December 2009
Highlights:
SPECIAL FEATURES
IMPORTANT ANNOUNCEMENT
ANNOUNCEMENTS
- Tax Exempt (SIFMA) data is now available in FINCAD Market Data
- FINCAD Analytics Suite 2010 is now available
- Coming in February: General Availability of F3 SDK
FINCAD PARTNER SPOTLIGHT
FINCAD IN THE NEWS
- Too much failure to avoid big regs
- Catching Up on OTC Derivatives Reform
- Today's Vital Need for Transparent Valuations
Season's Greetings from Bob Park, CEO
On behalf of everyone here at FINCAD, I wish you the happiest of holiday seasons, filled with the warmth of loved ones and special friends. While 2009 will be remembered for the global economic crisis and market volatility, it is my belief that 2010 will bring with it increased risk management and a rebuilding of the economy and the financial markets. We look forward to working with you and continuing to bring you solutions to help you build your business in 2010. May the New Year bring you peace, prosperity, and good cheer.
SPECIAL FEATURES
Capped Variance Swaps
FINCAD Analytics Suite 2010 for Excel and FINCAD Analytics Suite 2010 for Developers expand FINCAD’s coverage of variance and volatility derivatives by adding functions for the valuation of capped or floored variance swaps. A capped variance swap is a forward contract on future realized price variance with a cap on the total realized variance. It allows investors to take views on future variance (or volatility) without sensitivity to the level of the underlying asset price.
» Learn how to do Capped Variance Swaps
IMPORTANT ANNOUNCEMENT
FINCAD XL and FINCAD Developer are Retiring
Protect your business – upgrade now to FINCAD Analytics Suite 2010
As the vast majority of our clients have already upgraded to FINCAD Analytics Suite, we will be retiring older versions of FINCAD XL and FINCAD Developer so that we can better meet the needs of our current clients.
The following is the schedule to retire sunset versions of FINCAD XL and FINCAD Developer:
March 31, 2010: Versions 1 to 6
June 30, 2010: V7 and V8
December 31, 2010: V9
Support for these products, including license transfers, product reactivations and media replacements, will be discontinued. Clients are encouraged to take the steps to minimize any potential disruption to their business by contacting a FINCAD representative today to find out more.
ANNOUNCEMENTS
Tax Exempt (SIFMA) data is now available in FINCAD Market Data
SIFMA data for calculating tax exempt instruments has been added to FINCAD Market Data, an end-of-day market data service that is integrated with workbooks in FINCAD Analytics Suite 2010. Three new workbooks are now available: SIFMA curve, Municipal Swap Portfolio and Amortizing Municipal Swap. All workbooks are also integrated with the appropriate LIBOR data and holiday calendars.
» Click for details on FINCAD Market Data
FINCAD Analytics Suite 2010 is now available
Enhancements include significant improvements to all of the curves – new curves are even more flexible and allow tenor basis spread adjustments to address market volatility. New coverage includes capped and floored variance swaps and significant additions to Heston coverage. Preferential pricing is available – but only until December 31, 2009.
Coming in February: General Availability of F3 SDK
FINCAD’s Next Generation financial analytics library for developers will be released in February 2010. Watch for details on our website. F3 SDK is a stateful, object-oriented financial analytics library for pricing and risk measurement of derivatives and debt instruments, enabling rapid development for the entire spectrum of trades, from the most complex structured products to vanilla, in a unified framework.
FINCAD PARTNER SPOTLIGHT
Enterprise Risk Management with Independent Derivatives Valuation: Helping Banks Find Long-Term Success
As banks increasingly look to best-of-breed, third-party solutions for their risk management and independent derivatives valuation needs, SAS and FINCAD have collaborated to provide a solution to address these needs. This white paper outlines the solution in further detail and demonstrates how banks can save significant time and costs over developing the systems in-house, while developing effective risk policies to continuously manage a firm's risk-and-return profile and the capital required for long-term success.
» Click for details on FINCAD Market Data
FINCAD IN THE NEWS
Too much failure to avoid big regs
“Upon the anniversary of the Lehman Brothers bankruptcy - the event many measure as the beginning of the current financial crisis, though it more accurately could be described as the moment the crisis could no longer be ignored - nothing is settled except for the general understanding that more regulation is on the way.”
» Read a full article published in Futures Magazine
Catching Up on OTC Derivatives Reform
“I've been catching up on my reading about OTC derivatives reform bills that were passed by the House Financial services and Agricultural committees last month. Though I am a little behind, I've concluded that not much has changed except that regulators really want to mandate clearing and trading on exchanges (or alternative swap execution facilities) to bring transparency into the market and save taxpayers a fortune from bailing out the banks again. At the same time, industry participants are worried about unintended consequences of these reforms.”
» Read a full article published in Advanced Trading
Today's Vital Need for Transparent Valuations
“A worldwide re-examination of reporting fair values is under way by policymakers, standard-setters and those who must comply. The rise in prominence of risks, such as the counterparty credit risks inherent in holding derivatives, have spurred an era of reform and rethinking for all.”
» Read TMI article on Today's Vitial Need for Transparent Valuations

