Principia SFP provides an end-to-end platform for the portfolio management, risk oversight, compliance reporting and accounting of derivative and investment portfolios. Version 6.6 allows users to apply the new discounting standards for ad-hoc valuations, for the entire portfolio, or for any given sub-set of positions and compare OIS with existing Libor discounting to assess the impact of these market changes.
OIS based valuations for most major currencies can be applied at any stage of the derivative portfolio management lifecycle, with seamless integration and downstream calculations applied through risk management, mark-to-market reporting and into accounting. As the OTC derivatives market moves towards central clearing, the overnight indexed swap (OIS) rate is increasingly seen as the benchmark ârisk freeâ rate when performing discounting valuations.
âFor 15 years Principiaâs proven analytical framework and delivery of integrated portfolio management solutions has enabled clients to successfully evolve with market changes,â said Douglas Long, EVP, Business Strategy, Principia. âDerivatives players remain uncertain about how to operationally apply OIS discounting consistently from front to back office. With our online solution, users can rapidly assess the impact of OIS based pricing across their portfolio with the flexibility to apply OIS discounting when trading, analyzing cashflows, testing hedge effectiveness, doing mark-to-market valuations or for accounting.â