Pardue resigns from Morgan to set up alternative investment house

London-based Prytania will invest in structured fixed-income products, including asset-backed securities and collateralised debt obligations (CDOs). “Most institutions do not have the necessary expertise to manage these investments in-house, and potential high returns go untapped,” Pardue told RiskNews. “Developing expertise can be expensive and time-consuming,” he added.

The exact form of Prytania’s risk management is still being fine-tuned, but Pardue said it will involve three elements. At the single-transaction level, it will do detailed analysis of structures and their underlying credits. Also, if the investment is in a managed synthetic CDO portfolio, the manager’s experience and capabilities will also be assessed.

At the portfolio level, it will regularly mark-to-market using various different methodologies. “Where appropriate, we will also consider hedging with credit derivatives,” Pardue said.

Prytania will target investment from insurance companies, banks and pension funds in Europe and Asia. Its target size will be greater than $1 billion, but Pardue declined to elaborate further.