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

A-Team Insight Blogs

Reval Releases New Version of its Web-based SaaS Offering for Fair Value Developments

Share article

Risk management solutions and valuations provider Reval has released a new version of its web-based software as a service (SaaS) offering, which it claims includes enhancements to allow for credit adjusted valuations in accordance with fair value accounting standards. Jiro Okochi, the vendor’s co-founder and CEO, explains that version 9.0 of the solution provides a greater variety of options for users to calculate fair values and assess and measure hedge effectiveness.

“No matter which way the regulatory winds blow, corporate treasury and accounting teams around the world can feel confident that they will satisfy their auditors’ compliance requirements when using Reval to manage their derivatives – plain vanilla or complex,” claims Okochi.

Adjustments have therefore been made to the credit adjusted valuations module of the software to include support for netting at International Swaps and Derivatives Association (ISDA) agreement level for mark to market and hedge accounting, supporting netted counterparty credit risk positions. It has been altered to integrate client defined policies for including credit in hedge accounting, says the vendor. This allows users to apply new credit adjustment methods to re-measure hedged items, exposures and hypothetical trades.

The module also features greater flexibility in using either bond yield spreads or credit default swap spreads in the calculation of credit adjustments. This is aimed at allowing users to choose the most accurate data for their valuations, says Reval. Philip Pettinato, Reval’s chief operating officer, explains that these upgrades are therefore imperative in the current market environment: “Corporations around the world continue to struggle with accurate credit adjusted valuations and proper technical accounting of derivatives.”

Enhancements have also been made to the solution as a whole to enable companies to comply with derivative accounting standards in various jurisdictions. For North America this includes the addition of Canada’s Accounting Standards Board (AcSB) requirement that derivatives be measured at credit adjusted fair value. It also includes enhancements to accommodate netting and collateral in calculation of Financial Accounting Standards (FAS) 157 credit adjustments and hedge accounting enhancements for the impact of FAS 157 credit adjustments on FAS 133 assessment and measurement.

For FAS 161, the solution features the addition of a FAS 161 doctor tool and enhancements to FAS 161 reports. Moreover, for DIG G16-Project Hedge Accounting, it includes enhancements to keep track of long term projects and allow users to manage a portfolio hedging long term projects, says the vendor.

Adjustments to the solution for compliance with European and Asia Pacific standards include enhancements to accommodate International Accounting Standards (IAS) hedge accounting treatment of FX rollover strategies and the addition of debt trades as hedging instruments. For International Financial Reporting Standards 7, the solution features a new classification of loan and receivables and the addition of an IFRS 7 doctor tool. For India specifically, the solution features enhancements to meet local market requirements for interest rate derivatives under AS 30.

According to the vendor, the solution’s risk management module has been upgraded to take into account advanced counterparty exposure reporting. To this end, the solution allows users to more efficiently examine exposure to various counterparties at the click of a button and define short term and long term exposure limits to various counterparties, claims Reval. It also features the ability to calculate greeks at the portfolio level, giving users a holistic view of risk across multiple asset classes.

The vendor has extended the solution’s instrument coverage to equity principal protected notes and swaps, which use Monte Carlo simulation and stochastic volatility models.

Related content

WEBINAR

Recorded Webinar: Best Practices for Integrated Regulatory Reporting Across Multiple Jurisdictions

The regulatory reporting obligations of financial institutions have mushroomed in scale over the past decade, leaving firms facing a raft of different requirements to provide increasingly granular metrics on their transaction, valuation and collateral data to a number of regulatory authorities. While many of these reports draw from the same core data set, the nuanced differences...

BLOG

Cappitech Joins Forces with REGIS-TR for End-to-End Service

EU trade repository REGIS-TR and Cappitech, a regulatory reporting service provider, have confirmed a new collaboration to deliver a streamlined, end-to-end regulatory reporting service. The partnership will link the two firms’ complimenting services for the Securities Financing Transactions Regulation (SFTR), the European Market Infrastructure Regulation, and its UK iteration, along with Switzerland’s Financial Market Infrastructure...

EVENT

Data Management Summit USA Virtual

Data Management Summit USA Virtual will explore how sell side and buy side financial institutions are navigating the global crisis and adapting their data strategies to manage in today’s new normal environment.

GUIDE

Directory of MiFID II Electronic Trading Venues 2018

The inaugural edition of A-Team Group’s Directory of MiFID II Electronic Trading Venues 2018 offers a guide to the European landscape resulting from new market structure introduced by the January 3, 2018 implementation of Markets in Financial Instruments Directive II (MiFID II). The directory provides detailed profiles of more than 70 venue operators and their...