investment banking & financial corporate brand & identity // linda c. modica

portfolio > Linda C. ModicaArt Director | Brand Specialist | Graphic Designer

2-10 Black Swan Consulting 2/ Leading Fixed Income Specialist (front) 3/ Leading Fixed Income Specialist (back) 4/ Basel III (front) 5/ Basel III (back)

6/ Due Dilligence, Independent Valuation & Basel III (front) 7/ Inforgraphic study from Basel III 8/ Infographic (detailed view) from Independent Valuation 9/ Event signage & table cloth 10/ Business card + identity

graphic design

INVESTMENT BANKING & FINANCIAL / CORPORATE BRAND & IDENTITY

BASEL IIISECURITIZATION FRAMEWORK SUPPORT

With the introduction of the Simplified Supervisory Formula Approach (SSFA)and the continued use of the gross-up approach, institutions have the ability to choose how to calculate the risk weighting of securitization exposures. Based on our experience, the SSFA approach results in lower capital charge on senior, well-capitalized tranches compared to the gross-up approach. In order to use the SSFA, however, institutions must have access to the appropriate deal and loan-level data as well as the necessary expertise to carry out the calculation.

Aaron Wong | [email protected]

Kristen Verberkmoes | [email protected]

Please visit us at: www.BlackSwanConsultingGroup.com Our telephone number is (917) 338-2380

Inquiries related to our products and services can be directed to

Bank regulators have finalized adoption of the revised Basel III capital framework and have set forth due diligence requirements with respect to private label securitizations (e.g., ABS, MBS, CDOs) and structured credit derivatives. In addition to broadening the definition of securitization exposures, the adopted rules remove the ratings-based approach found in Basel II with respect to calculating the capital charge to comply with the Dodd-Frank Act.

SS

FAG

ross

-Up

Loan-level Collateral Performance

Detailed Capital Structure

Funded Reserve Accounts

Capital Charge of Underlying Assets

Exposure to Tranche

Amount of Senior Tranche(s)

Amortized Cost of Exposure

Risk Weight of Underlying Assets

Basel III SSFA_v4.indd 1 9/12/14 12:30 PM

INVESTMENTDUE DILIGENCE

Our investment due diligence process is completely independent. We are focused on the needs of fiduciaries to guard against fraud and conflicts of interest. Black Swan is not affiliated with any managers, products, funds or advisors.

We believe in the inherent benefits of understanding manager performance. The goal of our process is to identify and validate sound investment programs. In a dynamic environment, it is critical to analyze and understand investment style as well as risk management procedures.

Black Swan Consulting is an independent advisory firm dedicated to meeting the complex and mission critical needs of financial institutions. We develop our solutions and services around a team-based approach that capitalizes on the expertise of our specialists.

Benefits of Investment Due Diligence:

• Strengthenworkingrelationshipwithmanagers and trustees

• Identifyingsoundinvestmentprograms and practices

• Identifyingcompetenttrustees

• Deeperunderstandingof investmentdecisions and performance

• Validationof investmentpolicyadherence


Kristen Verberkmoes |[email protected]



Capital MarketsUnderwriting

TradingInvestment Management

Valuation

Risk ManagementSurveillance AccountingAuditing

Legal & ComplianceRegulatory ComplianceLegal Case Review

Technology DevelopmentCash Flow Analytics

Performance Surveillance DataVisualization

Multi- Disciplinary

Approach

• AssetBackedSecurities

•ResidentialMBS

•CommercialMBS

•AgencyMBS

•MunicipalBonds

• CollateralizedLoanObligations

LeadingFixed incomeSpeciaLiSt

Black Swan Consultingwas founded in2008at theheightof thefinancial crisis to provide product expertise to financial institutions.Ourclientsincludeinstitutionsof alltypesandsizes,including:

Wehaveextensivecapitalmarketsexperienceandarewell-versedinregulatoryandaccountingissues.Throughtheintegrationof capitalmarkets expertise with best-in-class analytics we deliver the bestpossibleservicesandsolutionstoourclients.

