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FINCAD Launches F3 2.2 in Response to Rapid Market and Regulatory Changes

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F3 2.2’s new capabilities capture the full effects of counterparty credit risk on valuation

FINCAD, the market leader for innovative OTC derivatives solutions, today announced the launch of F3 2.2.

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’ need for technology solutions that are responsive to present and future needs,” said Bob Park, President and CEO, FINCAD. “We are dedicated to providing highly flexible and transparent solutions to address these market requirements.”

“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.”

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