The fAV-platform

The frontmark ADVANCED VALUATION platform is based on three integral pillars: data, software library and technology. Customers benefit from synergies generated by the fusion of these three fundamental components to one universal and flexible valuation and risk analysis platform.

1. Corporate and Static Data

Operating a dedicated data center frontmark relies on exclusive high-quality corporate and static data. frontmark covers the full life-cycle of each product, including corporate actions, knock-outs and the monitoring of conditional coupon payments.
2. Raw Market Data

frontmark sources raw market data directly from exchanges and established vendors. Independent sourcing is a key to the generation of independent fair values as it is the starting point for the derivation of valuation input parameters.
3. Processed Market Data

Based on raw market data frontmark calibrates models using its independent library and derives accurate market implied risk and valuation input parameters. An independent and automated production of market consistent, bootstrapped data is crucial when providing objective and accurate valuation and risk services.
4. Individual Data

frontmark sources, maintains, and reconciles individual data and has the capacity to handle and maintain OTC trades based on trade confirmations and to process the data as needed.

1. Test-based Development

The development of the library follows the standards of modern software development: frontmark believes in the added value created by intensive code reviewing, precise coding-style guidelines and extensive unit- and regression tests.
2. State-of-the-art Library

The library incorporates the latest developments in the derivative industry. Examples include OIS- and issuer-specific discounting to capture the credit risk; the decomposition of structured notes into their components in order to break down and assign the risk to different asset classes.
3. Pricing Models

All pricing models have been implemented by former front-office quants knowing not only the market standard but also the specialties of the different markets.
4. Calibration

The stable and meaningful calibration of volatility surfaces, the bootstrapping of yield curves or determining the shape of the forward curve for various assets is of crucial importance for every independent valuation service. Algorithms developed inhouse and ultimately the clients benefit from frontmark’s knowledgeable and experienced developers.

1. Security

frontmark operates all hardware and software systems in multiple, independent locations. Data sources are available from various sources and market data is routed from different vendors for backup reasons. The setup provides system stability even under adverse conditions.
2. Process Automation

frontmark has developed an innovative process automation environment to enable the reliable, secure and scalable execution of risk, valuation and data processes. Flexible process configuration allows an optimized, client specific setup with variable escalation, alerting and monitoring schemes.
3. Full Control

A continuous monitoring and warning system guarantees full control over all active processes providing escalation lines to relevant individuals. Warning and escalation schemes have been defined for all active process modules and are configurable to match the client specific needs.
4. Database Server

frontmark uses redundant, high-end server hardware for the operation of databases and to account for the computational burden. Product and market data is continuously mirrored to multiple, diversified back-up systems.

Use cases

Based on our fAV platform, we provide various valuation and risk analysis services for equity, fx & fixed income products with a special focus on structured equity products.

Market Conformity

Based solely on minimal trade information (ISIN and trade timestamp are sufficient), we provide time consistent market implied fair values for your trades as well as additional information such as sensitivities (“greeks”) or market implied spreads.
Execution Report

Based solely on minimal trade information (ISIN and trade timestamp are sufficient), we provide time consistent bid and ask quotes, aggregated information such as trailing minimum bid, trailing maximum ask or information on trade time consistent quotes from different trading venues.
Collateral Conciliation

We provide independent market consistent fair values for your OTC trades that can be used for collateral conciliation with your counterparty. Our data center provides the capacity to process automatically all trades based on your OTC confirmations. Reports can be generated on a daily basis.
Decomposition Report

Decomposition reports as a part of financial regulations – such as Solvency II – can be generated for a large universe of structured products. The report breaks the product down into its basic components and its risk into the components of fixed income, credit, fx and equity thus allowing a more detailed insight into the real value and the risk exposure on different aggregation levels.
Portfolio Risk

We calculate risk reports for your individual investment portfolio including hedge sensitivities. The risk measures and the format of the report can be configured according to your specific needs. The frequency of recalculation and the delivery channel can be adapted to your individual requirements.
Scenario Report

We calculate scenario reports including stress-scenarios for your individual investment portfolio. The scenarios and the format of the report can be configured according to your specific needs. The frequency of recalculation and the delivery channel can be adapted to your individual requirements.
VaR

Value at risk (VaR) is the market standard measure for assessing the risk of individual products as well as investment portfolios. Based on our flexible risk engine, we provide VaR measures for your individual selection of products – individually or on a portfolio level.
Issuer Estimated Value

Issuers of structured products have committed to provide a market consistent fair value indication to potential investors at the product issuance date – the issuer estimated value (IEV). We can support issuers by providing independent IEV to increase investors’ confidence.

