Mandates

Product Coverage

Our team has a strong focus on investment and risk management plus advisory. It shares a background in quantitative sciences combined with extensive practical experience in banking and credit. We have the capacity to analyze, actively manage and monitor large portfolios composed of all types of credit, derivatives, indices and structured finance.

Single name credit

  • Loan
  • Bond
  • Private Equity

Derivatives and Indices

  • CDS, Basket CDS, CDX, iTraxx
  • LCDS, LCDX
  • CLN
  • Total Return Swap
  • LSS
  • IRS
  • Asset Swap
  • CIRS
  • Currency Swap

Structured Finance

  • Cash
  • Synthetic
  • Bespoke / Private Deals
  • Master Trust, Trust Preferred Securities (TruPS)
  • Whole Business Securitization
  • US, Europe, Emerging Markets

  • ABS (credit cards, consumer finance, student loans, auto, leases, aircraft, shipping, project finance, trade receivables, healthcare, future flows)
  • CMBS
  • RMBS (prime, jumbo, ALT-A, subprime, HELOC, non-conforming, buy-tol-let)
  • CDO, CLO, CSO, CPDO, CBO, CMO
  • CDO^2, ABS CDO, CRE CDO, CDO^4, NIMS, SIV

Asset Management

  • Athena is a diversified global credit opportunities fund focussed on structured finance assets. Prytania launched Athena with $65m mid-2008 for a group of large UK-based investment trusts to invest opportunistically in secondary market structured finance assets. This fund was increased in late 2008 and mid 2009 by the same investors. Download Athena Factsheet.
  • Danube Delta is a structured finance leveraged mezzanine fund. In summer 2006, Prytania launched an innovative $435m fund investing in mezzanine structured finance assets with modest leverage denominated in USD, EUR and GBP.
  • Portfolio of cash CDOs: After a succession of risk advisory assignments for a Middle Eastern commercial bank, the client mandated Prytania in mid-2008 to manage an existing $235m portfolio of cash-based structured finance assets.
  • Portfolio of synthetic CDOs: In early 2009, the same client transferred to Prytania the management of an additional $220m portfolio of synthetic-based structured finance assets from a large, well-known US-based investment manager.
  • Portfolio of ABS and CDOs from a restructured SIV: In March 2010, the same client mandated Prytania for an additional $370m portfolio of a vertical slice of a repacked SIV.

Advisory

  • Portfolio loss distribution: Calculated the likely portfolio loss distribution across a diversified portfolio of structured finance assets for a large German Landesbank.
  • Complex risk analysis: Undertook a thorough risk analysis of a multi-billion euro structured finance portfolio comprised of some of the most complex credit products sold since 2001 for a German bank who had inherited these positions through a merger.
  • Documentation and risk review: Provided a detailed documentation and risk review for each position in a portfolio of complex structured finance positions held by a nationalized UK bank.
  • Audit of complex credit models: Audited the models used by a major UK asset manager to value and risk manage a multi-billion pound complex credit investment portfolio.
  • Performance assessment: After taking over the management of half of a portfolio of stressed structured finance assets for an existing risk advisory client, Prytania was asked to assess the performance of a leading investment manager who was managing the other half of the portfolio. The ultimate result was the dismissal of this leading manager in favour of using Prytania.
  • Fair and Market value assessment: Calculation of independent fair and market values on monthly basis across portfolios of synthetic and cash based structured finance assets for banks and insurance firms.

For more information on Prytania's Asset Management mandates, please contact Lexie Hope, Fund Marketing and Investor Relations on +44 20 7015 8873 or via email at lexiehope@prytaniagroup.com. For further information on Prytania's Advisory mandates, please contact Oliver Fochler on +44 20 7015 8883 or via email at ofochler@prytaniagroup.com.