Principia Delivers OIS Discounting to Support New Derivative Market Valuation Standards

New York - 9 November 2011

Principia Partners, a leading software solution provider for structured finance and capital markets investors, today released the latest version of its Structured Finance Platform (Principia SFP). Principia SFP Version 6.6 delivers enhanced valuation capabilities to support the shift in derivatives markets towards Overnight Index Swap (OIS) discounting, providing clients with the flexibility to adopt OIS discounting for collateral calculations and valuation of their derivative positions.

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 ‘risk free’ rate when performing discounting valuations.

“For 15 years Principia’s proven analytical framework and delivery of integrated portfolio management solutions has enabled clients to successfully evolve with market changes,” said Douglas Long, EVP, Business Strategy, Principia. “Derivatives 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.”

Become a bobsguide member to access the following

1. Unrestricted access to bobsguide
2. Send a proposal request
3. Insights delivered daily to your inbox
4. Career development