The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Icap and Fincad Add CVA to Fair Value Insight

Share article

Icap, interdealer broker and provider of post trade services, and Fincad, a provider of financial analytics, announced today the addition of Credit Value Adjustment (CVA) to Fair Value Insight.

Credit valuation adjustments are required to meet fair value and mark-to-market regulatory requirements (FAS 157/IFRS 7). Fair Value Insight now includes the ability to calculate CVA and a facility to enter proprietary credit curves, so once trade details and credit curves are entered Fair Value Insight does the rest. A full expected exposures table is also provided which can be downloaded for further analysis.

Fair Value Insight is an affordable software as a service (SaaS) derivatives valuation solution built with Fincad’s industry standard analytics and Icap’s market data. The solution provides accurate, transparent valuations for OTC derivatives and fixed income securities. Customers can save time and enhance the visibility of their derivatives positions by having reports automatically delivered via email.

“The addition of Credit Value Adjustment calculations to Fair Value Insight addresses the stringent regulations requiring derivative users to incorporate credit risk in their portfolio valuations,” said Bob Park, president and CEO, Fincad. “Fair Value Insight not only provides the ability to include this adjustment but also provides complete views of models, assumptions and documented methodology to help with regulatory compliance.”

Related content

WEBINAR

Recorded Webinar: Last minute preparations for SFTR: What still needs to be done and are we ready?

The regulation clock is ticking. Financial firms, especially those subject to Phase I of implementation, are well aware of the impending April 2020 deadline for the Securities Financing Transactions Regulation. The question is, are they ready? Tactical, i.e painful, approaches to compliance won’t be good enough. A strategic plan of attack is necessary to combat...

BLOG

ISO Standardises Process of Embedding LEIs in Digital Certificates

ISO has defined a standard approach for Certification Authorities to embed Legal Entity Identifiers (LEIs) within digital certificates. The move to simplify LEI integration paves the way for all digital certificates to be linked by a universal identifier to verified and regularly updated entity reference data, in a freely accessible repository, and also can contain the...

EVENT

Data Management Summit London

Now in its 10th year, the Data Management Summit (DMS) in London explores how financial institutions are shifting from defensive to offensive data management strategies, to improve operational efficiency and revenue enhancing opportunities. We’ll be putting the business lens on data and deep diving into the data management capabilities needed to deliver on business outcomes.

GUIDE

Applications of Reference Data to the Middle Office

Increasing volumes and the complexity of reference data in the post-crisis environment have left the middle office struggling to meet the requirements of the current market order. Middle office functions must therefore be robust enough to be able to deal with the spectre of globalisation, an increase in the use of esoteric security types and...