Fincad, a provider of valuation and risk analytics, has added coverage for mortgage-backed securities (MBS) and structured fixed income securities to its F3 solution via integration with data analytics providers AD&Co and Intex.
Buy side firms can use F3 to hedge exposure and perform scenario analysis across their entire multi-asset portfolio, including derivatives, MBS and related sectors.
“To combat low interest rates and achieve higher returns, more buy side firms are adopting sophisticated investment strategies and adding new asset classes, such as MBS and structured fixed income,” says James Church (pictured), vice president, product management and R&D, Fincad. “Based on client requests, F3 is now the only solution that delivers accurate valuation and risk results for multi-asset derivatives and fixed income portfolios containing these complex instrument types.”
For buy side firms, Fincad F3 is a single solution that allows firms to manage their entire derivatives and fixed income portfolios, including MBS, RMBS, ABS, CMBS and CLO securities.
F3 helps firms perform accurate hedging across their MBS and derivatives portfolio by providing precise risk sensitivities generated from centrally managed positions, curves, data and assumptions.
F3 also means that organisations can be prepared for any potential situation with accurate scenario analysis generated from a consistent set of models and curves, while portfolio managers, traders and risk managers are aligned with a consistent set of valuation and risk reports, all driven from a single set of underlying data.
In addition, firms need fewer systems to manage their portfolio, reducing points of failure and requiring fewer internal resources to maintain.
Through Intex connectivity, F3 users can access cashflow waterfall information to price, analyse and manage any bonds covered by Intex, including MBS and the full range of global structured fixed income. AD&Co’s behavioural models provide F3 users a valuable tool for generating prepayment, default and loss forecasts for mortgage loans, pools and securities that are critical inputs to pricing and measuring risk.
“Fincad’s decision to integrate their best-of-breed valuation and risk analytics solution, F3, with our MBS analytics technology means that now, firms have a very powerful solution for pricing and running risk on their MBS and structured fixed income portfolios, and this will arm them with the comprehensive information they need to make informed investment decisions,” says Rob Landauer, director of business development, Andrew Davidson & Co.
“We’re excited to be partnering with Fincad in order to provide institutions with MBS and structured fixed income securities in their investment portfolios, access to a very unique offering that combines our sophisticated deal waterfall models and cashflow engine with F3’s robust valuation and risk functionality. We anticipate firms will benefit from using one solution to value and run risk on their entire derivatives book, including the very complex structured fixed income securities that Intex supports,” says Jim Wilner, vice president at Intex.