Comprehensive Fixed Income Accounting

  • Account for and manage most any fixed income security including difficult derivatives.
  • Perform daily accrual and pooled funds accounting.
  • Specify how an instrument should automatically reset from an applied benchmark.
  • Analyze rate risk analysis using sensitivity analysis and yield curve analysis.
  • Value projected flows by discounting per a given yield curve (with a shift).
  • Account for and manage duration on mortgage backed instruments projecting PSA prepayment factors using the appropriate business days.
  • Track standard or custom ratings accross instruments and issues and accross time.
  • Control pass-through activity (waterfall) on underlying portfolios of mortgage backed securities.
  • Maintain collateral, guarantors and ratings on instruments and issuers over time or across portfolios.
  • Perform performance measurement using GIPS time weighted rate of return (modified Dietz), IRR and analytics like yield, duration and convexity.