Clearing & Accounting of Treasury Transactions
Main Features
Transactions and Positions Management
- Capture block and allocated trades through direct links to trading venues, CCPs and GCMs
- Management of contract characteristics
- Support all asset classes as well as structured products and complex trading strategies
- Trades notifications, import and validation
- Trade confirmation and allocation to multiple accounts with user defined rules
- Portfolios’ transactions netting
- Exercise/Assign of contracts and generation of any underlying transaction
- Position closing and generation of cash movements
Transactions Clearing
- Transactions settlement based on several methodologies (daily settlement, FiFo, LiFo, specified matching)
- Netting of transactions settlement and cash flows generator
- Life-cycle events for OTC derivatives
- Reconciliation of OTC transactions (reference data, valuations) with third party systems or external sources
- Full replication of margin algorithms (SPAN, PRISMA) for all standardized OTC and plain-vanilla derivatives which are cleared in Central Clearing Counterparties (CCPs)
- Risk calculations on portfolios of non-centrally cleared derivatives (ISDA guidelines: Standard Initial Margin Model for Non-Cleared Derivatives)
- Independent pricing and build-in valuation models allowing for daily mark-to-model valuation
- SWIFT messages with schedule of transactions for full control, audit and validation of each process
Portfolio Accounting
- Realized/Unrealized PnL calculation based on several methodologies
- Transaction cost analysis
- Mark-to-Market/Model valuation based on theoretical pricing models (i.e. NPV for interest rate products and option pricing models)
- Transaction cash flow projections
- Calculation of transaction fees and other expenses based on user defined analytical fee schemes
- Interfaces with data vendors for uploading daily and historical closing prices
- Accounting entries generation and interface with core banking systems (General Ledger)