Monte Carlo Benchmarking at Sun Lab Confirms C*ATS' Speed Claim for CARMA Enterprise Risk Management Engine
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C*ATS Software Inc., a leading provider of high-performance solutions for integrated market, credit and liquidity risk management, has announced the results of a formal benchmark testing the speed of the CARMA enterprise risk management solution running on Sybase System 11 and a Sun Ultra Enterprise 2 workstation.

"The tests specifically address the types of analysis global financial institutions will conduct to actively manage their risk. We believe these independently verified results will lay to rest once and for all, the myth that full-blown Monte Carlo simulations cannot be employed for intraday market and credit risk management," said David Gilbert, president of C*ATS. "In fact, as current CARMA users have discovered, CARMA's blistering speed, which does not diminish with portfolio size, enables near real-time management of both current and future counterparty exposures, limits and capital allocation -- even with the most complex of portfolios. High speed means improved management of risk."

In order to assure the objectivity of the benchmark, independent industry expert Robert Garzotto, principal of American Management Systems (AMS) and director of the AMS Risk Research Laboratory, reviewed the test content and verified the benchmark's performance results.

"The results of this test confirm C*ATS' claims of CARMA's performance," said Garzotto. "The speeds observed do indicate that CARMA will support pre-deal checking of counterparty exposures and limits. CARMA's computing speed considerably broadens the opportunity for banks and other financial institutions to incorporate enterprise risk measurements into their management processes."

CARMA was run through a series of tests to replicate the most commonly used applications of enterprise risk engines including 1-day and 10-day market risk VAR, current and future credit exposure at both the portfolio and counterparty level, integrated market/credit risk and capital calculation based on expected losses. Performance results were measured in revaluations per minute, a standard for comparing performance across tests and multiple systems. Performance results are listed below.

Measurement	1-Day VAR	10-Day VAR	1&10 Day VAR
			(in parallel)
Revaluations/min	2,036,659	1,775,568	3,551,136
Total Revaluations	50,000,000	50,000,000	100,000,000
Measurement	Current & Future	Market & Credit Risk
	Potential Exposure
Revaluations/min	1,854,545	1,743,589
Total Revaluations	(about)204,000,000	(about)204,000,000

Revaluations/min (number of transactions (x) number of time periods (x) number of Monte Carlo paths)/lapsed time

"In four minutes, CARMA was able to evaluate the current and future exposure to a counterparty with 230 open positions, using 2,500-path Monte Carlo analysis over an 8-year time horizon -- evidence of the practicality of near real-time credit risk analysis," said David Gilbert. "The speed trials also confirm that CARMA can provide clients with sophisticated Monte Carlo analysis for full-portfolio market and credit risk overnight, without costly hardware investment."

The performance test was performed at the Sun Polaris benchmarking center in Menlo Park, California. The test portfolio of 10,000 open transactions was developed to reflect a fair cross sampling of the number, as well as the types of complexity, of transactions found in typical client portfolios. This included a broad mix of instrument types, including complex instruments with optionality and a wide range of maturities, values, and counterparties. No compression of data was used and all position detail was available for analysis. The test was run on a Sybase 11.0.2.2 database, Sybase Open Client middleware and Sun Solaris 2.5.1 operating system. The tests were conducted on a Sun Ultra Enterprise 2 server with two processors.

American Management Systems' Finance Industry Group is a market leader in the design, development and successful implementation of global risk management systems for leading European and US banks. The global risk management practice is driven from London, Frankfurt, Amsterdam, New York and San Francisco. It includes senior consultants from the banking industry, as well as mathematicians, business analysts and technologists. The AMS Risk Research Laboratory was established in August 1997 to conduct performance analysis and functional assessment of enterprise risk vendors on behalf of AMS clients in Europe and North America. AMS is an international business and information technology consulting firm, with headquarters in Fairfax, Virginia, and 55 offices worldwide. AMS reported 1997 global revenues of $872 million. More information is available on the AMS Web site at http://www.amsinc.com

Sun can be found in more than 150 countries and on the World Wide Web at http://sun.com

C*ATS Software Inc. is a premier provider of integrated risk management solutions and implementation services, from the desktop to the enterprise. The firm is headquartered in Palo Alto, California, and has sales and support offices throughout the world. Its products are licensed to leading financial institutions around the globe including more than a third of the world's 50 largest commercial banks. C*ATS flagship product, CARMA, is currently used by leading banks in North America and Europe for intraday credit limits management, as well as integrated market and credit risk management supporting Moody's and S&P AAA credit ratings. More information on C*ATS and its solutions can be found on the World Wide Web at http://www.cats.com