FINCAD Addresses Credit Risk with Fair Value Insight

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Companies that operate in more than one country are exposed to Foreign Exchange (FX) risk. However, the use of derivatives exposes a company to regulatory requirements that specify how its value is calculated.

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We added CVA calculations on FX Forwards to Fair Value Insight to provide an easy-to-use, affordable option to comply with the coming regulations for our customers.

BCFAS 157 and IFRS 7 require the incorporation of counterparty credit risk into fair value calculations. Many companies calculate credit exposure by simply bumping the underlying curve and measuring the differences in fair value between the original and bumped curves. This practice has been acceptable to auditors to date, but it is anticipated that more stringent regulations and an increased focus on transparency will make this practice unacceptable in the future.

“We added CVA calculations on FX Forwards to Fair Value Insight to provide an easy-to-use, affordable option to comply with the coming regulations for our customers.” Said Bob Park, President and CEO, FINCAD, “It’s a complete solution, with credit risk adjusted fair values and market risk numbers for the most commonly used instruments - all designed with the ability to have automatically generated reports.”

Fair Value Insight is a Software-as-a-Service (SaaS) derivatives valuation solution built using FINCAD's industry standard analytics and ICAP's unrivalled market data. Fair Value Insight is a cost effective solution for pricing and risk management of OTC derivatives and fixed income securities. Sensitivity analysis can be performed on instruments and portfolios, and detail and summary level reports can be generated on demand or scheduled to run at pre-determined dates.

More information: http://www.fincad.com/fair-value-insight

About FINCAD
Founded in 1990, FINCAD provides software and services supporting the valuation and risk management of cross-asset class derivatives and fixed income securities to banks, corporate treasuries, asset managers, auditors, and governments. FINCAD is the industry standard for financial analytics used by more than 35,000 financial professionals in over 80 countries. Over 70 FINCAD Alliance Partners embed FINCAD analytics within their solutions. http://www.fincad.com

About ICAP
ICAP is the world’s premier interdealer broker and provider of post trade services. The Group matches buyers and sellers in the wholesale markets in interest rates, credit, commodities, foreign exchange, emerging markets, equities and equity derivatives through voice and electronic networks. ICAP is also the source of global market information and research for professionals in the international financial markets. ICAP plc was added to the FTSE 100 Index on 30 June 2006. For more information go to http://www.icap.com

Media Contact:
Sarah Quon
Direct: +1.604.831.9599
Email: pr(at)fincad(dot)com

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Sarah Quon
FINCAD
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