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sDIS Intraday Interface


Problem Case of the Risk of Changing Interest

The risk of changing interest acts as an essential potential of risk and chance concerning daily banking practice. Up to now normally the risk of changing interest is calculated at the end of each trading day. Additionally in some cases this calculation is done during the day. For this the current value (actual cash value) of each pending payment is being calculated on the basis of the actual interest structures. Considering the possibilities of changing of this interest structures in the process of a day and the high amount of the set information at the main trading times, makes the task to determine the risk of changing interest in realtime high requirements to the scalability and stability of a solution.
In this concrete project the first version of the standard product sDIS Intraday of the company GILLARDON AG financial software was developed for realtime measurement of the risk of changing interest during the day in cooperation with the pilot customers.
The function of the REIMERS CONSULT GmbH within this task was to provide technical attendance and to create the standardized feed sDIS Intraday Interface for business transaction- and market-data from the systems of the pilot customers.


Among others the necessity of a realtime measurement of the risk of changing interest during the day arise from the minimal requirements to the processing of transactions of credit institutes of the Bundesaufsichtamt(Federal Supervisory Office) for finance with the following points:

Approach to the Problem

The basis to the chosen approach consists of a number of customer?s demands:


In the completed solution interest graphs and segments of payment streams are collected and rated.

Configurations of the system define limits, that lead to predefined events of information when they are reached. Implemented are Intraday-limits, Intraday-key-points, daily closing limits and daily closing thresholds. Every deposited value bears a classification attribute. By means of this classification attribute the corresponding information action is selected out of a table. The information actions enable both, changing of screen display and an entry within the log file. Additionally a message is sent to the email address posted to the limit entry. The daily closing rating takes place manually at the end of the day on the one hand and in automated daily closing rating on the other.

The risk of changing interest is determined using actual cash value simulation with Spread. In the initial version risk parameters are defined in Spreads parallelly. At a later date the risk rating will be possible on the basis of any desired Spread.

Configurable besides limits (Intraday limits, Intraday key points, daily closing limits, daily closing thresholds) are risk parameters (Spreads), portfolios and portfolio hierarchies, actions of information and user privileges.

Violations of limits, reaching of key points and thresholds and changes to the configuration are saved to the log file.

Technical Information

Supported Database Products
System Environment


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