Middle and back office service provider Point Nine has added a new real-time counterparty risk and collateral management module to its service offering. The module, which has been dubbed Ellipse, was created in response to client requirements for increased automation for collateral management and greater analysis capabilities for counterparty risk measurement, claims Yannis Matsis, CEO of the vendor.
“There is little doubt that counterparty risk and collateral management are becoming increasingly important to practitioners and regulators alike. Ellipse was created in response to these market needs, and was developed taking into close account the requirements of the most demanding user, as well as the guidelines produced from various regulators,” says Matsis.
Accordingly, the web-based reporting tool monitors firms’ levels of counterparty exposure at any given time and allows them to manage their collateral movements, says the vendor. To this end, it captures various details of a client’s counterparties, including ISDA, CSA and GMRA agreements with each counterparty, the present value of each transaction as produced by the client and by each of its counterparties and the outstanding collateral movements with each counterparty.
Ellipse is able to produce various reports for the client, including the total exposure against each counterparty, the net exposure after taking into account the collateral movements, the transactions with significant valuation differences between the client and its counterparties and the daily required collateral movements. For each individual counterparty exposure, the reports are broken down by netting agreement, with the ability to drill down to individual transactions. Other reports provide aggregated exposures by grouping together counterparties by industry classification, geographical category, rating and other aggregation categories as customised by the client.