ICAP (IAP.L), the world's premier interdealer broker and provider of post trade services, and FINCAD, the leading global 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 unrivaled 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."