Solu%on Consultant d.bernal@allegrodev.com

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Advanced-Credit-Risk.. - Allegro Development Corporation

David Bernal Solu%on Consultant d.bernal@allegrodev.com www.allegrodev.com/summitAll trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Industry Challenges Credit 8.1 • What is Credit 8.1? • Features and Benefits Credit Connect 8.1 • What is Credit Connect 8.1? • Features and Benefits Interac9ve Data Conclusion 2All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


3All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Monitoring credit in a 9mely and efficient fashion • Posi%ons and credit calcula%on in same system • Current and accurate counterparty credit ra%ng and financials data Default risk • Warning of possibility of default • Expected recovery in the event of default • Credit Value at Risk • Poten%al future exposure (PFE) Credit exposure & reverse credit exposure Monitoring of collateral Managing margin accounts 4All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Credit 8.1 5All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Complete credit risk visibility and real-­‐9me counterparty analysis at your finger9ps • Monitor daily collateral, margin and liquidity requirements, and construct credit risk scoring models • Integra%on of current and accurate ra%ng agency data with proprietary informa%on • Delivers consolidated counterparty hierarchy details and an integrated system of record 6All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Comprehensive Compliance Func9onality • Accurate and %mely credit data along with a comprehensive counterparty credit management system Robust Credit Analy9cs • Ability to evaluate and forecast a counterparty’s poten%al future credit situa%on Fully Integrated Credit Exposure capabili9es • Gain beSer transparency into a counterparty’s credit status and make real-­‐%me decisions In-­‐depth Liquidity Analysis • Timely and accurate counterparty collateral data 7All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


8All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Exposure Management • Credit gives users the ability to build Concentra%on reports • Sector Concentra%on • Geographical Concentra%on, etc. 9All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Collateral Management • Credit 8.1 gives users the ability to build Collateral reports, for example: • Guarantor report • Collateral expira%on report 10All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Credit Scoring, Ra9ng & Counterparty Management • Accurate and %mely credit data along with a comprehensive counterparty credit management system • Access to %mely and accurate credit data, clients can now gain beSer transparency into a counterparty’s credit status 11All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Credit Analy9cs • Ability to evaluate and forecast a counterparty’s credit status • PFE • CVaR • Rolling look forward of future exposure • Available credit – including limits, collateral, exposure, etc. 12All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Dashboard • Pull together many reports and charts all into one view 13All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Credit Connect 8.1 14All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Daily collateral, margin, liquidity, and credit risk scoring at your finger9ps • Works with the Allegro Credit component and automates the import of credit ra%ng and fundamental data • Real-­‐%me access to S&P, Moody’s and Fitch data 15All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


• Comprehensive credit management • Automated real-­‐%me access to Moody’s, S&P, and Fitch data • Direct interface with Allegro Credit 8.1 component • Integra%ng current and accurate ra%ng agency data with proprietary informa%on • Access detailed credit informa%on • Early-­‐warning screening tool to iden%fy and effec%vely manage credit risk 16All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Interac9ve Data Dan Richer Sr. Business Development Manager Dan.Richer@interac%vedata.com 17All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


■ Interactive Data is a leading global financialinformation services company with anestablished track record of providing missioncritical,high-quality financial information andvalue-added services tothe front, middle and back offices18All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


BedfordBostonBoxboroughChicago (2)Fort LauderdaleHaywardHoustonIrvineMinneapolisNew York (2)Santa MonicaWhite PlainsLondonAmsterdamCologneDubaiDublinFrankfurtGenevaGlasgowHelsinkiJersey, CILuxembourgMadridMilanParisRomeZurichMelbourneHong KongSingaporeSydneyTokyo19All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Revenue of$757.2m2009Global datacollection anddistributionnetwork35 officeson fourcontinentsOver2,400employeesworldwide20All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Global company hierarchy (family tree) informa9on that links a parent company to its subsidiaries (children) and any securi9es they have issued 21All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Business en9ty data helps firms to: • Calculate risk exposure to a par9cular en9ty, industry or region • Create a clear picture of the corporate hierarchy of an en9ty in order to understand the en9ty’s capital structure and perform technical analysis • Iden9fy the risks associated with corporate events from anywhere within the family tree of an en9ty • Conduct pre and post-­‐trade analysis to help ensure compliance with concentra9on restric9ons on exposure to an en9ty, industry or region • Meet various regulatory and compliance mandates including: UCITS III, Basel II, the Investment Company Act of 1940, EU Third Money Laundering Direc9ve, MiFID, and the USA PATRIOT Act 22All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


• En9ty iden9fier: D-­‐U-­‐N-­‐S ® Number • Registered Name • Trading Name • Full Address Informa9on • Phone Number • Web Site • Aggregate Vo9ng Rights • En9ty Debt Outstanding • Parent En9ty Iden9fier • Ul9mate Parent En9ty Iden9fier 23All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


24All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


25All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Concentra9on: Total Exposure to an En9ty For risk management or compliance reasons ins9tu9ons may want to measure their total exposure to a given en9ty. This could be on a pre-­‐trade, post-­‐trade or scheduled basis. 26All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


