Clearing & Accounting of Treasury Transactions

Throughout the broad range of instruments handled by the system, matching, confirmation, settlement and cash flows generation may be achieved without human involvement. Events such as exercise decisions, resets, corporate actions and calculated cash and physical settlement are supported. This generates a Straight-Through-Processing environment which implies that users must only focus on warnings messaging and exception handling. An integrated solution to cover all cleared and non-cleared OTC derivatives defined under the new regulation of EMIR.

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)