Derivative Managers
The Principia Analytic System (PAS) is a proven platform for the independent valuation and end-to-end 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 PAS has been used by the buyside to price and manage both vanilla instruments and complex structures with embedded optionality.
In 2015, we began offering a streamlined subscription service, pasVal, which leverages the capabilities of the platform to provide simple, web-based access to daily portfolio valuations, risk reporting, and hedge accounting for those who don't also need the infrastructure of a complete platform.
Subtle nuances of product structures, such as tenor and basis spread adjustments can also be incorporated, all on a multi-curve platform that enables OIS discounting for valuations from front to back office. 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
- Risk Free Rates (SOFR, SONIA, ESTR and TONA) supproted across all our structuring capabilities
- Embed optionality e.g. caps, digitals, daily accruals, amortizations and callable/cancelable features
- Capture pricing nuances associated with tenor, basis and cross currency spread adjustment
- OIS discounting for collateralized trades
- Historical and daily closing LIBOR and RFR yield curves and volatilities
- Use models that incorporate volatility smile to enhance pricing accuracy.
Proactive Risk Management
- Stress yield curves (shocks and twists), OIS-Libor, and cross product basis shifts
- Stress volatilities - LIBOR based or RFR / SOFR volatilities, models, and skews
- 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
- Prospective and retrospective hedge effectiveness testing
- Audit control and historical view of derivative and portfolio information
- Operational backbone from portfolio management through risk control and into accounting
- Full GL support for assets, liabilities and hedges, to maintain a complete balance sheet
- ASC310 (FAS91), ASC820 (FAS157), ASC815 (FAS133), GASB and IAS39 (IFRS 9) compliant reporting.
Our whitepaper series on OIS discounting looks at the implications of the transition to OIS discounting, multi-curve valuations and central clearing for vanilla and OTC derivatives.
