The London-based pure credit manager is leveraging the powerful portfolio management capabilities of the Principia System to process investments in DN 1âs portfolio of diversified investment grade bonds and credit instruments. The investment portfolio is funded in the market and immunized against currency and interest rate risk. "Essentially DN 1âs entire balance sheet will be managed on the Principia System," states Kevin Regan, joint CEO at Banquo Credit Management. The system enables Banquo to model, price, simulate, hedge, stress and capture trading strategies and simulations.
"The softwareâs exceptionally flexible trade structuring capabilities enhances our ability to manage a conservative capital preservation strategy using just about any type of credit risk instrument," added Regan. "Banquo utilizes a conservative approach to credit management that is dynamic, continuous and coordinated, focusing on three specific elements: estimation of risk and return for each exposure for selection and sizing; diversification of the portfolio by âexpected lossâ, and active portfolio management."
After an extensive system search, Banquo selected the Principia System on the basis of its successful experience in satisfying the intense risk management and reporting requirements of Structured Investment Vehicles (SIVs). Banquoâs risk management focuses on a system of operating limits and hard limits based on the matrix monitored by the rating agencies as requisites for their Structured Investment Vehicle (SIV) ratings. "The Principia System allowed us to rapidly bring our special product expertise to the market," said Peter Luthy, joint CEO at Banquo.
"In Principia, Banquo has selected a market-tested portfolio management platform that will scale with their evolving credit management requirements," states Dr. Douglas Long, Director of Product Marketing at Principia Partners.