STP Practice: Derivatives Processing

We have extensive domain expertise in the area of derivatives processing, particularly OTC derivatives. This includes hands-on, operational knowledge of the business processes and technical complexities of managing derivatives trades through-out their lifecycle, including electronic confirmation via Deriv/SERV and SwapsWire.

If you are struggling to implement derivatives within your organisation then we have the know-how and experience to help you get it right.

Notable Projects:

  • Detailed analysis of business requirements for the capture & processing OTC derivatives. This led to further engagements to specify, design and build tactical solutions to:
    • Capture and track OTC derivative trades [IRS, CDS, Inflation Swaps]
    • Mark-to-market and value OTC derivative positions
    • Load synthesized derivative positions/valuations into a portfolio accounting system for daily NAV calculations
    • Calculate and track daily margin & collateral calls for exchange traded derivatives
    • Track post-trade events, such as: rate resets, novations, unwinds, step-ups & defaultss.
  • Analysis of data requirements for OTC derivative trade capture, and the specification of a solution to retrieve such data from Bloomberg’s order management system (POMS).
  • Detailed analysis and delivery of functional requirements and high-level design for trade confirmation and settlement of OTC derivative trades via DTCC’s Deriv/SERV.