Ourteamisuniquelyexperiencedinanalyzingcomplextransactionsandstructuredfinancialproducts.Weareadeptatmodelingcreditandwhole-loanportfoliosandcomplexstructuredfinanceproducts.

expert, independent

advice

productexpertise

• CollateralizedDebtObligations

• PooledTrustPreferredSecurities

•CreditPortfolios

•CoveredBonds

• InterestRateDerivatives

•CreditDerivatives

Black swan consulting is a certified minority- owned enterprise and small business.

www.BlackSwanConsultingGroup.com

Black Swan Consultingisdedicatedtoprovidingthehighestcaliberindepen-

dent advice and solutions. We are not a

broker-dealer, asset manager or financial

products seller. Our goal is to provide

clientsthebestpossibleexpertise.Ourcapital

markets specialists draw upon years of

sell-side and buy-side industry experience

to give our clients a competitive edge in the

marketplace. We take a focused approach in

workingwithclientstoensurethatoursolutions

arecost-effectivewhileadheringtobestpractices.

Banks Insurance companies Credit unions

Asset managersHedge funds Broker-dealers

Issuers Fund administrators Financial regulators

About Black Swan_v4.indd 1 4/8/14 10:31 AM

6

InvestmentDue DIlIgence





• Strengthenworkingrelationshipwithmanagers and trustees

• Identifyingsoundinvestmentprograms and practices

• Identifyingcompetenttrustees

• Deeperunderstandingof investmentdecisions and performance

• Validationof investmentpolicyadherence


Kristen Verberkmoes |[email protected]





Valuation




Performance Surveillance DataVisualization

Multi- Disciplinary

Approach

Investment Due Diligence_v5_press.indd 1 4/1/13 4:49 PM

BASEL IIISECURITIZATION FRAMEWORK SUPPORT

With the introduction of the Simplified Supervisory Formula Approach (SSFA)and the continued use of the gross-up approach, institutions have the ability to choose how to calculate the risk weighting of securitization exposures. Based on our experience, the SSFA approach results in lower capital charge on senior, well-capitalized tranches compared to the gross-up approach. In order to use the SSFA, however, institutions must have access to the appropriate deal and loan-level data as well as the necessary expertise to carry out the calculation.





Bank regulators have finalized adoption of the revised Basel III capital framework and have set forth due diligence requirements with respect to private label securitizations (e.g., ABS, MBS, CDOs) and structured credit derivatives. In addition to broadening the definition of securitization exposures, the adopted rules remove the ratings-based approach found in Basel II with respect to calculating the capital charge to comply with the Dodd-Frank Act.

SS

FAG

ross

-Up

Loan-level Collateral Performance

Detailed Capital Structure

Funded Reserve Accounts

Capital Charge of Underlying Assets

Exposure to Tranche

Amount of Senior Tranche(s)

Amortized Cost of Exposure

Risk Weight of Underlying Assets

Basel III SSFA_v4.indd 1 9/12/14 12:30 PM





IndependentvaluatIon

We currently offer valuations on a variety of fixed income products, including:Recent codification of Fair Value Measurements and

Disclosures promotes use of valuation models for inactive and disorderly markets. Our valuation framework utilizes a granular credit approach and is designed for transparency, consistency, and regulatory compliance. By incorporating model-based valuations into their surveillance process, investment managers can assess whether market prices are consistent with performance.

Benefits of our valuation methodologies•Complieswithindustry-specificaccountingrules

• Utilizesmultipleindependentcreditassessments of underlying collateral

• Incorporatesreviewof allrelevanttransactiondocuments

• Producesresultsthatareusefulindeterminingother-than-temporary impairment

•Measurestail-riskandoptionvalues

•Producesreliableandconsistentresults

• IndependentLevel3inputstoprojectand value future cash flows

We can design and implement valuation frameworks for all fixed income product types.

