Portfolio managment, risk and compliance for ABS MBS and CDO investments

Derivative Managers

Principia SFP is a proven platform for the management of derivative and fixed income portfolios. A comprehensive range of financial instruments and products can be structured, valued and managed on the platform. For 15 years Principia SFP has been used by the buyside to price and manage both vanilla instruments and more complex structures with embedded optionality.

Subtle nuances of these structures, such as tenor and basis spread adjustments can also be incorporated. Historical and daily market data comes as standard. Valuations can be calculated daily or on-demand, alongside cashflow analysis and powerful forecasting.

Complete Portfolio Management
  • Manage derivative portfolios alongside fixed income assets or debt issuances
  • Pricing, stress testing and cashflow analysis to support GASB and FASB hedge effectiveness
  • Perform powerful, flexible hedge and risk attribution analysis on individual transactions, across portfolios or for separate accounts.

Independent Valuations On Demand
  • Structure plain vanilla swaps to highly structured derivatives
  • Embed optionality e.g. caps, digitals, daily accruals, amortizations and callable/cancellable features
  • Capture pricing nuances associated with tenor, basis and cross currency spread adjustment
  • OIS discounting for collateralized trades
  • Historical and daily closing data provided as standard: Yield curve data, FX rates, futures contracts and volatilities
  • Use models that incorporate volatility smile to enhance pricing accuracy.

Proactive Risk Management
  • Stress yield curves (shocks and twists), volatilities, FX rates, models and cross product basis shifts
  • Derivative counterparty credit exposure and VaR analysis
  • Calculate risk sensitivities and analytics from DV01, convexity, theta and vega (kappa), to duration, average life, cashflows and OAS.

Streamlined Operations
  • Maintain full trade, client and counterparty data
  • Audit control and historical view of derivative and portfolio information
  • Operational backbone from portfolio management through risk control and into accounting
  • Full G/L support for assets, liabilities and hedges, to maintain a complete balance sheet
  • Full regulatory compliance with the derivatives and hedge accounting standards FAS91, FAS133, FAS157, FAS140 and IAS39.

download PDF version

Structured Finance Platform: ABS MBS CDO Structured Fixed Income