With FactSet’s Fixed Income Manager you can examine a broad universe of fixed income securities and associated derivatives and access accurate information on your portfolio and hedge.

Fixed Income Manager supplies Insurance ALM software with accurate projections. FactSet links with Tillinghast’s Actuarial Software, Milliman and Roberts’ Alpha, and Sungard’s Prophet to produce cashflows, book value evolution, and market value from your portfolio. The application can then provide accurate bond-level information to the major ALM software providers.

Access top quality fixed income analytics for portfolio management, risk management, asset liability management, and actuarial analysis. Combining leading-edge analytics with a fully customizable front-end, Fixed Income Manager lets you analyze and value any fixed income security or portfolio.

Model the impact of defaults on credit sensitive instruments using Credit Default Swap spreads, loss rates, or your own vectors of loss levels and loss severity. View global portfolios and create reports for Standard and Poor's RBC test or AM Best report.

Fixed Income Manager provides the accuracy and consistency you need for fixed income portfolio management.

Key Features:

• TRR, OAS, durations, convexity, and advanced risk measures
• Scenario and what-if analysis
• Performance attribution
• Asset and liability connections to TAS, ALFA, and Prophet
• Cash flow analysis
• Monte Carlo VaR
• Partial durations and partial vegas

Solutions:

• Access comprehensive analytics and portfolio analysis across all fixed income asset classes with a special emphasis on structured products: CMOs, ABS, CMBS, and CDOs
• Simulate and stress a portfolio under a variety of market and credit conditions
• Access all necessary regulatory reporting
• Include accurate cash flow and book value projections for income reporting
• Handle large portfolios and quickly calculate results
• Connect to trade order management and data warehouses