AFA Insurance has gone into production with VPD Fixed Income Attribution, part of the VPD Risk & Performance suite of solutions.
VPD Fixed Income Attribution has been implemented to provide daily, automated analysis, covering data management, attribution and report production, with the main bond analysis sitting with the middle office, and results serving the front office via the VPD Web Portal.
At AFA Insurance, VPD Fixed Income currently holds three years of historical holding and constituent data, with calculations based on position data for 18 portfolios; typically a portfolio at AFA Insurance will contain 200-300 holdings and the benchmarks will contain 300-400 constituents. The attribution analysis is based on a curve model with the main factors types Carry, Curve, Spread, and CPI effects. VPD Fixed Income supports 20 different instrument types and a custom made currency hedging model.
AFA Insurance use the VPD Web Portal to analyse different sector distributions, the VPD Performance engine to calculate aggregated performance, and the VPD statistics library to calculate risk numbers, combining IE and TE into their monthly reports.
Niklas Magnusson, Risk & Performance at AFA Insurance, commented: "Using the VPD solution, we experience great flexibility in using and analysing data. In addition, the time spent on the data quality assurance process and report generation has been greatly reduced."
“I am delighted that AFA Insurance has chosen the VPD Fixed Income solution. Fixed Income attribution is complex by nature and can be difficult to communicate effectively. VPD Fixed Income Attribution aligns with any investment process and results can easily be communicated, defining customised attribution effects at any level of granularity. I am very proud that AFA Insurance has already gone live with the solution, and I value our on-going partnership”, says Johan Lundman, Managing Director, VPD Financial Software Consulting Ltd.