|
|
| |
| Treasury Management Suite |
|
| Integrated Treasury Management System (ITMS)
|
ITMS is a suite of end-to-end treasury and investment management solutions, covering the front, middle and back-office of a bank, primary dealer or corporate treasury. It supports a wide range of instruments including Fixed Income Securities, Money Markets, Foreign Exchange, Equities and also Derivatives like Futures, Forward Rate Agreements, Interest Rate Swaps and Currency Options. Integration is accomplished at many levels - across product desks, at the pre-trade analytics and dealing layer, at the limits and risk management layer, at the reporting and accounting layer as well as at the overall treasurer perspective. |
ITMS facilitates Straight Through Processing (STP) by supporting interfaces to a number of external systems surrounding the Treasury: among others, trading platforms and rate feeds, confirmation and payment messaging systems, trade finance applications, core banking and general ledger systems. |
The ITMS Front Office System is the on-line dealing and dealer support component of this suite. Besides deal capture, position tracking and limits minding, it includes extensive functionality in portfolio analytics and trading strategies across asset classes. It also supports a two-way real-time interface to VarXpress, Synergy Log-In's risk management product. |
The ITMS Back Office System provides extensive back-office features from confirmation matching and trade processing to settlements and accounting. It features multi-book accounting and internal trades across product desks. ITMS also supports interfaces to Synergy Log-In's reconciliation system Mirror ™ for both nostro and confirmation reconciliations. |
| The ITMS Middle Office System takes care of risk management through flexible limits definition, apart from providing features such as comprehensive portfolio analytics, online exceptions for notifiable/ratifiable exceptions, profit & loss and performance monitoring. It supports best practices on risk with benchmarks such as Basel Committee Recommendations. ITMS also supports interfaces to VARXPRESS ™, Synergy Log-In System's Risk Management System using the Value at Risk ™ approach. |
|
|
| Risk management system using Value at Risk™ approach |
In recent years the need to identify, assess and monitor all forms of risk (i.e. credit, operational, liquidity and market) has become increasingly important as financial products have become more diverse and complex. The focus of VARXPRESS is on market risk, which is the uncertainty of future earnings due to typical changes in market conditions. Specifically, the aim is to quantify the potential loss that a portfolio could incur over a specific holding period with a given likelihood of occurrence. This provides Treasury Management with a powerful tool in optimizing trading strategies and selecting the best risk/return profile. |
Value at Risk ™ (VaR), a probability based risk measure, relates the amount of loss to the probability of occurrence. It estimates statistically the market risk of a portfolio in terms of risk exposures (Spot Positions and PV01s), historical volatilities and correlation of rate changes between market risk benchmarks. VaR quantifies a portfolio's potential loss exposure due to adverse market movements, over a given risk horizon, with a predetermined degree of confidence. |
| Key Features |
| Just in Time rather than Just in Case |
Real-time access to accurate, updated market information in a flexible framework is critical to dealers today. VARXPRESS focuses on speedy delivery of risk information to the dealers, who can then use it to proactively manage the risks. This approach leads to flexible, user-definable report formats, real-time VaR calculations, ability to define and obtain the most critical and relevant pieces of risk information in time to take trading decisions, not at end of day or after the fact. We call it delivering the right risk information Just in Time rather than Just in Case. |
Our approach to risk management combines all the methodologies, technology and data required in one solution: risk managers at all levels of sophistication can receive precisely tailored, pre-defined, accurate and timely risk information on demand and in real-time or overnight and across the globe. |
VARXPRESS is an n-tier application with browser front-end, developed using server-side Java™ technologies. Its servlet-based business logic engine and XML interfaces are powerful features which allow it to interact in real-time with other key applications across the bank, like the Treasury and Asset Liability Management (ALM) applications. These applications can, using XML interfaces, enter into request-response type interactions directly with the VARXPRESS middle layer. |
| Other key features at a glance |
|
|
|
|
- Intra Day Deals: The effect of the day's deals on the overall portfolio VaR. Sensitivity analysis to compute VaR for a set of cashflows can be done intraday.
- Incremental VaR calculation intra-day in real time for pre-defined currency/product combinations, in addition to BOD VaR calculations.
- Facility to pre-define and store small chunks of VaR calculations as named 'requests', e.g., on specific Portfolio (BPS or Book-Portfolio-Strategy) levels: these may then be fired for quick intra-day checks which will be much faster than more complete VaR runs.
- Facility for Back Testing, i.e., Applying calculated VaR for prior periods against actual MTM returns during the same periods. This helps in choice of methodology and combinations where applicable, as well as in providing adequate capital charge.
- Facility for user-defined VaR computation methods for a currency/product combination. For example, FEDAI Method for USD/INR and RiskMetrics™ for Cross-Currency Pairs. Or Monte Carlo for one asset category, RiskMetrics™ for some others and Historical Simulation for still others. The definition of methods could be based on Back Testing. Multiple methods could be defined, stored and used for different purposes: regulatory, operational or MIS.
