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In the press > July 2004
IAS/IFRS rules handling in LOGIN-ACUMEN
Paris, France, 16 July 2004
LOGIN S.A today announced that additional developments have been done in its leading product LOGIN-ACUMEN to fully comply with the new IFRS international accounting standards, especially rules IAS 32 and 39.
ACUMEN provides now full intermediate deal data, calculations and reports to the end accounting system which will perform the account posting.
The first step for IAS/IFRS compliance consists in allocating deals to asset and liability groups, from which valuation rules are derived. This can be done based on the 10 portfolio allocation tables already existing in ACUMEN. In addition, two new tables have been created to store deal structure corresponding to IFRS rules. These tables can be used to store grouping information like "Asset held to maturity", "Asset for Trading", etc.
On a calculation point of view, various user definable methods allow to produce "fair value" results per deal or group of deals:
- Mark to market valuation based on real time or end of day prices;
- Discount method based on zero coupon rates from user definable yield curves possibly including credit spreads ;
- Different types of option valuation formulae (Black and Scholes, Hull and White, Cox/Ross/Rubinstein, etc) ;
- A new method where up-front payments can be incorporated to compute effective rates used to find the effective present value of a swap or a bond.
- Also, accrued interest can be withdrawn from the PV results, or can be isolated.
In addition, a specific hedge effectiveness report provides calculations of the hedge ratio between a deal or group of deals and their hedge (macro hedge possible).
Once the deal and valuation parameters are setup, reports can be run gathering all relevant information. These reports can be printed on paper, exported to files or saved in database tables. This eases the comparison of fair value amounts at different dates. It makes it possible also to extract information through interfacing for example, allowing any detailed analysis required.
The new regrouping fields and calculations are part of the IFRS ACUMEN license.