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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

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