In 1995 Vinga started developing the Vinga Credo, a system for portfolio management and analysis, with a simulation capacity for both assets and liabilities. The version available can handle primarily multi-currency fixed income securities and derivatives. These are interest rate futures, FRAs, swaps, and caps & floors. The analysis is based on a detailed account of historically realised cash flows, as well as on future contracted and expected cash flows. A mark-to-market evaluation of existing and anticipated contracts is easily undertaken at any time. The simulation of changing balance sheet and off-balance sheet items and their sensitivities, especially, to interest rate changes is at the centre of the system.
The system is currently available only in a Swedish version.
The system is marketed in Sweden by Entropi AB.
Portfolio, Contracts and Products
The basic entity of portfolios is a contract in a wide range of possible products. Users, utilising the general modelling capacity of the system model these products. The modelling capacity is aimed at making the introduction of new future products very straightforward.
Possible instruments are bonds, loans, with or without amortisation, with variable rates. They could be derivative instruments such as caps and floors, swaps, FRAs , bond futures, etc.
Portfolios belong to portfolio groups and both can be of unlimited number, and are used to capture dimensions not expressed by product properties.
Each product has a currency identity.
Market valuation of assets and liabilities can be undertaken for any valuation date.
Valuation principles, such as present value calculations of future known cash flows, or option type valuation of uncertain future cash flows is chosen separately at the product level.
Yield curve rates for valuation are entered to be used as discount rates, and standard deviations of rates when applicable, are be used for valuation of option type instruments.
The results of valuations are stored in a number of information folders, and include key figures such as duration, modified duration, interest rate risk, and internal rate of return.
Income and Cost
Periodised income and cost figures are computed for arbitrary time periods. For future time periods a tentative outcome is given by suggested, and user modified, prolongations of existing positions. The simulated result is presented as periodised predicted interest flows or as cash flows.
A set of reports has been designed for the immediate user purposes. But these can be customised, as all reports designs are editable. The system has a general editor for creating reports. from entered static as well as enriched computed information.
Reports can be composed for all contents of the databases. They can be used on any information. Results can be inspected in grids, printer previews or can be sent directly or eventually to the printer. The information can easily be copied to the clipboard and pasted into other applications.
Sums, averages and weighted averages of numbers are can be formed using specified rules.
Portfolio maturity profiles and cash flow time profiles can be inspected graphically.
Information presented in grid list and reports can be filtered by ready-made, system defined and user defined filters. Such filters can be saved and applied any time when appropriate.
User defined groups of routines, e.g. routines for updating computed information and reporting on such information, are possible. The information necessary for undertaking a valuation is indicated in order to minimize the input work, etc.
Also, detailed information underlying aggregate report figures is easily accessed through an elaborate linking system.
Most information stored in and created by the system can be copied to other applications via Windows Clipboard.
Valuation yields can be imported from other applications using DDE-links.
The system is designed for many users, with user rights defined for different actions.
Multiple databases can be handled. Most databases that support OLE DB will work with Credo.