Collateral Conciliation

We provide independent market consistent fair values for your OTC trades that can be used for collateral conciliation with your counterparty. Our data center provides the capacity to process automatically all trades based on your OTC confirmations. Reports can be generated on a daily basis.
Decomposition Report

Decomposition reports as a part of financial regulations – such as Solvency II – can be generated for a large universe of structured products. The report breaks the product down into its basic components and its risk into the components of fixed income, credit, fx and equity thus allowing a more detailed insight into the real value and the risk exposure on different aggregation levels.
Portfolio Risk

We calculate risk reports for your individual investment portfolio including hedge sensitivities. The risk measures and the format of the report can be configured according to your specific needs. The frequency of recalculation and the delivery channel can be adapted to your individual requirements.
Scenario Report

We calculate scenario reports including stress-scenarios for your individual investment portfolio. The scenarios and the format of the report can be configured according to your specific needs. The frequency of recalculation and the delivery channel can be adapted to your individual requirements.
VaR

Value at risk (VaR) is the market standard measure for assessing the risk of individual products as well as investment portfolios. Based on our flexible risk engine, we provide VaR measures for your individual selection of products – individually or on a portfolio level.

Market Conformity

Based solely on minimal trade information (ISIN and trade timestamp are sufficient), we provide time consistent market implied fair values for your trades as well as additional information such as sensitivities (“greeks”) or market implied spreads.
Execution Report

Based solely on minimal trade information (ISIN and trade timestamp are sufficient), we provide time consistent bid and ask quotes, aggregated information such as trailing minimum bid, trailing maximum ask or information on trade time consistent quotes from different trading venues.
Issuer Estimated Value

Issuers of structured products have committed to provide a market consistent fair value indication to potential investors at the product issuance date – the issuer estimated value (IEV). We can support issuers by providing independent IEV to increase investors’ confidence.

Market Conformity

Based solely on minimal trade information (ISIN and trade timestamp are sufficient), we provide time consistent market implied fair values for your trades as well as additional information such as sensitivities (“greeks”) or market implied spreads.
Execution Report

Based solely on minimal trade information (ISIN and trade timestamp are sufficient), we provide time consistent bid and ask quotes, aggregated information such as trailing minimum bid, trailing maximum ask or information on trade time consistent quotes from different trading venues.
Collateral Conciliation

We provide independent market consistent fair values for your OTC trades that can be used for collateral conciliation with your counterparty. Our data center provides the capacity to process automatically all trades based on your OTC confirmations. Reports can be generated on a daily basis.
Decomposition Report

Decomposition reports as a part of financial regulations – such as Solvency II – can be generated for a large universe of structured products. The report breaks the product down into its basic components and its risk into the components of fixed income, credit, fx and equity thus allowing a more detailed insight into the real value and the risk exposure on different aggregation levels.
Portfolio Risk

We calculate risk reports for your individual investment portfolio including hedge sensitivities. The risk measures and the format of the report can be configured according to your specific needs. The frequency of recalculation and the delivery channel can be adapted to your individual requirements.
Scenario Report

We calculate scenario reports including stress-scenarios for your individual investment portfolio. The scenarios and the format of the report can be configured according to your specific needs. The frequency of recalculation and the delivery channel can be adapted to your individual requirements.
VaR

Value at risk (VaR) is the market standard measure for assessing the risk of individual products as well as investment portfolios. Based on our flexible risk engine, we provide VaR measures for your individual selection of products – individually or on a portfolio level.

Missing your case

Are you missing a case or do you have any questions regarding an existing use case? Please feel free to contact us – we are happy to discuss your specific needs and come up with a tailor-made solution!

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