hedge & Investment Funds
• Accountants & Auditors
• Solicitors
• Ship Owners
• Shipbrokers
• Shipbuilders
• Government Agencies

Products

ShipTransactor | Credit Risk Analytics

ShipTransactor has been developed by Theisen Risk over the last 10 years and is one of the most advanced predictive credit risk assessment models available in the shipping finance sector. The model is compliant with the Bank for International Settlements (BIS) Basel II / III Advanced IRB approach for calculating loss given default (LGD) at future time horizons and has been approved by several European bank regulators. As well as calculating LGDs, the system has the ability to assess Probability of Default (PD) and other risk components for a single ship project, for a fleet of different ships and for corporate loans. The outputs provide lenders with a new insight into credit risk exposure as well as an accurate assessment for regulatory and internal capital allocation, resulting in many cases in significant lower capital cost and improved profitability.

The ShipTransactor calculation engine uses a stochastic process to create thousands of unique but possible future earnings paths used in multivariate correlation equations to generate a probabilistic distribution of future ship values. Different ship sub-types can be accommodated and are cross-correlated as observed in history. The calculation engine uses the Theisen in-house database, ShipData, which consists of historical ship earnings, values and operating costs going back to 1980 for 52 ship sub-types.

ShipTransactor has been designed to accept any loan advance and repayment profile, security coverage, loan term, residual amount, interest basis and margin on both a senior and junior / mezzanine loan basis.

Theisen Risk has carried out extensive back testing using various statistical methods to ascertain the models accuracy and the results have proved to be very satisfactory. The model is constantly reviewed, updated and re-calibrated to reflect the changing dynamics of the shipping markets.

• ShipTransactor | TTC – A through the cycle (TTC) version that identifies loan LGDs through the shipping cycle over 10 years.
• ShipTransactor | PIT – A point in time (PIT) version that identifies loan LGDs under recessionary conditions over 3 – 5 years.
• ShipTransactor | Portfolio – Used to analyse multiple transactions in a bank or fund shipping loan portfolio.
• ShipTransactor | Investor – Used to assess the risk associated with achieving expected investor returns.

ShipPredictor | Values & Earnings Forecasts

ShipPredictor is an advanced stochastic calculation engine (developed from ShipTransactor) that forecasts ship earnings and prices/values. It can be used to analyse ship residual value risk, the probability of return on investment and test debt servicing and hull coverage loan covenants. Theisen Risk has carried out extensive back testing using various statistical methods to ascertain the models accuracy and the results are very satisfactory.

Ship Price Indicator | Ship Valuations

Ship Price Indicator (SPI) is an online statistical ship valuation tool providing new building, second hand and auction price data, price trends, price volatility and reported sales for all ages and capacities of Dry Bulk Carriers, Oil Tankers and Container Ships. The advanced ship valuation tool offers the user the ability to quickly assess and monitor the price movement of a large number of ships. The system is updated monthly providing balanced price data that is not distorted by day-to-day volatility.

The price data can be used for ship value assessment purposes, but should not be treated as a replacement for a professional valuation.

BoxTransactor | Credit Risk Analytics

Box Transactor has been developed by Theisen Risk over the last 3 years and currently is the only LGD assessment model for credit risk management in container leasing and financing. Box Transactor uses a similar calculation engine to Ship Transactor and uses a stochastic process to create thousands of unique but possible future container prices of 6 container types as new builds and second-hand up to a 10 year time horizon.

Box Transactor has been designed to accept any LTV advance, loan term, residual amount, repayment basis, interest basis and margin.

The model is fed by the Theisen database of 6 typical container types:

20ft Standard Dry-Cargo
40ft Standard Dry-Cargo
40ft High-Cube Dry-Cargo
20ft Standard Reefer
40ft High-Cube Reefer
20ft Tank Container

The calculation of LGDs is compliant with usual regulatory requirements for data quality, assessment methodology and applying conservative haircuts.

Regulatory Status

TheisenRisk is a trading name of Theisen Securities Limited which is Authorised and Regulated by the Financial Conduct Authority.