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commonly used commercially provided integrated front and back
office processing and risk management system for financial
derivatives. One of the Devon system’s important functions was
to take real time feeds of market rates and provide pricing of
various securities and instruments.
2. Devon (Midmarket) Value
The Devon system calculated each swap’s mid-market value by
reference to zero-coupon yield curves. The Devon system used the
two following types of inputs to calculate the midmarket value of
a swap: (1) Transaction information and (2) market information.
The transaction information was generally the information set
forth in the trade ticket and was typically provided in the
confirmation letter.27 The transaction information included the
notional amount, the tenor, the fixed interest rate, the floating
interest rate, the payment dates, and the payment formulas. The
26(...continued)
Inc., in 1987. Devon Systems International, Inc., changed its
name to SunGard Capital Markets, Inc., in 1992. On Jan. 2, 1998,
SunGard Data Systems, Inc., acquired Infinity Financial
Technology, Inc. (IFT), a financial derivatives trading and risk
management company. SunGard Data Systems, Inc., merged IFT and
its existing related Renaissance Software and SunGard Capital
Markets to form a new operating group named Infinity, A SunGard
Company. Infinity now maintains and licenses the Devon software.
27 Each FNBC trader filled out a “trade ticket” for each
transaction in which he or she had responsibility. This ticket,
which listed all of the essential facts of the transaction, was
then transmitted to the back office to input those facts into
FNBC’s Devon system and to prepare the related confirmation
letter.
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