Federal Finance.

LexiFi covers all of Federal Finance Gestion risk management and valuation needs for the asset management and insurance structured investments activities

Around 2017, Federal Finance Gestion was looking for an integrated solution to support the growth of its structured investment products and structured funds activity. The main challenge was the difficulty to achieve a holistic risk management view for both the asset management and insurance branches. The objective was to find a solution allowing to automate, centralize and audit: reporting, valuation, and risk management.

In the summer of 2017, Federal Finance Gestion has quickly adopted LexiFi Apropos. Federal Finance Gestion first steps with LexiFi were to centralize quantitative computations for both the asset management and insurance branches with automated valuation, risk management and reporting generation.

Today, Federal Finance Gestion frequently uses LexiFi, and not only for the structured products. The sofware allows to:

  • Easily manage all market data both quoted and unquoted
  • Automate Lifecycle management
  • Calculating valuations, Greeks, stress tests, and Value at Risk
  • Automate reporting
  • Efficiently coordinate with the middle office for different validation processes
  • Produce regulatory reportings (VaR, MMF, AIFM, ICAAP, SCR, etc.)
  • Use LexiFi as a central tool for funds’ statistical analysis, i.e. calculation of Tracking Error, Alpha Beta, Max Drawdown etc.
  • Audit pricing results for both internal and regulatory needs

"LexiFi Apropos allowed us to reduce manual tasks on risk report production by 80%, the more we use the solution, the better we become at identifying automation opportunities."
Erwan Collec, Risk Specialist at Federal Finance Gestion

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Automation Milestones

LexiFi Apropos significantly increased the productivity at Federal Finance Gestion who counts among the most active clients in task automation. LexiFi users’ automation had a positive ripple effect on all the teams involved in the structured investment activity at Federal Finance Gestion.
Many tasks and reports were successfully automated with the help of LexiFi’s technical teams who carefully listened to Federal Finance Gestion’s needs and provided the guidance, developments, and support.

Some examples of the automated tasks include:

  • Automatic import of all contracts: all kind of bonds, futures, options, equities directly from data providers with automatic creation of new contracts, new underlying and new parties
  • All kinds of swaps, money-market papers and loans were directly fetched from internal sources
  • Automatic management of market data and synchronization with the depositary so that all the process was held in one click
  • Automated calculation of liquidity risk in LexiFi

Complying with regulatory requirements

The AMF daily Value at Risk requirement:
AMF requires daily calculation of Value at Risk (VaR) and Expected Shortfall for a specific category of Federal Finance Gestion funds. LexiFi Apropos allows to:

  • Easily select VaR parameters
  • Compute Historical or Monte Carlo VaR
  • Include all major asset classes
  • Automate and schedule calculations
  • Get the Expected shortfall within the VaR results and does not require any extra step
  • Get many extra results such as P&L explanation, graphical result views, Marginal VaR, Incremental VaR etc.
  • Save time thanks to the speed of calculations

The Money Market Fund Reporting (MMFR):
The MMF reporting, also known as MMFR is another AMF requirement that Federal Finance Gestion answers with LexiFi thanks to:

  1. The completeness of LexiFi stress testing tools
  2. The flexibility to create any scenario: all scenarios are founded upon “bricks”. These bricks help to create and regroup different shocks intuitively, within one scenario.
  3. The ease of integration of stress test results within custom reporting views: LexiFi reporting tool allows to produce reports and views with any quantitative or qualitative data with LexiFi Apropos.

"In 2020, despite the conditions under the COVID lockdown, LexiFi technical teams helped us -with a high level of proficiency and accuracy- to integrate the MMF reporting regulation."
Erwan Collec, Risk Specialist at Federal Finance Gestion

Insurance Regulations:
LexiFi Apropos also helps answering regulatory requirements for the insurance branch including:
  • The European Insurance and Occupational Pensions Authority (EIOPA) regulation involves studying how the company’s SCR could change in relation to different market shocks
  • The Internal Capital Adequacy Assessment Process (ICAAP) regulation requires stress test for sovereign issuers
  • The Own Risk and Solvency Assessment (ORSA) calculations involves computing a forward-looking view of capital and solvency

    For these regulatory requirements, Federal Finance Gestion users are well equipped to produce accurate results with a high level of automation. LexiFi Apropos provides all the tools necessary to build the reports:

    • Tools to construct stress test tables
    • The possibility to create specific pricing tags per product type
    • The ease of market data integration and connectivity to market data sources
    • The flexibility to build stress scenarios
    • Reporting views to model the process over time and display results in the right format
    • The exportability of results to spreadsheets

    Name: Federal Finance Gestion
    Industry: asset management
    AUM: EUR 42 Billion as of June 2022
    Website: https://www.federal-finance-gestion.fr/

    Federal Finance Gestion is an asset management company approved by the Autorité des Marchés Financiers (AMF). With over €40 billion in assets under management in 2020, it is one of France’s largest asset management companies. Federal Finance Gestion offers a wide range of mutual funds, discretionary management services and corporate savings funds to satisfy individual, institutional and corporate clients. Its offerings are distributed through the Crédit Mutuel Arkéa networks and directly to institutions, private banks, fund managers and independent asset management advisors. Federal Finance Gestion is an entity of Arkea Investment Services, the asset management and private banking specialists of Crédit Mutuel Arkéa.