NEW YORK, February 19, 2003-- SunGard Trading and Risk Systems, an operating group of SunGard (NYSE: SDS), today announced the release of Credient 2.1 and the roadmap for 2003. Credient is a comprehensive, component-based, global credit risk management and control solution. The new version further enhances Credient's support for integrated credit portfolio analysis and exposure modeling, with the addition of CreditVaR calculations and support for issuer risk and credit derivatives. Credient also includes workflow support, data aggregation and reporting in compliance with proposals made by the Bank for International Settlements in the Basel II Accord.
Credient's modular, object-oriented architecture and data model provide reliable, comprehensive data consolidation-- one of the largest challenges that banks face in establishing integrated credit portfolio management. Credient 2.1 captures the dynamics of issuer risk (the risk associated with holding securities from a given issuer) alongside traded instruments, like derivatives, to enable the consolidation of risk across a global credit portfolio. Issuer risk is important for both trading and investment positions, as well as properly accounting for the risks in repurchase type transactions.
Credient 2.1 also includes support for credit derivative instruments. The inherent credit exposures of these instruments can be incorporated into Credient so that these credit instruments may also be included in overall credit portfolio analysis and management.
During 2003 a Credient commercial products module will be introduced to provide support for commercial facilities including loans and trade-finance products such as letters of credit, bankers' acceptances, and guarantees.
Steve Husk, president of SunGard's Trading and Risk operating unit, explained the benefits of consolidated credit portfolio management provided by Credient: "As we expand Credient's coverage from trading products to issuer risk to commercial products we are able to capture much more of the credit exposure generated by the large, internationally active investment banks that are core Credient clients. By having a "one portfolio" view for credit risk management, Credient not only captures those risks, but also provides a framework for portfolio optimization and reporting. For example, banks can assess the interplay between securities held as part of their investment strategy and derivatives on those securities that are traded as part of their corporate banking activities to ensure a consistent risk policy is maintained. The consolidation of banking and trading book credit exposures also helps streamline the management of capital allocation and the reporting requirements that are increasingly required by the regulators."
For a more precise estimate of credit risk exposure, Credient 2.1 ties credit loss calculations into credit portfolio management, incorporating default probability and rate of recovery. Credient uses a proprietary, advanced accelerated CreditVaR methodology to produce near real-time estimates of the reserve and capital amounts incurred by a portfolio of deals.
Credient is being tailored to meet the relevant proposed Basel II requirements regarding data capture, consolidation and reporting. Increasingly internal ratings models will be used, and Credient provides workflow tools to enable banks to monitor their internal ratings methodologies. These rating methodologies can be incorporated into Credient for more precise limits monitoring, default predictions, collateral management, and exposure calculations.