Out-sourcing Fixed Income Infrastructure

Sparinvest has teamed up with us to create and implement a full-featured bond management system, including performance attribution covering Danish and international bonds.

Sparinvest is an independent provider of investment management and advisory services. Sparinvest's products are aimed at institutional and private investors and offered through an ever-increasing number of European-based financial institutions, banks, savings banks, asset managers, and insurance companies.

Sparinvest has teamed up with us to create a full-featured bond management system covering:
 

  • Fixed income analytics for Danish and international bonds
  • Historical key figures
  • Performance attribution and benchmark index calculations

 

The solution went live February 2011 after three months of development.

 

Monitor Market Data and Pricing Models

We monitor a job flow taking care of the daily update of market data, the estimate of yield curves, the calibration of term structure models, and prepayment models. The parameters of the models are specified according to Sparinvest requirements.

Janne Bjerregaard, Chief Portfolio Manager at Sparinvest, says:

"We are an analysis driven investment team which places the mortgage model of Scanrate in the center of our daily work with strategies and portfolios. The system enables us to monitor every essential key figures for both single instruments and portfolios on a daily basis and to perform impact analyses for various scenarios regarding interest rate and spread development."

 

Historical Key Figures

We are responsible for the calculation of an extensive set of predefined key figures for a list of Danish and international bonds. Key figures are calculated on a daily basis and stored in a historical database.

Sparinvest accesses calculation results from a number of user defined Microsoft Excel spreadsheets using the Data Functions in the RIO Function Library.

 

Fixed Income Performance Attribution

In cooperation with Sparinvest, we have developed a complete fixed income performance attribution reporting system. This gives Sparinvest a unique insight into the day-to-day movements in return components on a portfolio level as well as the possibility of drilling down to individual bond level.


Server Hosting at Scanrate = Less Maintenance

To simplify maintenance, the RIO servers are hosted by Scanrate while client applications are installed locally at Sparinvest.

 

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