News

Regularly updated information on Verasis products and systems and related industry topics.

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
Stress Valuation completed

The Mark to Market module has been enhanced to provide the following:

  • Full valuation against stress market data scenarios
  • Impact analysis of the stress scenario
VAR – Basis Curves goes live in 3.1

Verasis Risk 3.1 has been enhanced to allow Basis Curves to be used in the calculation of Value at Risk (Historical Simulation methodology).

The VaR function will imply forward cash flow rates and amounts for floating cash flows using the basis curves.

Automated Archiving goes live in 3.1

The Automated Archiving and Recovery module has been completed and fully integrated into Verasis Risk 3.1

The Archiving functionality of the module allows users to perform both ad hoc and scheduled archiving of Trade/Cash Flow and Market data.

The Recovery functionality of the module allows users to recover archived Trade/Cash Flow and Market data.

The Liquidity module has been enhanced to meet the latest requirements of the FSA and ECB

The enhancements include the ability to define, run and analyse stress and shock scenarios across the following contributing elements:

  • Market pricing (interest rate, FX rate and volatility rate)
  • Product / franchise (market access and availability)
  • Customer / counterparty viability

The enhancement provides institutions with the ability to define scenarios at both granular and market wide levels and hence perform both systemic and idiosyncratic stress tests.

Corporate Deposits 2.3 goes live with additional functionality at Irish bank

Phase 2.3 of the Verasis Corporate Deposits application has gone live supporting over 11,000 accounts in the MISYS OPICS Call & Notice module at multiple sites in an Irish Bank.

The Verasis Corporate Deposits application provides an intuitive, fluid, and business process based Dash Board that overlays and utilises the standard Core functionality of the MISYS OPICS Call & Notice and Deposit & Loans modules.

Basis and Credit Spread in Yield Curves

Basis and Credit spread functionality has been developed and incorporated into the Yield Curve and Valuation activities of Verasis Risk.

  • Spread Curve Generation: Enhancement to existing Yield Curve functionality along with the ability to define Basis and Credit Spread curves.
  • Valuation and reporting using Basis Spread Curves: Enhancement of existing Verasis Risk functionality to incorporate Basis Curves into valuation routines and the development of additional Sensitivity Reports.
  • Valuation and reporting using Credit Spread Curves: Enhancement of existing Verasis Risk risk functionality to incorporate Government / Sovereign Curves into valuation routines and the development of additional Credit Risk Reports.
Credit Risk module completed

Phase 1 of the Verasis Risk Credit Risk module has been completed and is in beta test with the following functionality:

  • Nominal Credit Risk – Calculation of Credit Exposure based on receivable nominal and mark to market amounts. Includes a delta calculation for enhanced assessment of the credit risk in derivatives.
  • Credit Rating Spread Risk – based on the ability to perturb yield curves for credit rating spreads. Providing the risk manager with the ability to better identify exposure to credit classifications in portfolios.
  • Credit Stress / Sensitivity Testing – providing the user with the ability to stress test across two directions:
  • Stress testing of Credit Spreads by user designed basis point (BP) shift structures
  • Stress testing for Ratings downgrades and upgrades
Government Spread module completed

Verasis Risk has been enhanced as follows:

  • Government Spread is incorporated into the existing functionality (valuation of exposures to government/sovereign counterparties)
  • A Government Spread Risk module now allows users to calculate, report and stress test Government/Sovereign Risk

The Verasis Risk Yield Curve functionality has been enhanced to allow users to define curves that incorporate a Credit Spread over swap rates and that can be associated to government/sovereign counterparties.

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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.

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