Structured Finance Risk Management Software

A complete end-to-end processing solution for
Credit Derivative Product Company (CDPC)
management and administration

Principia SFP is a comprehensive end-to-end solution for managing the operations of Credit Derivative Product Companies (Credit DPC or CDPC). The system’s flexibility and broad product coverage meets the shifting needs of these dynamic operations.

Portfolio Management
  • Comprehensive support of single and basket credit derivative products
  • Management of assets and liabilities in conjunction with credit and other derivative products
  • Robust pricing and calibration for accurate market standard valuation
  • Flexible market data engine for credit spread curves management including uploads for Markit credit data
  • Transparent pricing models incorporating subtleties due to credit events specified in the contracts

Cashflow and Exposure Analysis
  • Scenario analysis and stress testing through an intuitive point-and-click sensitivity interface
  • Comprehensive credit management and risk analysis
  • Advanced risk analytics incorporating all market factors, including credit-01 and jump-to-default analysis
  • Integration of proprietary capital models

Operations and Administration
  • Manage all traded products through their complete lifecycle, from deal capture through to accounting
  • Trade definition and credit events drive operations processes such as documentation and reporting
  • Complete accounting for all credit derivatives (pre- and post-default)
  • Implementation of operating manual, surrounding controls, audits and reports that monitor compliance

Groups managing credit derivative product companies require the same level of operations as large banks (systems for analysis, deal capture, accounting, risk management, etc.), but typically have much leaner staffs, correspondingly smaller budgets, and shorter implementation timeframes. The need for a single system that can handle all the elements involved in running these operations is critical, and Principia SFP meets this need.

download PDF version

Broad Credit Product Coverage
  • Credit Default Swaps (CDS)
  • Binary CDS
  • Cancelable CDS
  • Options on CDS
  • Nth-to-Default Basket CDS
  • Credit Indices (iTraxx, CDX)
  • Single-Tranche CDOs
  • Credit Linked Notes
  • CDS on ABS / MBS

Single tranche CDO deal capture