18 October 2017

Principia upgrades credit derivatives product to support single-tranche CDOs

11 October 2004  |  1232 views  |  0 Source: Principia Partners

Principia Partners LLC, a leading technology provider of comprehensive front-to-back office solutions for managing highly complex, structured financial assets, liabilities and derivatives, today announced the release of the latest version of its credit derivatives product.

The new release provides straight-through processing support of single-tranche CDOs (STCDOs), one of the fastest growing products in the credit derivatives world.

STCDOs expand on Principia's coverage of the basket and portfolio credit derivatives products that are increasingly traded by a wide range of banking institutions, as well as insurance firms and hedge funds. As with all Principia instruments, the pricing, portfolio management and risk analysis and accounting of STCDOs will all be performed in a consistent valuation and operational framework common to all assets, liabilities and derivatives within the system.

"The market acceptance of a standard credit derivative index for credit trading and the popularity of synthetic securitization are two important factors that drive demand for single-tranche CDOs," states Dr. Douglas Long, Product Marketing Director at Principia Partners. "The addition of STCDO is an important part of our ongoing commitment to our diverse client base who participate in the capital market and structured finance communities." Principia is a leading supplier of analytics, administration and accounting software to structured finance participants such as conduits and structured investment vehicles.

The addition of STCDO is part of Principia's commitment to provide comprehensive support to its diverse client base trading credit derivatives, which includes structured finance companies, capital market groups, insurance companies and hedge funds. Principia's credit derivative coverage includes:
  • Single-tranche CDOs
  • Credit default swaps (CDS)
  • Digital/binary credit default swaps
  • Credit default baskets (first to default and n th to default)
  • Options on CDS and cancelable CDS
  • Credit linked notes

    Credit derivatives within the Principia System apply intensity-based pricing models, which are based on market derived default probabilities and recovery rates. Transactional subtleties such as recovery payment delays, premium payment frequency and accrual and compounding assumptions are incorporated in the system. The product is distinguished by its flexible calibration capability, which enables users to imply default probabilities from traded debt or credit default swap prices, as well as from benchmark and exchange-quoted information.

    "Credit derivatives continue to evolve rapidly both in product complexity and market application. Principia is committed to providing our clients with the leading edge analytics and integrated straight-through processing required to maintain their competitive advantage," states Dr. Long.
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