Key Features
- Real-time credit exposure tracking and limit breach warning
- Fair value and market value analysis for all transactions
- Simulation analysis
- Stress testing, sensitivity and historical accuracy reporting
- Complete market data and pricing history
Market Valuations
The system provides comprehensive market pricing functionality through the integration of libraries from FinancialCAD, a leading supplier of risk management analysis tools. Transactions can be priced using system-calculated zero coupon curves, created from user-supplied deposit rates, futures prices and/or par swap rates. Option pricing and greeks are available for vanilla, knock-in, knock-out and double-barrier European or American options. Valuations can also be uploaded from spreadsheet and incorporated into the reporting throughout the system.
Simulations and Fair Value
All transaction types can be entered into the system in a draft state and a fair value calculated. All reporting can optionally include the draft or simulated transactions in order to assess their impact on the overall portfolio. Draft transactions can then be either deleted or simply converted it into a real transaction for subsequent processing.
Credit Exposure Monitoring
Users can create multiple credit exposure policies, each defining a particular type of exposure to track (e.g. investment credit risk, counterparty FX exposure). Within each policy, specific types of transactions can have rules associated to define the exposure amount and exposure amounts can be weighted over time. Limits can be defined on counterparties and groups of counterparties. Groupings can be used to monitor exposures to user-defined collections, such as geographic region or industry type.
Credit Limit Breaching
The system provides a number of configurations for handling limit breaches in order to fit with a client's business procedures. Counterparty selections can be filtered to only allow entities with sufficient availability to be selected on a deal. Alternatively, all counterparties can be selected but a warning would prompt the dealer in the event of any limit breaches. In additions to an immediate warning to the dealer, all limit breaches generate a real-time message that can be sent to subscribed users either via eTC's instant messaging service or via email.
Sensitivity Analysis
Unlimited sets of market data can be maintained within the system. Pricing can be calculated using any selected market data or zero coupon curves. Reporting can compare and contrast the impact of different market condition. The system can also analyse the impact of changes on an existing market condition by shifting curves or applying percentage adjustments.
Market Data and Pricing History
Interest rates, exchange rates, volatilities and yield curves are maintained within the system and can be uploaded from spreadsheet or XML to automatically import data from information services such as Reuters and Bloomberg. All market data and valuations are stored over time. It is possible to report a single transaction or a portfolio's pricing changes over time. Historical market data can be used in reporting for analysis over time or for benchmarks against portfolio performance.
