analysis tools and services for structured products · 2020-02-05 · products screening • with...

Analysis Tools and Services

for Structured Products

© Fairmat Srl 2015, www.fairmat.com cloud.fairmat.com

http://www.fairmat.com/

https://cloud.fairmat.com/


What you can do with Fairmat Cloud?

• Fairmat Cloud is the easiest and affordable way to assess Structured Products and OTC derivative contracts.

• By opening https://cloud.fairmat.com you can: • Browse a fast growing database of retail structured products. Screen / rank /

compare products and obtain on-demand backward-looking and forward-looking analytics calculated using market consistent models calibrated by experts.

• Generate independent products assessment reports inspired by the latest IOSCO

and ESMA recommendations. This report is also available in a white-labeled form also suited for distribution.

• Generate disclosure document (KIDs) for any PRIIPS by using technical standards described in the joint consultation paper of 11 November 2015.

• Design/map and assess your own products or OTC derivatives by using the

available templates.

• Design, test and assess Structured Products Portfolios.









http://www.iosco.org/library/pubdocs/pdf/IOSCOPD434.pdf

http://www.iosco.org/library/pubdocs/pdf/IOSCOPD434.pdf

http://www.eba.europa.eu/documents/10180/1268855/JC+2015+073+CP+PRIIPs+Key+Information+Documents.pdf
















Products Screening

• With our market screening services (Italian, German, UK and Swiss

market already availble), you can find succesful investment

opportunities by ranking and comparing Products;

• Termsheets information available for any issue in a standardized

format.

• The quantitative analyses and product terms are also available with

custom data flow.


https://cloud.fairmat.com/Public/Services




Products Screening - Ranking

Filter products by market / type / underlying / issuer / currency / maturity.

Rank products by using quantitative measures. You can also add your own market

view and risk adversion to get personalized ranking outcomes.





Products Screening: Interactive Risk-Reward Map

Screen products through our interactive (and daily updated) risk-reward map. Customize X-Y axes by selecting among several risk / reward measures.





Structured Products Risk Data


An example of Risk Data Feed which could be delivered through Web services

API, FTP or email. The service provides raw analytics data on entire markets ready

to be consumed from third party investment decision or control engines. Fields

includes fair values, greeks, volatility, semideviation, VaR, CVaR, early redemption

and protection barrier breaking probabilities.




Do you need an independent assessment for a

retail product ?

Start using our search engine to retrieve public issues. If you can’t find the

product you are interested in, ask us and we will enter it into our database.


https://cloud.fairmat.com/mappingrequest






Do you need to assess a private placement?

Starting from our set of templates you can easily design your OTC contract, by

specifying underlying, issuer, thresholds, dates. You can also ask us to do it

for you or to include new templates that fits your needs.


https://cloud.fairmat.com/templates




Do you need to assess a private placement?

Mapping a new contract can be also easily done by cloning and

customizing a public placement.


https://cloud.fairmat.com/products






Analytics Requesting

You can easily request single or even multiple analytics (even

historical) for a product or portfolios.





Reporting - Mark-to-Market

Theoretical mark-to-market, with risk market and credit risk (CVA)

scenarios decomposition, is an indispensable information for Buy side

to understand the real value of your investment.





Reporting – Back Testing

Running back testing on equity-linked or index-linked products is both

an useful and a simple way to get insights on a product.





Reporting – Sensitivities

Sensitivities on your structured product‘s key parameters help you:

• testing new products features (Sell side).

• understanding your product and aiding negotiation (Buy side).





Reporting – Greeks


Possibility of customizing intervals in which you want greeks to be

calculated (modified greeks).




Reporting – Independent Quantitative Report





Reporting – Independent Quantitative Report

• Our Independent Quantitative Report follow the guidelines of Regulation of Retail Structured Products, IOSCO, December 2013, Structured Retail Products - MiFID practices for firms selling complex products, ESMA, February 2014, Structured Retail Products - Good practices for product governance arrangements, ESMA, March 2014 and Structured Products: Thematic Review of Product Development and Governance , FCA, March 2015;

• This Independent Quantitative report can be used by Buy side entities to compare investment opportunities and fully understand the risk and returns potentials of products.

• Both Buy and Sell sides can benefit of this reporting for compliance, marketing and distribution (also with white-labelling possibilities) purposes.

• Quantitative analyses in this report can be fully customizable (tresholds, alternative investment comparison, back-testing technique,…).

• KIDs generation available on January 2016.





Structured Products Portfolios

Define a structured portfolio compositions and assess any allocation of multiple structured products with portfolio Greeks, portfolio Backtesting and VaR analytics.





Structured Portfolios Backtesting and

Greeks





Fairmat Cloud Market Data Coverage

Currently Fairmat Cloud handles products based on the following:

• Price history and forwards: American and European exchanges, global indices / ETF and FX rates;

• Volatility surfaces:

- Equity: American and major European exchanges.

- Indices: Major global indices like FTSE, SPX, STOXX, NKY, RTY

- Rates: EUR, USD, CHF

• Credit (CDS Spreads): 3000 major financial and industrial names

Further data can be integrated upon request





Available Theoretical Models / Alghoritms

• Montecarlo Simulation / Trees

/ Bootstrapping;

• Least Squares Montecarlo;

• Geometric Brownian Motion;

• Heston Sthocastic Volatility;

• Local Volatility

(Dupire/Gatheral);

• Variance Gamma;

• Black / Shifted Black Model;

• Hull & White I & II Factor;

• Libor Market Model;

• Yarrow-Yildrim;

• Pelsser/Squared Gaussian

Model;

• Ornstein-Uhlenbeck;

• Credit Intensity Models / CDS

Simulation Models (SRMR);





More information

• Visit cloud.fairmat.com to start.

• Watch our presentation videos in English, German or Italian.

• Find more details at https://cloud.fairmat.com/public/help

• For any clarification request, please contact us at

[email protected], or call us at +39 045 80 12 030.

• Stay updated on







https://www.youtube.com/watch?v=w1gZ-MWB3pA

https://www.youtube.com/watch?v=K-X1N8GHICE

https://www.youtube.com/watch?v=VckXYkTTFeY

https://cloud.fairmat.com/public/help







mailto:[email protected]




