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.