Portfolio Evaluation Receives Regulatory Push10.24.2011
SunGard’s FastVal adds FX options data.
With the regulatory push around transparency in the OTC markets, providers of services that evaluate the instruments from a pricing perspective are reporting an upsurge in demand.
SunGard’s FastVal, for example, is an is an ASP portfolio valuation service, accessed via the Internet that provides independent valuations for individual trades and holdings as well as entire portfolios.
“We are seeing demand coming from regulation, and a greater awareness of the need for independent valuations for control and risk management purposes,” Gavin Lee, chief operating officer of SunGard’s FastVal business unit, told Markets Media.
FastVal is an independent derivative valuation service. It is Software as a Service, eliminating the need for large system infrastructure and overhead. “FastVal is an OTC valuation service, covering all derivative instruments from plain vanilla through to the most highly complex structure,” said Lee.
“Clients have full control and have full transparency of the valuations, modeling, calibrations, input data and parameters.”
FastVal is powered by a proprietary pricing language that can describe any financial instrument based on cash flows, calendar events and boundary conditions. All asset classes are covered by the service: FX, equity, interest rates, credit, inflation, commodity and hybrid structures.
This helps FastVal to respond rapidly to developing markets and products and assimilate new instruments. FastVal uses both single and multi-factor models with a choice of numerical methods to price and structure derivatives in a wide range of asset classes.
SunGard has added data from GFI Market Data, a division of GFI Group, to help enhance the quality of the data in FastVal.
GFI, a provider of wholesale brokerage, clearing services, electronic execution and trading support products for global financial markets, will supply FX data to FastVal, to help customers of the service independently value a wider range of derivatives.
FX options are typically traded OTC, and as a result require independent valuation.
“The FX options we are seeing from clients are hybrid IR/FX, Quanto and basket structures,” said Lee. “These are all OTC and require sophisticated modeling and good underlying data.”
Richard Turner of Insight Investment sees more automation and more transparency around cost and outcomes.
Nearly all cleared activity is in non-deliverable forwards (NDFs).
CLSNet standardizes and centralizes post-trade processes across FX.
The two platforms will link trading workflows in emerging markets bonds and currency swaps.
FX clearing offers operational efficiencies and credit intermediation.