Wall Street Systems, a provider of treasury and capital markets software, has launched a credit derivatives module and structured products framework for creating, tailoring and auditing complex OTC deals.
The new module - which is available as both a stand-alone system or as part of the vendor's treasury engine - supports diverse credit derivatives, including total return swaps, credit linked notes and credit default swaps with support for both single names or baskets. It provides traders with pricing, deal capture, trade structuring, trade valuation and risk management capabilities, as well as the tools to tailor products to meet client needs.
The application also features risk management functions, hedging analytics and scenario analysis. Risk analyses are available in real-time on any subset of the trading portfolio. The system also provides a full audit trail maintained for all trades to ensure compliance with reporting regulations in response to Sarbanes-Oxley and Basel II as well as Fed, FSA and SEC requirements.
Wall Street Systems' structured products framework supports interest rate and credit derivatives, allowing banks to create, price, process and risk manage new deal structures using their own models and software. The framework supports all capital markets instruments, including fixed income, collateral management, repo, FX & MM and futures products, in all major currencies and most emerging markets. Firms can continue to create new products and models, even from external sources such as Excel spreadsheets.
Patrick Treanor, director for derivatives and structured products at Wall Street Systems, says: "We set out to create a risk framework that was scalable and flexible; that could be implemented either as a stand-alone solution or deployed as a transaction processing framework alongside other solutions such as in-house and third party calculation libraries and models. This enables us to appeal to all levels of the market from major to minor players."
Treanor says the framework delivers consistent cross-product, market, credit and operational risk management capabilities in a single system, as well as accessible data, complete trade lifecycle processing, full P&L attribution and extensive calculation libraries and models for pricing decision support and market risk management.