Principia Partners LLC announced that the European Bank for Reconstruction and Development (EBRD) has licensed the Principia System to drive its Treasury’s initiative for an integrated credit and market risk portfolio management system.
EBRD’s Treasury initiative, named the Integrated Credit and Market Risk Portfolio Management System (IPMS), will provide pricing of credit-based products in conjunction with other financial assets and liabilities. The Principia System will also enable EBRD to enhance its analysis of expected cross-asset portfolio returns across assumptions based on macro economic models and scenarios. These variables include: inflation, interest rates, recovery rates, credit spreads, credit migration, default probabilities and equity market volatility.
“We selected Principia based on its ability to capture and price the myriad financial instruments we trade and provide common framework for pre-trade and post-trade risk analysis,” says Axel Van Nederveen, Treasurer at EBRD. The supranational bank, owned by 60 countries and two intergovernmental institutions, is the largest single investor in a region spanning 27 countries from Central Europe to Central Asia. The Bank’s Treasury manages a range of financial activities including: management of the Bank’s liquidity, funding in the capital markets, asset and liability management as well as pricing and hedging Bank transactions. As a result, it makes use of a wide variety of instruments, from money markets to securities, including interest rate and credit derivatives.
“We are delighted to be part of the EBRD’s Treasury investment management solution,” says Theresa Adams, president and CEO of Principia. She added, “We look forward to delivering a solution that meets the demanding requirements of the EBRD’s dynamic trading and risk management strategies.”