In response to increased market pressure for real-time risk metrics, FINCAD, the market leader for innovative derivatives solutions in the financial industry, announced the release of F3 2.1. This major product release for FINCAD includes P&L attribution, collateralized CVA, and hybrid modelling.
The newest release of F3 provides the ability to isolate individual P&L contributors for structured products with many components so financial professionals obtain the most comprehensive breakdown possible. F3 provides this level of detail by allowing users to view all exposures and valuation components in isolation, as well as at the aggregate level, providing a comprehensive attribution. In addition, the platform eliminates the issue of reconciling numbers since pricing and P&L reporting are happening on the same system.
Another major area of improvement includes hybrid modelling, from simple barrier products all the way to the most complicated long dated range accruals and PRDCs. Improvements have been made in meeting the needs of the insurance space to provide coverage for products like variable annuities and CPPI products. In addition, CVA coverage has been extended to include collateralized CVA and provides a new level of precision no matter how complex the instrument.
”It’s been a very interesting year in the markets,” said Daniel Scott, vice president, marketing & product management at FINCAD.”We recognize the heightened pressures by regulators for organizations to get a better handle on their risk and the market’s increased appetite for structured products. I feel that this is a significant release and a big step in meeting the market’s needs in both of these areas. F3 gives the flexibility to price any deal, while providing them with risk information on-demand that they require.”
“With accentuated price movements in financial assets seemingly becoming the new norm, batched/end of day monitoring of portfolio exposures may no longer be as acceptable as it once was,” says Dr. Mayiz Habbal, senior vice-president of Securities & Investment at Celent. “Companies need to invest in technologies that give them accurate visibility into the profitability of their portfolios. The key here is to attain an enhanced level of granularity and responsiveness in order to facilitate effective and timely decisions, so that firms can adjust their trading or investment strategies accordingly.”
F3 is available as an Excel add-in, MATLAB(R) and as a software development kit. Launch events for this release are being held in London (November 9) and Chicago (November 16).