CUSIP Issuer DescriptionAmt($Mil)060505CP7 BANK OF AMERICA CORPORATION CALL SR FLT 09 10006423AAS2 BANK ONE CORP SB NT 5.25%13 2506605HAA6 BANKAMERICA INSTL CAP CAP SEC-A 144A26 5014040EHH8 CAPITAL ONE BK MTN BE FR 5.75%091510 2517308CDS2 CITIGROUP FDG INC CURR LKD 144A 10 1021869MAB3 CORESTATES CAP III PSTH FLT ACRD 27 3522237LPM8 COUNTRYWIDE HOME LOANS MTN BE FR 4.125%091509 10339030AA6 FLEETBOSTON FINL CORP JR SUB DB 8.8%30 2046625H589 JPMORGAN CHASE & CO NT MSCIEAFE 10 7555263ECL7 MBNA CORP SR MTN BE FR 5%050410 100590188W61 MERRILL LYNCH & CO NT LKD 144A 12 20638585AW9 NATIONSBANK CORP JR SB DEF INT 26 5659421AC5 NORTH FORK BANCORPORATION INC SB NT 144A 12 1592976QGZ6 WACHOVIA BANK MEDTM NT BE VR CALL 032740 10949746HW4 WELLS FARGO & CO SR NT FLT 144A09 20 Need to understand who ultimate parent is27All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


CUSIP Issuer DescriptionAmt($Mil)UltimateParentD-U-N-SUltimate Parent Name060505CP7 BANK OF AMERICA CORPORATION CALL SR FLT 09 100 055169452 Bank of America Corporation06423AAS2 BANK ONE CORP SB NT 5.25%13 25 047675947 JPMorgan Chase & Co.06605HAA6 BANKAMERICA INSTL CAP CAP SEC-A 144A26 50 055169452 Bank of America Corporation14040EHH8 CAPITAL ONE BK MTN BE FR 5.75%091510 25 878185453 Capital One Financial Corporation17308CDS2 CITIGROUP FDG INC CURR LKD 144A 10 10 197329691 Citigroup Inc.21869MAB3 CORESTATES CAP III PSTH FLT ACRD 27 35 006962435 Wells Fargo & Company22237LPM8 COUNTRYWIDE HOME LOANS MTN BE FR 4.125%091509 10 055169452 Bank of America Corporation339030AA6 FLEETBOSTON FINL CORP JR SUB DB 8.8%30 20 055169452 Bank of America Corporation46625H589 JPMORGAN CHASE & CO NT MSCIEAFE 10 75 047675947 JPMorgan Chase & Co.55263ECL7 MBNA CORP SR MTN BE FR 5%050410 100 055169452 Bank of America Corporation590188W61 MERRILL LYNCH & CO NT LKD 144A 12 20 055169452 Bank of America Corporation638585AW9 NATIONSBANK CORP JR SB DEF INT 26 5 055169452 Bank of America Corporation659421AC5 NORTH FORK BANCORPORATION INC SB NT 144A 12 15 878185453 Capital One Financial Corporation92976QGZ6 WACHOVIA BANK MEDTM NT BE VR 10 006962435 Wells Fargo & Company949746HW4 WELLS FARGO & CO SR NT FLT 144A09 20 006962435 Wells Fargo & Company Now the exposure can be calculated28All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


CUSIP Issuer DescriptionAmt($ Mil)060505CP7 BANK OF AMERICA CORPORATION CALL SR FLT 09 10006605HAA6 BANKAMERICA INSTL CAP CAP SEC-A 144A26 5022237LPM8 COUNTRYWIDE HOME LOANS MTN BE FR 4.125%091509 10339030AA6 FLEETBOSTON FINL CORP JR SUB DB 8.8%30 2055263ECL7 MBNA CORP SR MTN BE FR 5%050410 100590188W61 MERRILL LYNCH & CO NT LKD 144A 12 20UltimateParentD-U-N-S Total Exposure:$305 Million638585AW9 NATIONSBANK CORP JR SB DEF INT 26 5Ultimate Parent Name055169452 Bank of America Corporation055169452 Bank of America Corporation055169452 Bank of America Corporation055169452 Bank of America Corporation055169452 Bank of America Corporation055169452 Bank of America Corporation055169452 Bank of America Corporation29All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Available for following asset types: • Global equi%es • Global corporate bonds • US municipal bonds • US structured securi%es Ra9ngs Fundamental Data 30All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Credit 8.1 • Monitor daily collateral, margin and liquidity requirements, and construct credit risk scoring models • Integra%on of current and accurate ra%ng agency data with proprietary informa%on • BeSer investment and trading decisions through greater credit market intelligence in the analysis of counterparty credit risk, exposure, and liquidity implica%ons Credit Connect 8.1 • Automated real-­‐%me access to Moody’s, S&P, and Fitch data • Direct interface with Allegro Credit 8.1 component • Reduces the labor required to capture credit risk data 31All trademarks and copyrights are the property of the respective owners. www.allegrodev.com


Ques9ons & Answers David Bernal d.bernal@allegrodev.com Dan Richer Dan.Richer@interac%vedata.com 32All trademarks and copyrights are the property of the respective owners. www.allegrodev.com

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