- What-if scenarios: The change in VaR due to a particular scenario-driven change in position can be studied.
- VaR computation at the individual cashflow/deal level.
- Calculates and stores Adjusted VaR based on a reconciliation of Volatility and Total VaR figures. This computation may be parameterized and user-defined.
|
|
|
|
|
| Comprehensive Reporting |
| Risk Management rather than Risk Measurement |
- Risk trace-ability reports which sort VaR values in descending order of any of a set of defined parameters: this helps highlight high risk areas for mitigation steps
- Reports can be viewed for a specific portfolio/entire position list
- Comprehensive drill-downs capability - Dealer wise, Cost Centre wise, BPS wise (Book-Portfolio-Strategy)
- Flexible reporting: Standard reports by Product/Currency/Vertex plus Auxiliary (user-defined) reports, e.g., by BPS, cost centre, dealer or security.
- Cross-tab reports - Product/Currency, Portfolio/vertex etc.
- Reporting down to each individual cash flow level.
- Graphical reports - Pie charts, Histograms etc
|
|
|
| |
|
|
| Supported Methodologies |
- Delta-Normal (Variance-Covariance) methodology
Using the RiskMetrics™ datasets, which need to be subscribed to separately; does not support non-linear instruments, viz., options
- Historical simulation
Using past data to generate risk datasets including for non-linear instruments
- Monte Carlo methodology
Using random sampling to generate datasets independent of historical data
- Custom methodology, with externally provided volatility data
Such as those provided by the local Central Bank or FX Dealers' Association based on the local currencies
|
| Supported Instruments |
- FX Cash & Forward
- Money Market (short term bills and bonds)
- Fixed Income Securities
- Equities
- Derivatives: options and futures
- Forward Rate Agreements (FRAs)
- Interest Rate Swaps (IRSs)
- Currency Options
- Commodities
|
| Dealer FAQs and how VARXPRESS
addresses them |
| Dealer FAQ |
VARXPRESS feature |
| Are my risks well diversified? |
Product-wise reports |
| What happens if I add a set of incremental positions? |
What-if analysis |
| What events can be catastrophic to my portfolio? |
Stress testing through What-If analysis |
| How is my risk distributed? |
Cross-tab reports |
| What exactly do I need to neutralize risk? |
Combination drill-down reports |
| Is my risk model accurately modelling my risk? |
Back Testing |
|
|
| |
| VARXPRESS
context diagram |
|
|
|
|
| Technical information |
| Interfaces |
- XML based Request/Response messaging mechanism to make VaR Computation easily and interactively callable from external applications such as dealing room decision support applications or enterprise information applications
- Generalized EDI module to support export/import of data to VaR database from other external databases of different formats: this module may be parametrically set up once and used at regular update intervals
- VARXPRESS is fully interfaced with the ITMS™ database system for optimal data interchange and real-time access. This is a 2-way real-time messaging interface based on XML and provides immediate information to the ITMS™ analytics and dealer support modules on incremental and what-if type positions, among others
|
| Platform |
- Browser-based system developed on the Java™ platform.
- GUI front end based on Java Server Pages (JSP)
- Oracle™ based Database Server.
|
| Product availability |
- Currently available: All features supporting Variance-Covariance (RiskMetrics™ datasets) as well as Custom (e.g., Central Bank/FEDAI) methodologies
- December 2004: Historical simulation methodology
- March 2005: Monte Carlo methodology
|
* ITMS is a product of Synergy Log-In Systems Ltd. It is a front-, middle- and back-office treasury and investment management solution, covering a range of instruments including Fixed Income Securities, Money Markets, Foreign Exchange, Equities and also Derivatives like Futures, Forward Rate Agreements, Interest Rate Swaps and Currency Options.
RiskMetrics™ is a registered trade mark of the RiskMetrics Group Inc.
All other trade marks are the property of their respective owners. |
| MIRROR |
|
| MIRROR is an account reconciliation and exception management system that can be effectively deployed on any of the following tasks: |
- Nostro account reconciliation
- Confirmation matching
- Inter-branch reconciliation
- Account reconciliations of any other type, based on set-up parameters, e.g., ATM reconciliation, Central Bank account reconciliation, etc.
|
MIRROR's modular architecture is based on a 3-tier framework. It supports a browser front-end and is developed using server-side Java components in the middle layer. This web application server based architecture empowers the Bank to implement and deploy MIRROR centrally yet allow authorised users to securely access it from geographically dispersed locations such as branches.
|
| MIRROR has the following modules: |
- External Data Interface (supports SWIFT message formats)
- Data Management
- Matching engine
- Query and reporting
- Exception management
- Communication management
|
|
|
|
|
|
|
|
Copyright © 2004 Tata Infotech Limited. All Rights reserved. ITMS is a registered trade mark of Synergy Login Systems Ltd