The new release addresses market needs around the effects of counterparty credit risk on valuation, whether via the impact of collateral on curve building in a multi-currency framework, or via CVA. With tightening of spreads and the increased cost of capital, more accurate and reliable valuation of financial instruments is required. F3 is designed to provide users with the flexibility to accurately value virtually any financial instrument or portfolio of instruments. This latest release extends this capability with the addition of building discount curves and forward curves in multiple currencies, consistent with the rate payable on any collateral, as well as with the cross-currency swap market.
“FINCAD’s solid domain expertise and commitment to continuously developing products that address market changes, give us the confidence that F3 will continue to evolve with our growing business needs,” said Jorge Valencia, Risk Manager, AFP Habitat. “F3 provides us with the functionality required to build our risk and valuation system for our FX derivatives business. F3 offers us easy integration with our varying internal systems and adherence to necessary regulatory requirements around risk reporting.”
“The heightened sensitivity around counterparty risk management, the growing complexity of derivatives, and the looming regulatory changes such as Basel III and Dodd Frank, have increased organizations’
“With F3, all instruments applicable to Aberdeen can be valued under one system and accessed globally,” said Matthew Lynes, Portfolio Manager, Aberdeen Asset Management. “F3’s ability to generically represent even the most exotic financial structures ensures that almost any swap type can be valued without the need to rely on providers to update the software for each new instrument.”
To read the case study on how Aberdeen Asset Management implemented F3 to easily support over US $270 billion worth of assets, click here.
Founded in 1990, FINCAD provides advanced modeling solutions built on award-winning, patent pending technology. With more than 4,000 clients in over 80 countries around the world, FINCAD is the leading provider of financial risk analytics technology, enabling global market participants to make informed hedging and investment decisions. FINCAD provides software and services supporting the valuation, reporting and risk management of derivatives and fixed income portfolios to banks, corporate treasuries, hedge funds, asset management firms, audit firms, and governments. FINCAD Analytics can be accessed through Excel, MATLAB, as a Software-as-
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Founded in 1990, FINCAD provides software and services supporting the valuation and risk management of cross-asset class derivatives and fixed income securities to more than more than 4,000 organizations in over 80 countries.