Collateral Alerts

using the

APP’s Development Framework

Current Situation: There is an ongoing business need to continue the automation of the structured finance surveillance process. An opportunity exists by automated analysis of deal collateral information. Currently collateral information is analyzed in an ad hoc fashion or in isolated systems or manual by analysts with little opportunity to leverage common work between different asset classes.

In many cases collateral data is housed in disparate databases or on Excel spreadsheets. This presents difficulty in developing common access routines to process the data in a standardize way.Waiting for all the dated to be house in a common location and building a global collateral system to access the data are not viable options for short term success.

Approach: The best methodology is to build the system incrementally starting with the collateral that is most complete with the requirements for alerts most defined. In parallel collateral data that is not complete can be prioritized and worked on, in conjunction with new collateral alert requirements.

Using the APPS methodology, the global centralized system would deliver functionality quickly and incrementally on a regular basis based on business priorities. New data assets and functionality would be prepared in the backlog and ready for development as soon as the previous cycle has been completed.

The system built will be agnostic to underlying data source. System will be able to procure data from any databases, services, calculators and engines. The application will be surfaced trough standalone interface and through current systems of record.

Sequencing: Two asset classes appear to be poised for development immediately, European RMBS and US ABCP. These asset classes can be considered as the candidate for the initial feasibility phase with an associated POC. In parallel a readiness assessment can begin for other asset classes and the associated collateral data. Subsequent sequence will be based on the readiness timeline.

Definitions:

Asset Class/Region – Discrete asset groupingData Readiness - % data completeness and centrally storedAlerts Defined – Are alerts defined a documented in a system or spreadsheetCurrent SoR – Current System of Record

Asset Class / Region Data Readiness Alerts Defined Current SORUS ABS – Student LoansUS ABS ABS ExplorerEMEA ABSAPAC ABS

EMEA RMBSUS RMBSAPAC RMBSUS CMBS CMIEMEA CMBSAPAC CMBSStructured Credit (All)US ABCP CP ExplorerEMEA ABCP CP ExplorerAPAC ABCP(?)LAM (RMBS)LAB (ABS)LAM (CMBS)