Zanders Delivers CVA and DVA Service to Clients with FINCAD’s F3

Zanders Delivers CVA and DVA Service to Clients with FINCAD’s F3

Many of Zanders’ corporate clients do not have the knowledge, resources, or time to handle every facet of treasury and risk management, especially hedge accounting and valuation. To help clients meet their needs, we offer services including independent valuations, outsourced valuations, hedge effectiveness reporting, and counterparty pricing.

We continually improve our processes and develop tools to align with best market practices. This pursuit of best practices led us to consider implementing new analytics technology.

The Challenge

One particular area that Zanders wanted to optimize was credit value adjustment (CVA) and debit value adjustment (DVA) valuations. Prior to 2013, we used Excel-based tools to perform CVA/DVA on simple trades, but recognized the calculations on more complex instruments would require an additional tool.

“With IFRS 13, there was a pressing need for robust CVA modelling; auditors want specific exposure and default probability calculations. Regulatory complexity, combined with shifting market practices in terms of Libor and OIS, means that corporates need additional expertise in treasury and risk management. That’s why they turn to us”, says Pierre Wernert, Senior Manager Valuation Desk.

Developing a tool in-house was too costly, so the Zanders’ Valuation Desk team researched analytics tools. The tool needed to be sophisticated, user-friendly, able to value and manage any risk portfolio, and support a team with a history of best market practices.

FINCAD’s Solution

During their research, our Valuation Desk team came across a FINCAD paper on CVA/DVA. Finding the paper informative, they reached out to FINCAD to learn more. This conversation led to the decision to implement FINCAD’s F3 Excel Edition for valuation and CVA/DVA.

The Results

By leveraging FINCAD F3’s comprehensive, accurate, and transparent analytics to perform the heavy lifting of computing valuations and CVA/DVA, we can focus on managing the risk of clients’ multi-asset, multi-currency portfolios.

We benefit from valuable time and resource savings by no longer needing to develop models from scratch, and we pass those benefits directly to clients with stronger, faster analysis of their portfolios.

“F3 helped us introduce more stability and consistency across our valuation models. We are less dependent on our in-house model, which required a lot of memory to run calculations. Furthermore, the speed of FINCAD F3’s calculations is remarkably fast — particularly when performing complex valuation adjustments.”

In the near future, Pierre Wernert anticipates further regulation aimed at reducing counterparty risk and increasing transparency (e.g., IFRS 9). He expects Corporate Treasurers will feel the impact.

“The current regulatory environment introduced real complexity around calculating CVA/DVA that many Corporate Treasuries are not prepared to handle. F3 allows us to provide our clients with accurate valuations in compliance with IFRS 13, on a wide range of financial instruments.”

To address these changes, Zanders plans to bolster its use of F3 to further enhance its existing services and handle greater complexity in a robust environment.

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Highlights

Client
Zanders Treasury and Finance Solutions
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Business objectives

  • Valuation of financial instruments
  • Attain CVA/DVA coverage for clients’ derivatives portfolios
  • Outsourcing hedge accounting

Requirements

  • Powerful analytics solution for valuing financial instruments
  • Ease of use
  • Flexibility to respond to regulatorydriven risk reporting changes
  • Knowledgeable Professional Services team
  • Full documentation

FINCAD solution
F3 Excel Edition
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FINCAD features

  • Accurate and transparent CVA/DVA modeling
  • Flexible architecture for bringing new services to market in a timely fashion
  • Quantitative, market and systems experts within Professional Services

Success factors

  • Delivery of CVA/DVA service for corporate clients
  • Time and resource savings by no longer needing to develop models from scratch
  • Opportunity to grow business through offering additional valuation services leveraging F3

 

About FINCAD

An established leader with more than 25 years of experience, FINCAD provides innovative and trusted financial analytics software to organizations worldwide. With deep market understanding, a client-centered business approach, and unmatched quantitative and software engineering expertise, FINCAD is uniquely positioned to lead the market in enterprise valuation and risk technology. FINCAD serves more than 1,000 organizations across the globe. To learn more about FINCAD’s award-winning solutions, please visit fincad.com.