Derivatives Transaction Reconciliation

 DERIVATIVES PORTFOLIO RECONCILIATION

 Ferential’s PYRAMID System offers a comprehensive solution for management oversight and independent analysis of derivative portfolios.  The Derivatives Reconciliation Module provides powerful tools for transaction reconciliation of derivative positions based on a wide range of user-defined criteria.

 

Reconcile Derivative Transactions With Portfolio Management Analytics

-- At Deal-level or Leg-level: NPV, MTM, Accrued, PV01, DV0X, Rate Buckets, Greeks

-- At Deal, Leg, or Cash Flow: Notionals, Index Resets, Payments, Fixing Days, Holidays

-- Booking Data Accuracy: Entities, Portfolios, Accounts, Dealers, CSA Collateral Terms

-- Multi-date Valuation Comparisons, “What If” Shift Analytics for Market Data, Curves

-- Drill down Curve Comparisons and Charting Capabilities

-- Reconciliation filters allow users to define the sensitivity level of discrepancy tracking

 

Tools To Manage Workflow Processing Tasks

-- Track and reconcile in real time valuation or payment discrepancies  

-- Detect differences between confrmation vs. system trade caused by data input errors

-- Monitor transaction amendment booking activity

-- Track status of unsigned confirmations or amendments

-- Independently validate front office “booked” deal parameters  

 

Independent Reconciliation of Valuation Curves

-- Reconcile internal curve sets VS.  PYRAMID generated curves, or third-party data

-- Data interface allows easy upload of market data or curves from other valuation systems 

-- Identify valuation discrepancies arising from curve construction or market data input issues

 

Comprehensive Reconciliation Reporting

-- Error log provides audit trail of identified and corrected trade items  

-- Track source of trade discrepancies by user and system

-- Analyze data at a portfolio level or drill down to individual transaction legs

-- View portfolio, trade or leg level discrepancies by many search criteria

Product and service specifications
Database
• MS SQL Server
Language used
• C
• C#
• C++
• Visual Basic
Operating system
• N/A
Pricing structure
• N/A
User interface
• N/A
Tags:
Derivatives Portfolio Reconciliation, PYRAMID, Ferential Systems, Derivatives System, Front Office, Middle Office, Risk Management, FAS133, Hedge