Integrated currency derivatives platform for trading and portfolio risk management implemented in only 10 weeks
New York, May 25, 2001 - DerivaTech, the specialist provider of advanced currency derivatives pricing, analytics and risk management component applications, announced today that Westpac Banking Corporation is successfully running live on its integrated global solution, having implemented it in a record 10 weeks.
The solution supports the bank’s traders, salespeople, and risk managers in Sydney, Wellington, New York, and London. DerivaTech’s pricing component, OTC and portfolio risk management component, DTRisk integrate with Westpac’s in-house processing system, Exotica to deliver an optimized framework for maximum efficiencies of straight-through processing.
Trades priced in OTC are captured into the Exotica back office from where DTRisk pulls transaction data for the purpose of portfolio risk reporting and valuation. DerivaTech manages volatility data interpolations/extrapolations for pricing and risk management using a complete volatility surface, ensuring consistency in valuation across the organization.
"As the leading international bank for AUD and NZD and the largest player in this niche, we deal in the full range of exotics and complex structures," said Westpac’s Global Head of Currency Derivatives, Robert Angus.
"Due to our operational requirements, it was imperative to partner with a company that could meet our high standards. DerivaTech was the only vendor that could handle Westpac’s complex needs for front office and risk management. Furthermore, we received feedback from Merrill Lynch, who had worked closely on its development and had been using it in production for close to a year without any issues," Mr Angus said.
"The decision to buy rather than build was made easy by the coverage of the DerivaTech solution. The user interface is highly trader-oriented and flexible; the drill-down is very thorough, providing precision and accuracy in managing the book. Additionally, DerivaTech’s Model Development Tool Kit allows us to manage the risk of our proprietary structures with the rest of the portfolio," he said.
Senior Quantitative Analyst at Westpac, Dr. Maciek Blasikiewicz, who was involved in the implementation, said the bank has also derived significant advantages on the technology front.
"The plug-in design of DerivaTech’s solution means that it fits into Westpac’s wider infrastructure. The single database of the implemented solution eliminated integration issues such as reconciliation and duplication. For Westpac, it boiled down to cost-effective and rapid deployment. It all integrates well with our proprietary structure, data model and business rules," said Dr. Blasikiewicz.
"DerivaTech’s architecture has demonstrated to be truly scalable and extensible by the manner it has been rolled out globally and customized to meet the demands of a very sophisticated proprietary trading operation. This was a remarkable project in that it was done completely remotely. The only ‘house call’ made by DerivaTech was to train the users.
To top it all, the deployment was completed inside of 10 weeks, from contract signature to going live," said Greg Staky, director of development of DerivaTech.
About Westpac Banking Corporation
Westpac began trading on 8 April, 1817 as the Bank of New South Wales with a single office in Macquarie Place, Sydney, in the then British colony of New South Wales. We have branches and affiliates throughout the Pacific region and maintain offices in key financial centres around the world.
The Westpac Group employs approximately 30,000 people in Australia and around the world. As at 31 March 2001, Westpac Banking Corporation had global assets of $185 billion. Westpac is ranked in the top 10 listed companies by market capitalisation on the Australian Stock Exchange Limited (ASX).
For the full year to 30 September 2000, the Westpac Group's operating profit after income tax and abnormals was $1,715 million, an increase of 17.8% over the previous year. About 220,000 people and institutions in Australia and overseas are shareholders in Westpac. Westpac concentrates its activities in Australia, New Zealand and the Pacific Islands. Westpac merged with Challenge Bank in Western Australia in 1995, Trust Bank New Zealand in 1996, and Bank of Melbourne in Victoria in 1997.
Founded in 1996, DerivaTech is a specialist provider of best-of-breed, components-based front end applications for currency derivatives. The company has gained an enviable market reputation for raising the standards of accuracy and consistency in both the pricing and portfolio risk management of vanilla and exotic option structures. DerivaTech’s innovative volatility surface modeling is widely accepted as being the most precise and comprehensive methodology available today. User organizations have measured significant gains in profitability as a result of applying it. The DerivaTech complementary components are rapidly and reliably implemented within a bank’s existing infrastructure to deliver straight through processing. Moreover, DerivaTech’s use of leading edge, scalable and extensible technology offers users a successful path to extend derivatives trading from the Enterprise to the Internet.