BondPro Library for Investment Accounting

Provide extensive coverage for basic & complex fixed income and derivatives accounting calculations for any type of bond or credit derivative including bank loans, CMOs and emerging market bonds.

The BondPro Library for Investment Accounting solution provides complete fixed income book value accounting calculations, covering virtually all types of fixed income issues, both domestic and international, including credit derivatives.

With its built-in default rules for each security type, such as accrual methodologies, amortization/accretion methods, interest payment methods and frequencies, payment default and pre-payment rules, etc..., users need only provide minimal data, therefore vastly improving operational efficiency and significantly reducing risk.

• This solution has been integrated into several in-house built accounting, portfolio management and performance systems as well as a fund accounting vendor platform.

• This solution is used by many Third Party Administrators and Mutual Fund firms to either replace or supplement their current fund accounting system and is a cost-effective solution for filling any gaps in calculation coverage.

• This solution is extremely flexible and robust, allowing users to create new security types "on the fly" without programming. Therefore, users can always access calculations on new or existing security types in real time.

• This solution can be integrated with any input data source.

• This solution is available as a hosted web service, a fully integrated API into any system(s), can be used through its Excel add-in, or in any other custom manner. Results can be displayed/transmitted in any way the user desires.

Examples of customer use:

• A leading mutual fund manager uses it in parallel to their mutual fund accounting system for accretion/amortization calculations on IOs, POs, CMOs, ABS, Reverse Mortgages, Swaps (IRS, CDS & TRS) and 99-20 securities (distressed debt)

• A large fixed income fund manager uses it for term loans (bank loans), swaps (IRS, CDS & TRS) domestic and foreign inflation-protected securities and emerging market debt

• A hedge fund administrator uses it for CMOs, IOs, domestic and foreign inflation-protected securities, bank loans and sinking fund bonds

Available as a standalone system or as a fully integrated solution with InvestSoft's other modules.

Complete Security and Calculation Coverage
Virtually any domestic or global fixed-income security or credit derivative is covered: sovereign debt, domestic and foreign inflation protected securities, mortgages, CMOs, floaters, money markets, term loans, IOs, POs, swaps, bank loans, bond options, futures and emerging market bonds. Securities with odd payment frequencies and accrual methodologies are covered with no additional user set-up required.

Create Security Types and Calculation Rules without Programming
The intuitive application allows users to create and maintain a set of fixed income security types and calculation rules. Users can create/adjust new security types and calculation and accounting conventions without programming. The solution includes a database of industry standard security types, calculation rules and accounting conventions that users can easily expand as necessary.

Comprehensive Day Count Convention
All industry standard day count conventions are available including the ISDA day count and coupon payment conventions.

Holiday Calendar Processing
Users may specify whether the payments for a bond are subject to holiday processing or not. If subject to holiday processing, users can specify whether they wish the payment dates to be on the first business day prior to or after the holiday. Users may indicate whether their holiday calendar contains weekends or not and if they want it to compute weekends and to adjust payment dates and payment amounts accordingly.

Comprehensive Payment Frequencies & Scheduling Rules
A virtually limitless set of payment frequencies can be created using the scheduling rule concept. Users can have generic daily, weekly, and monthly payment frequencies. For example, users can have daily based payment frequencies of 1 day, 2 days, 3 days or N days (where N is any integer). Users can also specify the day of the week on which payments occur. For weekly schedules, payments can be scheduled every 1 week, every 2 weeks or every N weeks. For weekly schedules, the week of the month and the day of the week the payments occur can be selected. Similar flexibility exists for monthly scheduling rules.

FX Rate Conversions
Calculations can be performed in local and base currencies using FX rate assumptions

Pre Tax and After Tax Calculations
Users may specify whether calculations should be pre-tax, after-tax or on tax equivalent basis

Complete GAAP based Accrual Accounting
Users may compute interest income and accretion/amortization over any time period with 8 different accrual methods available. Gain/loss and book value at any point in time is available.

Users can specify any period (spanning past, present and future) for which to perform calculations.


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