Features – Treasury / Corporate / Cash Management

The Pricing module allows to calculate the theoretical price, yield to maturity and the sensibility coefficients (Delta, Theta, Gamma, Vega) on the following instrument:

• Standard exchange options, digital and barrier
• Caps – Floors, Swaptions, FRA
• Options T-Bonds, commercial papers, shares and futures contracts
•  Swaps
•  Bonds
• Debt Instruments

This module presents the following functionality:

• Automatic capture of  net present value rate curves
• Historisation of the evaluation sheets
• Multi dimensional volatities structures
• Simulation on all the characteristics : volatility, rate curves, maturities….
•  Graphical representation of the results
•  Market data recovery in real time by means of a dynamic link a data source
• The market data concerned with this real time feed are the rates, rate structures, volatilities…
• In this context all the open screens on the user post are refreshed in real time by the market data.

Hedging management module covers the flollowing features:

• Risk types: rate / currency / credit management
• Management intention through the portfolios
• Hedging relationships 1/1, 1/N, etc.
• Prospective and retrospective efficiency Tests
• Justification reporting
• Effective and ineffective components archiving
• Efficiency and inefficiency CRI generation
• Double GAAP and IFRS accounting

The “Limits” module allows the definition of constraints for different types of risk, conterpart risk, country risk, credit risk, ratio compliance… The flexibility of the configuration allows to structure the problematic in a personal and evolutive approach:

• Calculate the lines from the nominal quantities, real value …
• Exchange value of the outstanding in a single currency
• Introduction of customisable filters applicable for example on the internal deals
• Aggregation by third party, group, country, or any other hierarchical structure
• Presentation by instrument, Balance Sheet/ Off balance sheet categories, maturity…
• Multi criteria ponderation : market, duration, rating…

The “Market Risks / Valuation” module encompasses the mark to market valuation of instruments and the production of sensitivity indicators: greek coefficients, duration, sensitivity, convexity…

Valuation

The valuation has been conceived with an opening concern:

• Multi-criteria valorisation scenario definition which associates in a customisable way the valorisation methods, rate structures…
• Many possible methods: Zero coupon,  estimated flow, replacement, obligatory…
• All level calculation, elementary flows, deal, folder, portfolio…
• Importation and automatic conversion of rate curves
•  Multi dimensional volatility structures
•  Maturity and customisable interpolation methods
• Convexity bias taken into account
• Multi-criteria spread structures take in to account…

Risk matrices

The risk matrices are produced by deforming a criteria (rate, volatility, time) according to a customisable quantity. The software produces:

• Delta-Gamma matrices , by modifying the curve rates maturity by maturity,
•  Theta matrices,
• Vega matrices by modifying the volatility surfaces point by point.

Collateralization is integrated into the system through the preset framework contracts that contain the collateral remuneration terms, trigger points, etc.. These contracts associated with the trades and when the point is reached, the system generates automatically the collateral flow.

The margin calls calculation can also be based on external valuations.

• Arpson system allows the translation of all deals flow in  multi-currency cash flow archiving and maintained in a database called “Cash,”
• It is possible to extract and customize from of this database the usual cash reporting, but also export files to feed the central site,
• Finally, the system offers the ability to automatically import multi-currency cash flow.

• Multi-Currency,
• Defined rate, period rate, maturity date,
• With or without interest capitalization,
• Nominal Prepayments with interest recalculation, drawdown by amount, nominal repayment by defined increments,
• Upon entering the credit line drawings, a check is made on the agreement dates and the available amounts available,
• Commitment and  for non-use fees management.

• Transfers from one account to another,
• Balancing transfers,
•  Interest scales calculation,
• Draft budget.

The “Budget” module manages the relationship between the draft budgets (currency or commodities) and their hedging:

• Budgets intégration des budgets,
• Budgets monitoring,
• Fx deals connected,
• Hedging allocation,
• Hedging monitoring,
• Deals settlement.

The event management is impossible to avoid in a Back Office environment. It includes an ensemble of functionnalities in an automatic way:

• Cash Flow processing:  repayment, dividends, coupons, interest payments…
•  The monthly stoppage treatment: rediscount, re-evaluation, linear and actuarial spreads of overvalue/ depreciation…
• Margin call treatments, charges aggregation…
• Liquidation treatment : liquidation results and administrative positions updates on  the fungible instruments : securities,  terminal market
• All these treatments apply to all the market classes treated in Arpson. Once the treatments are carried out, it is possible to produce protected CRE files.

• The Arpson system allows the translation of all the Back Office events (cash flows, rediscounts…) into accounting entries, which are stored and maintained in a database called « Auxiliary accounting»
• It is possible to extract from this base the usual accounting reports (balance, extracts, balance proofs …), but also the export files likely to feed the Central Site. Moreover, if the movements were already interfaced, the cancellation of a deal automatically generates write back movements.

• The production of  files for payment – delivery systems is completely customisable under various formats, in particular the Swift format.
• Setting settlement instructions of a third party based on several set criteria:
• third party,
• properties (broker, counterparty),
• transfer type (cash, material, currency, product type),
• Platform: SWIFT, CEDEL, RGV, validity date…
• Allocating automatically the settlement instructions to a deal based on the above parameters, since they have not already been provided by the Front Office, and generating an exception if the settlement instructions could not be determined,
• Setting message content itself depending on the platform,
• Managing automatically or manually mail depending on the Workflow,
• Managing technical platforms acknowledgments (RGV, CEDEL …)
• Publishing management reporting to monitor the R / L by circuit, third party, currency and not settled / delivered deals.

The software allows, via its report and interface modelling functions, totally customisable regulation restitutions like:

• Data files necessary for BAFI treatment
• Declaration of commercial paper issues
• Declaration of outstanding T-Bills
• Exchange deals declarations
• Payment Reports
•  The necessary data for an unique fiscal declaration