NEW YORK–(BUSINESS WIRE)–Dec. 11, 2003–Derivative Solutions, a leading provider of analytical software to the fixed income industry, announced today that its software produces the risk exposuremeasurements necessary to populate key portions of Standard & Poor’s risk-based capital (RBC) and financial product company (FPC) models that relate to interest rate risk.
Standard & Poor’s FPC model analyzes an insurer’s exposure to interest rate, credit risk and operational risk and relates them to expected capital adequacy based on the rating category. The FPC model provides Standard & Poor’s with better resolution of the insurers risk exposure, than the company’s traditional RBC model.
The traditional RBC model now incorporates the convexity exposure analysis that was originally applied in only the FPC model. The FPC model includes assets, liabilities and hedging instruments using company-specific risk analysis, resulting in a more complete analysis of a company’s net risk exposure.
“During the past four years, Derivative Solutions has worked very closely with Standard & Poor’s,” said Greg Milin, Managing Director of Derivative Solutions. “We want to ensure that any changes or refinements to the test, including the ability to change scenarios, add more advanced calculations, or choose the partial duration points and increment for each shock, is quickly incorporated into our software. The largest insurance companies in the world rely on Derivative Solutions to make sure that they can simply push one button in our software and handle all of S& P’s requirements in a timely and efficient manner.”
“We work very closely with Derivative Solutions to model our securities and calculate the attributes required by the FPC model,” said Ashok Chawla, VP Risk Management at AEGON USA Investment Management, LLC. “Their unique knowledge of the FPC model and the flexibility of their system has proved valuable in helping us provide our insurance company clients with the reports they need to submit to Standard & Poor’s.”
Insurance companies now have the ability to demonstrate their interest rate risk exposure within defined parameters. Derivative Solutions software allows insurance companies to spot check and verify the unadjusted results submitted by the insurance companies. Since the insurance companies and Standard & Poor’s can both use the same software, the reporting process is easy and seamless.
About Derivative Solutions
Derivative Solutions is a leading provider of analytics and portfolio management software to financial institutions trading and investing in the bond market. Since 1991, Derivative Solutions products have provided all the tools necessary for the proper valuation and risk management of all fixed income securities including CMOs, ABS, CMBS, CDOs, MBS, Treasuries, Agencies, Corporates, Municipals and Derivatives. Traders, Analysts, Portfolio Managers and Risk Managers at leading Wall Street & Regional Dealers, Banks, Insurance Companies, Mortgage Companies, Investment Managers, Hedge Funds, Bond Insurers, Credit Unions and Rating Agencies use the Derivative Solutions suite of products for Bond Trading, Portfolio Management, Risk Management, CDO Management, Structuring, Hedging and Performance Attribution.
For more information about Derivative Solutions products and services, please visit the company’s website at www.dersol.com or contact Larry Schwartz at (212) 768-3678.
