EBRDâs Treasury initiative, named the Integrated Credit and Market Risk Portfolio Management System (IPMS), will provide more accurate pricing of credit-based products in conjunction with other financial assets and liabilities. The Principia System will also enable EBRD to enhance its analysis of expected cross-asset portfolio returns across assumptions based on macro economic models and scenarios. These variables include: inflation, interest rates, recovery rates, credit spreads, credit migration, default probabilities and equity market volatility.
"We selected Principia based on its ability to capture and price the myriad financial instruments we trade and provide common framework for pre-trade and post-trade risk analysis," stated Axel Van Nederveen, Treasurer at EBRD. The supranational bank, owned by 60 countries and two intergovernmental institutions, is the largest single investor in a region spanning 27 countries from Central Europe to Central Asia. The Bankâs Treasury manages a range of financial activities including: management of the Bankâs liquidity, funding in the capital markets, asset and liability management as well as pricing and hedging Bank transactions. As a result, it makes use of a wide variety of instruments, from money markets to securities, including interest rate and credit derivatives.
"We are delighted to be part of the EBRDâs Treasury investment management solution," states Theresa Adams, President and CEO of Principia. "We look forward to delivering a solution that meets the demanding requirements of the EBRDâs dynamic trading and risk management strategies."