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,
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