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STRUCTURED FINANCE RISK MANAGER

Today’s capital markets participants holding structured financial instruments, such as asset-backed securities (ABS) and mortgage-backed securities (MBS), are feeling both the effects and costs of increased regulatory scrutiny. With mounting regulatory pressure for transparent, auditable and consistent valuation and analysis of ABS, MBS and covered bond portfolios, market participants require a cost-effective automated system to value, monitor and manage the risk of structured assets.

The Sapient ApproachSapient Global Markets provides a comprehensive solution of software and services to help you gain better visibility into cash flows, more effectively monitor risks and maintain compliance with evolving regulatory environments across regions.

Our Structured Finance Risk Manager (SFRM) is an enterprise-level system that automates the portfolio risk monitoring and analysis of ABS, MBS, covered bonds, whole loan portfolios and other structured finance deals. It provides the ability to view, measure and control risks associated with structured finance products. SFRM also includes a comprehensive set of tools for portfolio management that supports both backward- and forward-looking analysis. Asset managers and bank treasuries can also use the tool to optimize asset performance when used as collateral in central bank repo facilities.

In addition, SFRM is a critical component of the Sapient Global Markets solution for prepositioning and maintaining unsecuritized whole loan portfolios with both the Bank of England and European Central Bank Retail Mortgage-backed Debt Instruments (RMBDs).

We complement the system with services that integrate external and internal data sources, design and develop risk models and align the system to your firm’s needs. The result is a robust risk management solution that addresses the full range of requirements and will enable transparent, consistent and auditable valuations processes.

Using our proven expertise incorporating complex instruments into legacy risk applications, we created the SFRM solution to help risk managers and analysts save time and improve decision making.

SFRM combines automated monitoring with ad hoc analytical capabilities to:

• Calculate ABS asset prices, collateral haircuts and other risk measures

• Monitor securities and whole loan portfolios for collateral credit quality, including KPIs, watch list, triggers, new securities, haircut approval, etc.

SFRM also includes interactive functionality that enables you to:

• Conduct ad hoc investigation and credit exposure risk management at both the counterparty and security level

• Respond to ad hoc queries for static and performance data

SFRM Analysis System

Portfolio Manager Risk Manager

PERFORMANCE MONITORING & BENCHMARKING

SCENARIOS DESIGN - MARKET CASE & STRESS CASES

ASSET PRICE AND HAIRCUTS RISK METRICS AND RANKING

CASHFLOW ANALYTICS - YIELD/DM/WAL CASHFLOW ANALYTICS - RISK RATIOS

MARKET ACTIVITY MONITORS PERFORMANCE ALERTS

LOAN PORTFOLIO AND RMBD COLLATERAL PREPOSITIONING

LOAN LEVEL DATA REPORTING AND ANALYSIS

The Sapient Advantage

With SFRM, Sapient Global Markets helps companies:

Ensure compliance—SFRM provides the transparency and audit trails needed to meet new mandates and comply with impending directives

Better manage risk—Leveraging existing resources from data providers, SFRM generates consistent and easy-to-read metrics across various risk categories and provides tools for the detailed analysis of loan-level data across asset types

Improve productivity—Analysts and risk managers can leverage SFRM’s automated functionality and the ease of use associated with a single consolidated platform, eliminating reliance on spreadsheets and other manual approaches

Enhance decision making—SFRM allows you to run multiple “what if” stress scenarios and enables modeling of counterparty defaults to calculate exposure

Sapient Global Markets, a division of Sapient® (NASDAQ: SAPE), is a leading provider of services to today’s evolving financial and commodity markets. We provide a full range of capabilities to help our clients grow and enhance their businesses, create robust and transparent infrastructure, manage operating costs, and foster innovation throughout their organizations. We offer services across Advisory, Analytics, Technology, and Process, as well as unique methodologies in program management, technology development, and process outsourcing. Sapient Global Markets operates in key financial and commodity centers worldwide, including Boston, Chicago, Houston, New York, Calgary, Toronto, London, Amsterdam, Düsseldorf, Geneva, Munich, Zurich, and Singapore, as well as in large technology development and operations outsourcing centers in Bangalore, Delhi, and Noida, India. For more information, visit www.sapientglobalmarkets.com.

© 2011 Sapient Corporation. Trademark Information: Sapient and the Sapient logo are trademarks or registered trademarks of Sapient Corporation or its subsidiaries in the U.S. and other countries. All other trade names are trademarks or registered trademarks of their respective holders.

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At a Glance

Automated cash flow model execution for batch mark-to-model pricing, haircuts, collateral valuation and credit quality monitoring

Comprehensive solution that provides a consistent standardized view of structured products by asset type, enabling performance surveillance and scenario building to be conducted on an enterprise-wide level

Support for ABS and MBS securities, covered bonds, whole loan portfolios and RMBD

Aggregation analysis and seamless submission of initial and ongoing loan-level data in regulatory standard format

Import of data feeds and cash flow models from multiple vendors, including S&P, Bloomberg, Markit, Intex, ABSNet and Moody’s

User-defined stress scenarios and rules for alerts

The ability to run ad hoc stress tests and dynamically query securities and reference data

For More Information Contact

Darach Ó Braonáin+44 (0) 207 786 4500sgm@sapient.comsapientglobalmarkets.com/sfrm