Integration with the Principia Analytic System

Integrated platform for fixed income
investment and risk management

The Principia Analytic System provides full support for fixed income and structured credit investment management on a single platform, alongside fixed income, hedging and funding products. The platform streamlines the operational control of complex cashflows across all structured finance positions within a single portfolio and risk management environment ensuring comprehensive lifecycle management from deal capture, through to accounting.

Portfolio Management
  • All structured finance deals, analyzed alongside other fixed income, hedges and funding for a complete portfolio view
  • Flexible interface to any source of internal or external performance data for consistent analysis
  • Define and track collateral pool performance metrics across collateral pools, deals and portfolios (e.g. delinquency, prepayment and default rates, LTV ratios or cumulative loss etc)
  • Vanilla and structured fixed income supported: ABS, MBS, Corporates, Sovereigns, High-Yield, Covered Bonds etc

Cashflow and Exposure Analysis
  • Ongoing asset surveillance and diversification controls integrated with investment policy
  • Full suite of prepayment, delinquency, default and recovery options
  • Consistent valuation, stress testing and sensitivity analysis across all products and risk factors
  • Daily data uploads with rate resets
  • Full suite of standard structured finance portfolio, compliance (composition, rating, market risk) and performance monitoring reports

Operations and Administration
  • Maintenance of historical portfolio and cashflow information
  • Accounting framework supports FAS91 retrospective and designed to handle multiple amortization and interest accrual methods
  • FAS133 and IAS39 compliant accounting
  • Full control over factor and interest information in advance of data delivery
  • Robust workflow enforces audits, operational controls and reports that monitor compliance
  • Facilitates compliance with new regulation and industry standards e.g. EU CRD Due Diligence requirements (Article 122a) and US Market Risk Capital Rules, Reg AB II, Basel II Securitization Framework, FAS 157/166/167, IASB, ASF, AFME/ESF and SOX