What are vendors offering?
(Comparative table)

To some extent, the methodologies used by companies are a reflection of what software vendors currently offer their customers. For the most part, dollar offset is the standard.

Only a handful of vendors report offering more advanced effectiveness tests.

The table below summarizes what some different software vendors say their systems can do for effectiveness analysis. It is based on the responses to our FAS133.com Show-Me survey and Addendum section.

Vendor/Product	Does the System support actual and prospective testing?	What methodologies are supported?
Alterna Technologies Group Inc. Auros	Yes	Dollar offset/ratio for both prospective and actual effectives. Additional effectiveness testing methods are being added. The sequence of implementing additional calculation methods is determined along with our customers.
Selkirk Financial Technologies, Inc. Treasury Manager™	Yes	Dollar offset/ratio for both prospective and actual. Additional methods are available with results calculated externally.
FXpress Corp. FXpress™	Yes	Dollar offset/ratio for both prospective and actual (cumulative or period by period). Projected rate scenarios can be saved and used for prospective effectiveness testing. Additional statistical methods for prospective effectiveness will be supported in a future update
INNSINC Futrak 2000	Yes	Dollar offset/ratio for both. (Futrak® 2000 uses the Change in Variable Cash Flow Method (see Method 1 - Statement 133 Implementation Issue No. G7)
SunGard Treasury Systems GTM	Yes	At present, users have the choice of six different methodologies. The first two are periodic and cumulative dollar offset. The other four are proprietary and meant to address the shortcomings of dollar offset.
Integrity Treasury Solutions integra-T	Yes	Index correlation and regression: verifying that coefficient of correlation is greater than 0.9 or a user specified value and/or verifying that the R-square of a linear regression is greater than 0.8 or user specified value. Ratio Test: verifying that the gain/loss on derivative and the hedged risk are offsetting and the ratio of their magnitudes are within the 80-125% range or other user specified range. Short Cut Method: Validation of terms prescribed by the standard. Critical Terms Matching: Validation of terms that verify an assumption of "No Ineffectiveness" for hedges that don't qualify for the Shortcut Method (e.g. FX hedges)
Open Link Financial Endur/Findur	Yes	Endur and Findur are fully integrated trading and risk management systems. Accordingly, we support rolling VaR (monte carlo and/or parametric), Duration, Simulation and Scenario Shock (what-if), Delta Value, etc. for the calculation oustomize effectiveness calculations. All necessary data is stored in the database and can be used with the FAS Analyzer to determine effectiveness
FinancialCAD® Corporation The Perfect Hedge (formerly fincad.com)	Yes	Prospective method supported is a variance reduction method. Retrospective method supported is dollar offset/ratio.
SunGard Treasury Systems Quantum	Yes	The System supports dollar offset and regression.
SAP CFM	Only actual (no prospective).	Dollar offset/raio, based on spot values, cash flow differences forward, cash flow differences forward discounted/ all either using clean values (i.e. taking interest accruals into account) or not, FX option intrinsic value based on spot rates, option intrinsic value based on forward rates, option intrinsic value based on forward discounted rates, present value (clean price or nonclean), benchmark (again, clean or not).
Principia Partners Principia Analytic Systems (PAS)	Yes	Method is dependent on the needs of the client; the system can handle a wide variety of methods including retrospective hedge analysis, dollar offset, etc.
XRT Treasury Workstation (TWS) and Globe$	Yes	Dollar offset/ratio for both. (System supports ability select effectiveness testing and valuation using spot-spot or forward-forward methods.)
Trema Treasury Management Finance Kit	Yes	Dollar offset. Or, for prospective effectiveness, the system can run reports to show that the critical terms match (for relevant cases, e.g. FX risk hedge with forward), or we can take a hedge relationship and run it through simulation. For example, for a FX risk hedge, we can simulate the effect of FX rate change +/-5% (or any user-defined range) and the system returns the calculated values for both the hedge and the hedged item at selected intervals (...-1%, -0.5%, +0.5%, +1%...), allowing us to prove that the values will offset each other. Similarly, we can simulate the effect of e.g. Libor change on the future values of IRS hedge and hedged debt instrument.
Reval.com	Yes	Dollar offset method, on the basis of: Spot, Forward, Intrinsic Value, Minimum Value and Full Fair Market Value Method. Can support effectiveness testing using user defined and performed regression methodologies.
Wall Street Systems Wall Street Systems®	Yes	The dollar offset method for prospective and actual effectives. For prospective, the application calculates the present value (PV) of all future cash flows as well as maintains the historical change in actual values. For retrospective assessment, the user has the chose to elect to compare the actual change in values, actual change in floating leg cash flow values, and even the actual change in the fixed leg cash flows. For prospective assessment the application uses the PV of the future cash flows.