Black Swan Consulting is an independent advisory firm specializing in fixed income markets. Our team of product specialists is dedicated to assisting financial institutions manage risk and to comply with regu-latory requirements. Our services range from comprehensive portfolio reviews to providing independent valuations that meet industry-specific accounting rules with respect to fair value and impairment.

Collateralized debt obligations(aBS Cdos, Clos, CRe Cdos, eM Cdos, Synthetic Cdos, and trupS Cdos)

Residential mortgage-backed securities

Commercial mortgage-backed securities

asset-backed securities

Independent Valuation_v3a.indd 1 3/4/14 11:12 AM

8

DUE DILIGENCEPROCESS

Black Swan uses both quantitative and qualitative analysis to evaluate investment programs. Using quantitative methods we focus on the contributing factors behind overall returns and to assess the investment manager’s ability to outperform benchmarks. The qualitative component allows us to reach a subjective decision about the ability of managers to produce attractive returns over multiple market cycles.

Quantitative Measures:

• Benchmarking• Performance ratio• Expense ratio• Absolute returns• Tracking error• Leading/lagging trends• Trading effectiveness• Conflicts of interest

Qualitative Measures:

• Cost-benefit analysis• Adherence to covenants• Appropriateness of asset pricing• Adherence to fiduciary responsibilities• Custodian/trustee accountability





Investment Documentation

Regulatory Compliance

Performance01Preliminary Assessment

Strategy

Portfolio Composition

Investment Decision Process

Risk Management Process

02Quantitative and Qualitative Analysis

Organization and Staffing

Key Personnel and Expertise

Systems and Tools

Risk Reporting and Internal Controls

03Operational Review

Performance Track Records

Custodian

Brokerage

Accountants and Auditors

Legal and Compliance

04External Validation

Key Personnel

Risk Managers

Compliance Officers

Trustees

05Background Check

Organization and Staffing Changes

Performance Updates

Regulatory Updates

Market Changes

06Ongoing Monitoring







• Strengthen working relationship with managers and trustees

• Identifying sound investment programs and practices

• Identifying competent trustees

• Deeper understanding of investment decisions and performance

• Validation of investment policy adherence







Valuation




Performance Surveillance Data Visualization

Multi-Disciplinary

Approach


DUE DILIGENCEPROCESS

Black Swan uses both quantitative and qualitative analysis to evaluate investment programs. Using quantitative methods we focus on the contributing factors behind overall returns and to assess the investment manager’s ability to outperform benchmarks. The qualitative component allows us to reach a subjective decision about the ability of managers to produce attractive returns over multiple market cycles.

Quantitative Measures:

• Benchmarking• Performance ratio• Expense ratio• Absolute returns• Tracking error• Leading/lagging trends• Trading effectiveness• Conflicts of interest

Qualitative Measures:

• Cost-benefit analysis• Adherence to covenants• Appropriateness of asset pricing• Adherence to fiduciary responsibilities• Custodian/trustee accountability





Investment Documentation

Regulatory Compliance

Performance01Preliminary Assessment

Strategy

Portfolio Composition

Investment Decision Process

Risk Management Process

02Quantitative and Qualitative Analysis

Organization and Staffing

Key Personnel and Expertise

Systems and Tools

Risk Reporting and Internal Controls

03Operational Review

Performance Track Records

Custodian

Brokerage

Accountants and Auditors

Legal and Compliance

04External Validation

Key Personnel

Risk Managers

Compliance Officers

Trustees

05Background Check

Organization and Staffing Changes

Performance Updates

Regulatory Updates

Market Changes

06Ongoing Monitoring







• Strengthen working relationship with managers and trustees

• Identifying sound investment programs and practices

• Identifying competent trustees

• Deeper understanding of investment decisions and performance

• Validation of investment policy adherence







Valuation




Performance Surveillance Data Visualization

Multi-Disciplinary

Approach


investment banking & financial corporate brand & identity // linda c. modica

Design

independent valuation

revised basel

benefits of investment

ssfa approach results

ratingsbased approach

teambased approach

capital framework

investment style