A new standard interface into Principia SFP resolves the challenges and inefficiencies associated with integrating performance and cash-flow data into the ongoing management and oversight of structured finance portfolios. The system automates the processing of external data from any independent performance data provider (e.g. Intex, Lewtan, Markit, Bloomberg, Trepp, Moodyâs, S&P etc.) or bond trustee, as well as proprietary data resulting from the internal credit analysis of loan-by-loan information. Data for multiple deals, from disparate data sources, is integrated on a single platform to display accurate and consistent performance metrics on-demand, across the business. Organizations can manage and maintain compliance with risk limits, perform rigorous stress tests and deliver timely reports detailing performance measures at the portfolio, deal, tranche or collateral level.
The Basel II Framework Enhancements state that in order to qualify for the new risk weightings, institutions: âMust be able to access performance information on the underlying pools on an ongoing basis, in a timely manner. Such information may include, as appropriate: Exposure type; percentage of loans 30, 60 and 90 days past due; default rates; prepayment rates; loans in foreclosureâ¦â
With Principia SFP Version 6.2, portfolio managers, risk analysts and compliance staff have the flexibility to choose from over 350 pre-defined performance measures to âslice and diceâ fixed income and structured credit portfolios. This includes the ability to monitor, analyze and report on loan-to-value ratios and cumulative deal level losses; to stress test default, recovery and prepayment rates; and the ability to view collateral pool delinquency rates (e.g. 30, 60 or 90 days), across any stratification of that pool. Clients can also add unique performance measures, as demanded by the requirements of their business.
âWe are seeing a growing demand from financial institutions and investment managers looking to reduce the inefficiencies and risks associated with managing and integrating multiple databases and data sources for different structured finance deals,â said Douglas Long, EVP business strategy, Principia Partners. âPolicy makers are making sure that organizations with long term investment goals involving securitized assets have a robust operational framework in place to really understand their investments on an ongoing basis. Thatâs not possible on spreadsheets and systems that arenât developed specifically to adapt to the dynamic requirements of structured finance.â
The Financial Stability Board, advisors to the G20, reiterated the importance of the Basel II Framework Enhancements to supervisors and regulators last month. Their address also highlighted the International Organization of Securities Exchange Commissionâs recommendations on how to better inform and protect investors by: âIncluding initial and ongoing information about underlying asset pool performance.â
Principia SFP V6.2 is available immediately and can be provided as a stand-alone system or as an upgrade for existing Principia SFP users.