PYRAMID – Proven Trading and Risk Management Software

PYRAMID is a comprehensive,  cross-asset trading, processing, and portfolio risk management solution.  Top tier banks, broker dealers, insurance companies, advisory, and audit firms rely on PYRAMID,  for  derivative and foreign exchange trading and valuations, independent portfolio risk analytics, complete front-to-back processing, and hedge accounting management.  PYRAMID can be used as the central trading, valuation, and data repository for all of the derivative and securities in its product coverage portfolio, but is uniquely flexible to allow it to complement and integrate with other specialized systems you may already use.

 

Intuitive and Highly Customizable Deal Entry Screens

Users prefer the look and feel of data entry screens in PYRAMID. Each window is designed to capture all the relevant information in uniquely easy-to-scan screens with user defined templates by type of transaction or deal structure. 

 

Powerful and Flexible Curve Building Process

PYRAMID supports real-time, multi-currency valuation curves including support for cross-currency basis and OIS dual curve stripping. PYRAMID offers complete user flexibility in the construction and development of valuation and discount curves and volatility surfaces. The proprietary Curve Builder, included in PYRAMID, allows the user to define exactly how valuation curves should be constructed using standard market methodologies or user-defined customization.

The Curve Builder includes templates to allow users to save curve definitions and define dependent curves such as CP, Fed Funds, Prime, Libor, and OIS basis curves; 2) allows the user to select from a variety of interpolation and bootstrapping methodologies; and 3) provides full support for swaption volatility cube management including Relative, Absolute Strike, and SABR parameterization. Users can add convexity adjustments and volatility skews within curve templates with real-time control.  Cap Volatility Surfaces can be easily defined to allow for accurate smile pricing of in- or out-of-the-money Cap products.

Valuation models can be easily controlled using parallel or key rate shifts of zero curves, forward curves or market data.

 

Real-Time Market Data, Risk Analytics, P&L Tracking

PYRAMID provides comprehensive real-time updating of individual trade and portfolio valuations with user defined recalculation frequency intervals. PYRAMID’s proprietary Rate Master interface allows real-time market data capture from independent market data providers. Users can view and report, in real-time, deal level or portfolio level analytics such as interest rate or volatility sensitivities, PV01, DV0X, MTM, Delta, Gamma, and hedging relationships. 

 

Management Control and Middle Office Transaction Reconciliation

An integrated approach to the risk management process is used by providing consistent firm-wide reports on risk limits and trade permissions across a variety of analytical and portfolio criteria. Extensive drill-down capability within PYRAMID provides the ability to manage and report by trader, branch, profit center, country, maturity, legal entity and much more. The Transaction Reconciliation module provides the middle office risk management function or the outside auditor with powerful tools for transaction reconciliation of derivative positions based on a wide range of user-defined criteria.

 

Complete Back-Office Trade Processing

PYRAMID gives the back-office unique control of rate resets and payment processing. Users can automatically set floating rate portfolios on a daily basis from automated market data feeds. PYRAMID tracks missing rate settings and notifies the back-office as to exactly which rate fixings are required by reference index or by trade. In addition, PYRAMID generates daily upcoming activity reports of client communications or settlement activities.

PYRAMID generates confirmations and trade related MTM, rate resets, and payment statements on either a manual or automated batch basis. Client communications can be automatically delivered via email to both primary and interested parties through easy-to-define customer contact relationships.

Confirmations can be created and edited in Microsoft Word format and saved as ISDA standard templates by type of transaction.  PYRAMID allows users to track the status of confirmations with status updates and audit tracking of approvals.

 

Portfolio Management and Analytics

Corporate treasuries and middle office risk management professionals are faced with the difficult task of balancing the complexity of derivative products with regulatory requirements. PYRAMID provides the right mix of management control, operational processing capability, and technological sophistication to accomplish this balancing successfully.  An integrated approach to the risk management process is used by providing consistent firm-wide reports on risk limits and trade permissions across a variety of analytical and portfolio criteria. Extensive drill-down capability within PYRAMID provides the ability to manage and report by trader, branch, profit-center, country, maturity, legal entity and much more.  Portfolio views can be configured easily with user-defined templates and grouping functionality.

OLAP functionality: flexible user-defined “pivot table” reports. Expand, collapse, sort, and subtotal your portfolios on any number of user-defined criteria. Run daily risk analysis, “what if” scenario analysis, and VaR analytics using user-defined curve shift and volatility assumptions.

 

Hedge Accounting

PYRAMID offers a robust scalable application for ASC815 and IRFS9 analytical and reporting requirements. The Hedge Accounting module is designed to provide users with maximum flexibility when defining testing policies, running analytical assessment and measurement testing, and reviewing and reporting test results.

With PYRAMID’s Hedge Accounting module, you can automate all aspects of hedge accounting, from uploading hedged items and hedges into the application, to reporting measurement results out to your accounting systems.

PYRAMID provides full support for one-to-one, one-to-many, and many-to-many hedge relationships, as well as granular support for fractional percentage hedge relationships.  Forecasted cashflow purchased can be allocated based on par or DV01 allocations.  Value-at-Risk analysis can be incorporated with PYRAMID’s existing risk analytical processing capabilities. The results can be included with PYRAMID’s regression results.

 

Innovative Technology

PYRAMID features an advanced analytical and deal modeling framework built on a highly flexible .Net technology with an open readable database format. The PYRAMID platform adapts to existing technology infrastructure and smoothly integrates with legacy systems in a virtualized environment, e.g. private or public cloud.

 

Customization

At Ferential, we realize that your business has unique features that give you a competitive advantage in the marketplace. Our financial software engineers are always available to help adapt PYRAMID to better suit your business requirements.

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