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Derivatives playbook

Derivatives — interest rate, credit, equity, FX, and commodity swaps, options, and futures — represent the largest notional exposure in global financial markets. Reconciliation of derivatives trades involves multiple confirmations, daily mark-to-market, collateral calls, and regulatory reporting under EMIR, Dodd-Frank, MiFID II, and other regimes. Falcon Veritas Intelligence (FVI) provides a derivatives playbook purpose-built for the operational and regulatory complexity.

Why derivatives reconciliation is complex​

Derivatives reconciliation involves:

  1. Confirmation matching — trade economics (notional, fixed rate, floating index, payment dates) must be confirmed by both counterparties.
  2. Daily mark-to-market — derivative value changes daily with market movements, requiring continuous revaluation.
  3. Collateral management — variation margin (VM) and initial margin (IM) must be exchanged daily, with eligibility and haircut rules.
  4. Reconciliation cycles — OTC derivatives reconcile T+1; cleared derivatives reconcile intraday.
  5. Regulatory reporting — EMIR, Dodd-Frank, MiFID II, and other regimes require trade reporting to trade repositories.
  6. Lifecycle events — corporate actions, credit events, terminations, and partial terminations must be tracked through the trade lifecycle.

FVI's derivatives playbook addresses each of these with purpose-built workflows.

FVI's derivatives architecture​

Step-by-step: enabling derivatives reconciliation​

  1. Connect trade sources. Wire your execution platform (Bloomberg, Tradeweb, MarketAxess, FXall, Traiana, Confirmation.com) to FVI's ingestion pipeline. FVI normalizes FpML 4.x/5.x and FIX 5.0SP2 into the canonical trade record.

  2. Connect confirmation service. Wire your confirmation service (ICE Link, MarkitWire, DTCC CTM, Confirmation.com) to FVI's ingestion pipeline. FVI's confirmation adapter normalizes confirmation messages into the canonical trade record.

  3. Connect collateral manager. Wire your collateral manager (Calypso, Murex, Summit, Acadia) to FVI's collateral module. FVI ingests collateral balances and applies the agreed haircut schedules.

  4. Connect pricing service. Wire your pricing service (Bloomberg, Refinitiv, ICE Data Services, Numerix) for daily mark-to-market. FVI's pricing adapter pulls curves, volatilities, and correlation matrices for valuation.

  5. Configure match rules. Use FVI's derivatives rule template to create deterministic match rules. The template includes field mappings for the standard FpML trade header, leg, and economics fields.

  6. Enable regulatory reporting. Activate the regulatory reporting module for the relevant regimes (EMIR, Dodd-Frank, MiFID II, MAS, ASIC, JFSA, etc.).

Collateral management​

FVI's collateral management module handles:

  1. Variation margin — daily mark-to-market collateral exchange, with cash and eligible securities.
  2. Initial margin — SIMM (ISDA Standard Initial Margin Model) calculation under BCBS/IOSCO guidelines, with segregated custody at a third-party custodian.
  3. Eligible collateral — cash in eligible currencies, government securities, corporate bonds, equities, gold.
  4. Haircuts — jurisdiction-specific and counterparty-specific haircut schedules.
  5. Disputes — collateral call disputes tracked through resolution workflow.

Lifecycle events​

FVI tracks the full lifecycle of derivative trades:

EventDescription
new_tradeTrade execution and confirmation
amendmentEconomic amendment to the trade
novationTrade assigned to a new counterparty
partial_terminationPartial unwind of the trade
full_terminationFull unwind of the trade
exerciseOption exercise
credit_eventCDS credit event (bankruptcy, failure to pay, restructuring)
corporate_actionUnderlying corporate action affecting the trade

Regulatory reporting​

FVI's derivatives module supports reporting to:

  • EMIR — EU and UK trade repositories (see EMIR Refit)
  • Dodd-Frank — US Swap Data Repositories (see CFTC Part 43/45)
  • MiFID II — EU and UK ARMs (see MiFID II RTS 22)
  • MAS — Singapore trade repositories (see MAS TR)
  • ASIC — Australian trade repositories (see ASIC DTR)

Use cases​

  • Banks — reconcile OTC and ETD derivatives across multiple asset classes.
  • Hedge funds — reconcile multi-asset derivatives portfolios.
  • Asset managers — reconcile derivatives used for hedging and overlay strategies.
  • Pension funds — reconcile derivatives used for liability-driven investing.
  • Corporates — reconcile FX and interest rate hedging programmes.

Code samples​

TypeScript​

import { FVI } from '@falconveritas/sdk';

const fvi = new FVI({
  baseUrl: 'https://api.falconveritas.com',
  bearer: process.env.FVI_JWT!,
  tenantId: process.env.FVI_TENANT_ID!,
});

// Get derivatives exposure
const exposure = await fvi.industries.derivatives.exposure({
  asOf: '2026-08-22',
  assetClass: 'interest_rate',
});

console.log(`Notional: $${exposure.total_notional.toLocaleString()}`);
console.log(`MTM: $${exposure.total_mtm.toLocaleString()}`);
console.log(`Net collateral: $${exposure.net_collateral.toLocaleString()}`);

Python​

from falconveritas import FVI

client = FVI(
  bearer=os.environ["FVI_JWT"],
  tenant_id=os.environ["FVI_TENANT_ID"],
)

exposure = client.industries.derivatives.exposure(as_of="2026-08-22", asset_class="interest_rate")
print(f"Notional: ${exposure.total_notional:,.0f}")
print(f"MTM: ${exposure.total_mtm:,.0f}")
print(f"Net collateral: ${exposure.net_collateral:,.0f}")

Last updated: 2026-08-22 · Page owner: Documentation · Source: src/lib/industries/derivatives/.