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Integrated platform for ABS/RMBS/CMBS/CDO
and structured credit investment management

Principia SFP provides full support for ABS, RMBS, CMBS, CDO 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)
  • Drill-down capabilities and dedicated interfaces to incorporate Intex deal models, analytics and performance data (pdf) and Lewtan's performance data (pdf)
  • Apply your own forecasting assumptions to project cashflows using prepay, default and delinquency static and vector assumptions and automated integration with AD&Co models
  • Full range of ABS products supported: home equities, credit card, autos, manufactured housing and equipment leases
  • Full range of MBS products supported: pass-throughs, CMO, RMBS and CMBS
  • Vanilla and structured fixed income supported: 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
  • Standardized integration with ABS/MBS/CDO and CDS data vendors (Intex, Lewtan, Markit etc)
  • 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. Article 122a of the EU CRD, Reg AB II, Basel II Securitization Framework, FAS 157/166/167, IASB, ASF, AFME/ESF and SOX

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Principia SFP provides seamless integration of industry leading
data providers into a streamlined operational infrastructure for comprehensive portfolio and risk management.

Strategic alliances include:

 Lewtan