Analytics Suite

Instrument Coverage

Interest Rate

Money Market Instruments Other Swaps & Swaptions • Interest at • Asset swap • Discount securities • Cash settled swaption with forward premium • Credit contingent swaption • Trigger (knock-out) swap Futures & Fowards • CMS/CMT (constant maturity index/treasury) • Forward Rate Agreement (FRAs) • Range accrual CMS/CMT (constant maturity index/ treasury) • In-arrears futures (overnight) • Range accrual • In-advance futures (IBOR) • Cancellable • Interest rate futures options • Cancellable range accrual • Cancellable floored/capped Interest Rate Notes • Cancellable inverse • Mid-curve swaption • Floored/capped floating rate notes (FRNs) • Callable/puttable floored/capped floaters • Callable/puttable inverse floaters Caps/Floors • Vanilla • Averaging Structured Interest Rate Notes • Digital • Vanilla and user defined • Constant maturity spread option • Callable and puttable • Constant maturity • Amortizing/accreting • User-defined • Range accruals • Inverse floaters • Capped floaters Option Styles • Flexible FRNs • American • Bermudan • European Swaps & Swaptions • Vanilla/amortizing • Brazilian • Tenor basis • In-arrears • IMM • Compounded • Percentage of IBOR • Zero • Floored/capped swap • Municipal/tax exempt • Averaging • User-defined

Money Market Instruments Convertible Bonds • Discount securities • Coupon step-up/down/rollercoaster • Interest at maturity • Amortizing/accreting • Implied spread/volatility

Bond Forwards, Futures and Options • forwards Mortgage-backed Securities • CTD (Cheapest to Deliver) bond analysis including cash- • IO/PO Bonds settled • Adjustable Rate Mortgage (Hybrid ARM) • Conversion Factor for bond futures • PAC & TAC bonds • Treasury lock • Companion PACs/TACs • Bond options • Accrual/Sequential bonds • Fixed rate pass-throughs or pools • Prepayment analysis Fixed Rate Bonds (Bullet and Level Coupon) • Prepayment utilities • Coupon Step-up/down/rollercoaster • Spread analysis • Amortizing/accreting • Utilities for creating prepayment vectors (PSA, ABS, CPR • Yield vs discount factor approaches supported <-> SMM) • Equity-indexed • Municipal/tax exempt • Hybrid fixed/float instruments Swaps • Zero coupon • Vanilla • 33 country-specific/jurisdictional bonds • Asset swap • TRS (total return swap) on bond • Municipal/tax exempt Fixed Rate Bonds (Inflation Indexed) • Coupon Step-up/down/rollercoaster • Amortizing/accreting Option Styles • Yield vs discount factor approaches supported • American • 11 countries supported in jurisdictional specific bonds • European

Callable Bonds • Calculate callable/puttable bond and option price • Yield to best/worst analysis • Option adjusted spread • Hybrid fixed/float instruments

Analytics Suite Instrument Coverage Credit

Credit Default Swaps (CDS) Collateralized Obligation (CDO) and • Credit Default Swap (single asset) Indices • Asset-Backed Security (ABS) CDS • CDO tranches (synthetic & standard) • Loan Credit Default Swap (LCDS) • CDO tranche cash flows • CDS/CDX options • CDO tranche linked notes • Constant Maturity Default Swap (CMDS) • CDS on indices • CDS index options • First loss CDS and CDO tranches Basket CDS • Credit Index Basis Adjustments • Cash flows • First-to-default, nth-to-default, n-out-of-m to default • Binary payoffs Other Credit • Basket CDS options • Recovery Rate swap • Credit linked and rating sensitive notes ––Fixed and/or floating Cash Flow CDOs • Asset swap • Simulate waterfall • Credit spread options, forwards • Notes can have the same or different payment • Total return swap frequencies ––Underlying bond can have user defined payment schedules • Credit contingent swaption

Foreign Exchange

Futures & Forwards Options - Exotic and Vanilla • Outrights - points and foreign currency curve approach • Asian • Barriers: • Implied repo • Average strike ––Single & double • Double average • Binary: • Forward start ––Single barrier Swaps & Swaptions • Chooser ––Digital • Vanilla/amortizing • Compound ––Binary spread • Basis • Lookback • Multi-asset: • IMM • Power & quotient ––Baskets • Quanto • Quanto ––Cliquets • Cross currency • Spread ––Napoleon • NDS (non deliverable swap) • Vanilla/amortizing MTM xccy (cross currency basis swap) Option Styles FX Volatility Derivatives • American • Bermudan • Variance swap • European ––Conditional variance swap ––Corridor variance swap ––Capped/floored variance swap • Volatility swap • Variance option

Analytics Suite Instrument Coverage Equity

Equity Derivatives Convertible Bonds • Forwards and futures • Coupon step-up/down/rollercoaster • Swaps, swaptions • Amortizing/accreting • Employee Stock Option (ESO) • Implied spread/volatility • Warrants – various structures • Total return swaps Equity Volatility Derivatives • Variance swap Options - Exotic and Vanilla ––Conditional • Asian • Barriers: ––Corridor • Average strike ––Single & double ––Capped/floored • Double average • Binary: • Volatility swap • Forward start ––Single barrier • Variance option • Chooser ––Digital • Compound ––Binary spread • Lookback • Multi-asset: Option Styles • Power & quotient ––Baskets • American • Quanto ––Cliquets • Bermudan • Spread ––Napoleon • European

Inflation

Fixed Rate Bonds (Inflation Indexed) Swaps • Coupon Step-up/down/rollercoaster • Zero coupon • Amortizing/accreting • YoY (year-on-year) • Yield vs discount factor approaches supported • 11 countries supported in jurisdictional specific bonds

Analytics Suite Instrument Coverage Commodity

Commodity Derivatives Commodity Volatility Derivatives • Forwards and futures • Variance swap • Options on commodity futures ––Conditional • Swaps, swaptions ––Corridor ––Vanilla and user-defined parameters ––Capped/floored • Volatility swap • Variance option Options - Exotic and Vanilla • Asian • Barriers: • Average strike ––Single & double Option Styles • Double average • Binary: • American • Forward start ––Single barrier • Bermudan • Chooser ––Digital • European • Compound ––Binary spread • Lookback • Multi-asset: • Power & quotient ––Baskets • Quanto ––Cliquets • Spread ––Napoleon

Analytics Suite Instrument Coverage Vancouver About FINCAD New York FINCAD is the leading provider of enterprise portfolio and risk analytics for multi-asset London derivatives and fixed income. An industry standard since 1990, our advanced analytics, flexible Dublin architecture and patented technology enable better investment and risk management decisions. We are committed to helping our clients solve their toughest challenges, without compromise. Clients include leading global asset managers, hedge funds, insurance companies, pension fincad.com funds, banks and auditors. To learn more about FINCAD’s award-winning solutions, please visit fincad.com.

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