Ferential Systems Inc.
Trading and Risk Management Systems
Hedge Testing and Compliance
The hedge accounting module is designed to provide users with maximum flexibility when defining testing policies, running analytical assessments, running measurement tests, and reviewing/reporting test results.
With the hedge accounting module, users can implement variations of fair value, cash flow, forecasted cash flow, and net investment strategies. Testing methodologies include dollar offset, backdated regression, and cross-sectional simulation. Pyramid’s design allows users to quickly define and build new testing analytics to adapt to new procedural announcements. The hedge accounting module fully supports overnight index swap (OIS) valuations throughout all hedge accounting workflow. The hedge module also contains an accounting system interface for effectiveness/ineffectiveness and OCI balance reporting.
Pyramid provides users with maximum flexibility in establishing relationships between hedged items, hypothetical derivatives, and hedging instruments. 1:1, 1:partial, 1:many, and many:many hedging relationships are easily established and processed.
Additionally, the workflow process can be controlled via permissioning and auditing.