Sophis, a leading provider of cross-asset, front-to-back-office solutions, today announced the release of the new version of VALUE, its platform for buy-side institutions.
VALUE 3.0 features enhanced credit derivatives and commodities modules to support buy-side clients' pursuit of more complex trading strategies, as well as improved reporting, attribution and benchmarking tools to help fulfil the increasingly demanding requirements of regulators and investors.
The new release includes valuation and risk correlation modelling capabilities for a range of credit derivatives, including convertible asset swaps, basket CDSs, CDOs, CDO2s and CDS indices. VALUE 3.0's commodities module enables clients to manage physical delivery, forwards and derivatives across oil, gas, power, CO2 emissions, base metals, precious metals and soft commodities.
The increased popularity of complex cross-asset trading strategies means that funds' systems must be able to measure and calculate correlations between instrument types, but technology is often considered a barrier to use of high-return structures.
Solutions such as VALUE 3.0, which are able to manage complex instruments across asset classes in a single system, enable buy-side institutions to measure risk correlations between multiple instruments, thereby facilitating growing demand for hybrid structures.
For the credit derivatives market, where measurement of correlation risk has become critical following the recent downgrade of two well-known blue chip companies, VALUE 3.0 offers, among other features, an optimised Monte Carlo valuation method and calculates correlation risk (base and tranche) for all major instruments. In response to growing hedge fund interest in energy and commodity trading, VALUE 3.0 now offers the capabilities developed in partnership with sell-side clients of Sophis' RISQUE platform to the buy-side. Hedge funds can now handle a comprehensive range of instruments, from physical delivery or forward contracts to swaps, formula and basket swaps, options on futures, listed options, Asian and swaptions, basket and basket options.
VALUE's fully integrated reporting module produces customisable XML reports which can be produced for any past or scheduled date, and can seamlessly be published on the web or exported in various formats for internal and external parties, such as investors and prime brokers. In addition, VALUE users can now measure, analyse and attribute performance and can monitor performance against the benchmark of their choice.
Daniel Abitbol, Business Development Manager for VALUE at Sophis, says, "Fund managers must address the needs of investors both in terms of returns and reporting. Currently, the buy-side is under pressure to invest in highly complex instruments. Managers also need to provide performance analysis for which they need reporting tools to measure their activity effectively and accurately. Correlation is one of the biggest issues in the market and we believe technology should not be a barrier to measuring or trading the correlation risk in the credit and hybrid markets. We are confident that we have focused on the needs of a market in which the development of cross-asset trading strategies is evolving rapidly."