Interdealer broker NEX Group’s post-trade derivatives service, TriOptima, has launched a new service for corporates and corporate treasurers called triCalculate. It aims to assist firms with regulatory and accounting developments such as international financial reporting standards (IFRS) and Basel III requirements. It also calculates accurate valuation adjustment (XVA) calculations to enable corporate to quickly identify and price the impact of a counterparty default and the cost of funding a derivative portfolio.
“Corporate users of OTC derivatives are under increasing pressure to ensure that their derivatives are properly valued over the entire life of the deal,” says the company. “Management, accountants and auditors are all focused on consistently maintaining accurate fair value calculations for newly-complex transactions previously considered simple.
“This means including credit value and debt value adjustments (CVA/DVA) in quarterly, semi-annual and year end reports in order to meet the IFRS 13 or fair value measurement ASC 820 rules for capturing default risk. Auditors are also focusing on funding valuation adjustment (FVA) as an important tool for firms to capture the true costs of their trades.
“As a client of large banks, corporates also get charged for these valuation adjustments when putting on a new deal – it is important to understand this charge and ensure the cost is a true reflection of the risks inherent in the new trade. triCalculate offers corporates a secure, web-based service for these potentially complex calculations across all asset classes in an easy, intuitive and low cost solution.”