technical description

Pegasus Derivatives OTC module allows management of following coverage products:

• IRS

• Index Linked

• Cap

• Floor

• Index Options

• Stock Options

• Futures on Bonds

• DCS

• Swap on currencies

• Forward on currencies

derivatives  i.r.s.  (interest rate swap)

Specifically activity on IRS will be managed through the following features:

• Management of Securities records for I.R.S. contracts;

• Contract stipulation with counterparty (ex. ICCREA) and related acccounting transactions;

• Connection between bond issuance and IRS coverage(it will be this way possible to update, on the master data, the cost of bond collection for the purpose of management control;

• Automatic budget adjustment transactions (“IRS differential” pro-rata temporis);

• Periodic deadlines and transaction closing: differential settlement (positive or negative) to the counterparty and related accounting transactions;

• Surveillance notifications;

• F.T.  1593.01 IRS derivatives: fixed rate collection/Variable rate payment;

• F.T.  1593.05 IRS derivatives: fixed rate payment/variable rate collection;

functions of analysis on portfolio's derivatives 

In this module is present a feature that groups the following functions of query and reporting:

• Inquiries on periodic interest settlements;

• Reporting of creditors and debtors interests for financial accruals;

• Interest accruals reporting on OTC derivatives;

• Contracts' control reporting;

index linked covered options with guaranteed minimum and deferred premium 

In regard to this type of contracts the module offers the following features:

• Master data management of Index linked type securities and, particularly, linkage is available to all derivatives components:

• Options in favour of underwriters on yield to maturity;

• IRS contract of yield to maturity coverage;

• Issued bond loans (the cost of bond collection can be automatically updated on records, in order to ensure management control);

• Stipulation of contract with counterparty (ex. ICCREA bank) and related accounting transactions.

• Automatic budget adjustments (“IRS differential” pro-rata temporis).

• Periodic deadlines:

• Premium payment to counterparty for IRS differential pro-rata temporis (explicit option);

• Payment to counterparty of possible minimum guaranteed pro-rata temporis.

• Recording of interests due and their capitalization (implicit option);

• Accrued liabilities unloading at option expiration (with different recording depending on whether or not the option is utilized):

• Compensation collection from the counterparty;

• Compensation payment to clients and bond loan reimbursement

• Surveillance notifications;

• F.T.  1593.05 Derivatives contracts: implicit option on securities (if on interest rates);

• F.T.  1593.05 Derivatives (if on Stock Exchange index);

• F.T.  1593.01 IRS derivatives: fixed rate collection/variable rate payment;

• F.T.  1593.01 Derivatives: implicit option on IRS (if on interest rates);

• Automatic capitalization of accrued interests.