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StatPro Fixed Income Description
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StatPro Fixed Income (SFI) is a front and middle office performance and analytics package for fixed interest managers that offers:
Yield curve movement attribution - separates parallel, steepening or flattening, and twist movements to follow fixed income investment process
Any instrument type can be supported by using the API - full range of
international fixed interest instruments can be modelled, including swaps, options and other derivatives
Multiple attribution methodologies
Fully transaction based
OLAP-based interface allows drill-down, slice and dice of
risk and returns for maximium flexibility
Fully time weighted returns calculation with choice of cash
flow timing assumption
Ability to nest portfolio structures for simple, elegant
benchmark representation and synthetic structure modelling
Risk management
SFI calculates the following quantities against a portfolios benchmark:
Face value exposure
Market value
Macauley duration
Modified duration
Convexity
Running yield
Relative percentage exposure
Modified duration contribution
The use of an OLAP interface allows easy decomposition of the portfolio by maturity bucket, credit rating, and coupon. A portfolios risk measurements can also be decomposed over time.
Instruments supported
SFI supports all instrument types traded worldwide including:
Cash
Bank bills
Bonds
Futures
Capital indexed bonds
Indexed annuities
Mortgage-backed and asset-backed securities
Repurchase agreements (repos)
Floating rate notes
Options on futures
OTC options on bonds
Interest rate swaps
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