Sapient Global Markets has today announced the release of Structured Finance Risk Manager (SFRM), a fully flexible combination of services and software to automatically value, monitor and manage the risks associated with structured assets.
Developed by Sapient Global Markets, SFRM enables firms to achieve greater visibility into asset valuations and cash flows, vital for collateral optimization for central bank repo requirements, and in line with changing regulatory requirements.
Deployed and proven in environments with portfolio values in excess of $200 billion, SFRM automates the risk monitoring and analysis of asset and mortgage backed securities (ABS/MBS) and covered bonds.
"Increased regulatory scrutiny on the most complex instruments is a key concern for capital markets participants trading structured finance products," says Kevin Samborn, vice president, Sapient Global Markets. "In line with changing regulatory demands, we created SFRM to help achieve transparent, auditable and consistent valuation and analysis of portfolios of ABS/MBS, CDOs and covered bonds. As an added benefit, firms can also use SFRM to optimize performance when assets are used as collateral in central bank repo facilities."
SFRM provides the transparency and robust audit trails needed to meet new and existing regulatory directives via loan level analytics. It combines automated monitoring and analysis to deliver a repeatable process for managing and reporting on even the largest portfolios of complex instruments. SFRM also includes the capability to incorporate data feeds and cashflow engines from market standard third party vendors. This provides the flexibility and scale needed to accurately value all structured assets with a single, consolidated platform from which to gain loan level visibility.
Combined with Sapient Global Markets experience and expertise deploying and operating large scale systems, SFRM clients can be confident of seamless risk management operations based on accurate data and repeatable processes. Integrating with internal and external data sources, SFRM generates consistent and easy-to-read metrics across various risk categories. It provides a reliable view of structured products by asset type, and allows front to back integration with legacy risk applications and data feeds. SFRM also significantly reduces reliance on spreadsheets and other manual forms of processing, greatly improving productivity.
In line with changing mandates around liquidity and collateral requirements for central banks such as the Bank of England, the Federal Reserve, and the European Central Bank, SFRM also eases decision making by providing a single platform from which to match assets with central bank repo facilities. It allows risk managers and analysts to define and run multiple "what if" stress tests, enables modeling of counterparty defaults to calculate exposure, and supports both forward and backward looking analysis.
"It's clear that central banks and regulators believe transparency and access to loan-level data is necessary to revive the structured finance market as a critical component of the financial system," continues Samborn. "Evidence of this can be seen in the European Central Bank's ABS Data Warehouse initiative and in the recent request for proposal from the Market Group to build and operate the warehouse. Sapient Global Markets is extremely pleased to have been included on the shortlist of vendors selected to respond to the RFP."