News from 2012

Cross Currency Swaps & Basis Risk enhancement

Verasis Risk 3.3 has been enhanced to provide the following additional functionality:

  • Definition and generation of cross currency basis curves
  • Use of cross currency basis curves in valuation processes
  • Allow users to allocate yield curves to specific trades for the purposes of valuation and analysis
  • Users can allocate independent curves for both the Forward Rate implication and the Discounting processes
REPO Collateral Allocation goes live

The Verasis REPO application has been built to overlay the Misys OPICS Deposits & Loans system to allow the following:

  • Full and flexible collateral substitution to REPO collateral accounts
  • Automated confirmation generation
  • Collateral position analysis
  • The allocation of REPO Collateral (by security) will be at the ‘nominal value’
  • The allocation of REPO Cash will be based on a weighted average function calculated from the ‘discounted value’ of the bonds
Collateral module completed

The Collateral module has been completed and is in beta test with the following functionality:

  • Defining collateral counterparties subject to collateral agreements, along with the critical terms of the agreement (e.g. Spot FX inclusion, collateral currency, etc.)
  • A decomposition function, allowing the isolation of the impact of P&L movement between interest rate movement, FX rate movement, matured trades and new trades
  • Stress testing function to provide details of impact of stress and VaR tests on collateral position
  • Maturity ladder function displaying profile of collateral positions
  • Collateral Trade File generation and transmission

 

If you would like more general information on Veratec or Verasis, please contact us on +44 (0)20 7375 1000, or email us at info@verasis.com.

Veratec Ltd does NOT claim any ownership of FRONT ARENA. FRONT ARENA is the property of the SunGard Data Systems Inc group of companies. Veratec Ltd is not linked to or endorsed by SunGard Data Systems Inc. Nothing on this website shall grant or purports to grant any rights in or licences to use FRONT ARENA.

Veratec Ltd does NOT claim any ownership of OPICS. OPICS is the property of members of the Misys plc group of companies. Veratec Ltd is not linked to or endorsed by Misys plc. Nothing on this website shall grant or purports to grant any rights in or licences to use OPICS.

Veratec Ltd does NOT claim any ownership of TEMENOS T24. TEMENOS T24 is the property of members of the TEMENOS group of companies. Veratec Ltd is not linked to or endorsed by TEMENOS. Nothing on this website shall grant or purports to grant any rights in or licences to use TEMENOS T24.