Principia Partners LLC, a leading provider of full front-to-back office systems for global capital markets, today announced that Nationwide has upgraded its Principia System license and installation to incorporate recently enhanced credit derivatives capabilities.
Nationwide has been a user of the Principia System since 1998. The new component expands Principia's credit derivatives product coverage beyond asset swaps and total return swaps to include credit default swaps, default digital swaps, options on credit default swaps, cancelable credit default swaps and nth to-default basket swaps.
Designed for accuracy and speed, the Principia System's credit derivatives product uses an intensity-based pricing methodology based on market derived default probabilities and recovery rates. These rates are obtained using the flexible calibration tools that allow accurate pricing from often limited and varied sources of data available from the market.
Transparent pricing models provide complete drill-down into the valuation along with the ability to capture subtleties such as recovery payment delays, premium payment frequency and pricing effects due to different credit events being specified in the contracts.
"We are delighted to build on our outstanding relationship with Nationwide. Their involvement has been instrumental to our continued success and growth in the insurance sector," states Brian Donnally, one of Principia's founding partners.
The Principia System is used by ten of the largest insurance companies in the world for managing a broad spectrum of financial assets, liabilities and derivatives.