First Swedish National Pension Fund: Optimizing Valuation and Risk Technology with FINCAD
Business Objectives
Obtain powerful analytics and advanced functionality for generating bond pricing and yield calculations on pension funds
Requirements
Analytics library for rapid and accurate bond and yield calculations
Comprehensive documentation and robust development toolkit to help developers build application
"FINCAD’s powerful analytics help us improve the speed and accuracy of our calculations."
- Angelica Diehn, Fixed Income and FX Analyst, First Swedish National Pension Fund
Background
The First Swedish National Pension Fund is one of five buffer funds in the Swedish national income pension system. The fund has assets under management of approximately SEK 300 billion in a global portfolio consisting of equities, fixed income securities, real estate, private equity funds and hedge funds.
Challenge
The fund’s fixed income and FX portfolio is managed with an internally-built application that integrates several different vendor systems for performing portfolio analysis, including curve-building, attribution and hedging.
When developing the application, the firm identified the need to add an analytics library to assist with bond and cash flow calculations. They required a solution that would integrate with their existing application and provide developers with thorough documentation and intuitive tools for speeding the process of adding analytics.
Solution
The fixed income and FX team selected FINCAD’s software development kit for integrating FINCAD valuation and risk capabilities into existing systems. FINCAD satisfied all the fund’s requirements for a seamless integration with their current application, thorough documentation, and intuitive developer tools.
Results
The team has embedded FINCAD analytics into their application and is using it for accurate bond pricing and analytics including price-to-key and yield-to-key. The fund also does cash flow structuring using calculations generated by FINCAD. Analysts rely on FINCAD analytics when deciding which bond positions to take and also for performance attribution. Results have included:
Time Savings: FINCAD’s pre-built market conventions help the team’s analysts confirm settlement dates and holidays, saving significant time by eliminating the need for staff to review dates and back-date manually.
Improved Investment Decisions: The fund finds the FINCAD solution to be reliable, as well as fast and accurate – ultimately driving investment decisions that deliver higher returns.
Accelerated Development: FINCAD’s comprehensive technical documentation helps guide the fund’s developers in accelerating adding new functionality to their application as their needs grow and change.
