Forex-Pro FRA, IRS & Bonds

BONDS

Forex-Pro supports the issue, purchase and sale of a number of interest bearing security types, including:

• Fixed coupon bonds and notes
• Floating rate notes
• Callable and puttable bonds
• Zero coupon bonds
• Medium term notes

The Forex-Pro Interest Bearing Securities module is highly flexible in its ability to model bonds for issue, trading for the bank’s account and buying selling on behalf of clients.

The system provides an easy to use function to revalue bonds on a market-to-market basis and for fixing of FRNS.

All accounting entries, daily accruals, coupon payments, and maturing securities are automated. Daily events and ticklers inform the user of any pending or executed action.

FRA

The Forex-Pro Forward Rate Agreements (FRAs) module enables the user to input FRAs which the bank has transacted for either trading or hedging purposes.

Upon input of a deal, diary events are created for the life-cycle of an FRA.

The interest differential is calculated in accordance with the standard FRABBA method of calculation.

If the deal is traded, then the resultant income stream can be set to be realized immediately. If the deal has been entered into for hedging purposes, the income stream is amortised over the period from the start date to the final maturity date.

FRAs can be revalued daily on a mark-to-market basis. The system also allows on-line inquiries to be made, providing real time mark-to-market valuations.

IRS

The Forex-Pro Interest Rate & Currency Swaps module enables users to input and monitor the profitability of both interest rate and currency swaps. The system handles both single currency swaps where a fixed deal is swapped with a floating rate deal, and dual currency swaps where two currencies are involved.

Forex-Pro caters for both hedged and traded swaps.

A complete schedule exists for each side of the swap, one for the loan side of the swap and one for the deposit side. The benefit of this approach is that it gives the bank the flexibility to contour the swap in a variety of ways.

Users can revalue swaps on a daily basis using the mark-to-market process.