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 portfolios of ABS, MBS and covered bonds, market participants require an automated system to value, monitor and manage the risk of structured assets.
The Sapient Approach
Sapient 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 changing regulatory environments.
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 leverage the tool to optimize asset performance when used as collateral in central bank repo facilities.
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 that:
- Calculates asset prices, haircuts and other risk measures
- Monitors securities and whole loan portfolios for collateral credit quality, including KPIs, watch list, triggers, new securities, haircut approval, etc.
- Government and Regulatory Bodies
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
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
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