Structured Finance Risk Management Software

The leading platform for the management and
administration of securities arbitrage programs

Principia SFP is a comprehensive compliance reporting and operations platform with advanced structuring capabilities and analytics. It enables managers of securities arbitrage programs to meet the intensive requirements of their operations manual while realizing arbitrage opportunities. Our solution has enabled these managers to rapidly adapt their business model while maintaining all aspects of their operation.

Portfolio Management
  • Rapid, accurate modeling of all assets, liabilities and hedging derivatives on a single platform
  • Support for synthetic and cash assets
  • Rapid deal capture capabilities for dynamic asset management
  • Advanced portfolio management and asset monitoring capabilities for seamless reporting and operations
  • Intuitive hedge management functionality

Cashflow and Exposure Analysis
  • Robust surveillance of asset perform­ance and diversification
  • Advanced risk and sensitivity analysis across all instruments
  • Comprehensive liquidity and funding management
  • Addresses the numerous subtleties required for compliance
  • Integration of proprietary capital models

Operations and Administration
  • Full reporting suite of standardized rating agency compliance tests
  • Intuitive management of all administrative data and fees
  • Implementation of operating manual, surrounding controls, audits and reports that monitor compliance
  • Standard chart of accounts enables rapid system implementation

Groups managing securities arbitrage programs 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.

Daily Securities Compliance Tests
Market Risk Sensitivity Tests
• Parallel Yield Curve Shift
• Point-by-Point Yield Curve Shift
• Foreign Exchange Rate Shift

Diversification Tests
• ABS Composition
• Geographical Composition
• Minimum Rating Composition
• Weighted Average Life and Maturity

Liquidity Risk Tests
• Net Cumulative Outflow (NCO)
• Liquidity Coverage Tests

Leverage and Capital Adequacy

Sample Securities Cashflow Report