midQORT Automated middle-office

Principal Functions 1 ̶ Online evaluation and monitoring of positions ̶ Risk-management by customers ̶ Own position risk-management ̶ OTC trade document flow ̶ Management reports ̶ Unified storage of all information

Types of operations 2 ̶ Exchange and OTC trades (spot, REPO, negotiated trades with securities) ̶ Exchange and OTC trades to buy/sell FX, SWAPs ̶ OTC trades to invest/raise cash ̶ Trades with derivative instruments (futures, options) ̶ Trades at international trading venues ̶ Non-trading operations of clients ̶ Corporate action processing

Trading venues and instruments 3 ̶ Trading venue is a place where trade operations take place ̶ Trading venue section is a trading mode at a particular trading venue ̶ Assets are traded items (tied to an issuer, industry) ̶ Instruments are assets displayed at a particular venue section

Account Structure 4 ̶ Sub-account is a minimum asset accounting unit in analytical accounting (a client account, a trader position) ̶ Analytical account is a grouping of selected subaccounts ̶ Physical account is a minimum asset accounting unit by a storage place (trade section, a bank account, etc.) ̶ Virtual account is a grouping of physical accounts (for example, by a storage place)

Position in QORT 5 The set of indicators processed online and broken down by: ̶ subaccounts (by ownership) ̶ physical accounts (by location) ̶ assets (by types)

Position in QORT (parameters) 6 ̶ Balance ̶ Purchase cost evaluation ̶ REPO obligations ̶ Forward obligations ̶ Today’s obligations ̶ Collateral ̶ Variation margin ̶ Blocked

Operations that change positions 7 ̶ Trades – change planned results ̶ Trade stages – change balances and planned REPO performance ̶ Adjustments – change actual results ̶ Redemptions – change balances of two positions

Position management 8 ̶ Confirmation of trade execution at registration ̶ Automated registration of exchange trade stages ̶ Registration of OTC trades, stages, entered manually ̶ Change of a trading day, storage of the day position breakdown (backdated data entry) ̶ Double record (an account pair in every operation, possibility to specify the second account pair in operations)

Risk management 9 ̶ Online data processing, post-trade control ̶ Monitoring of operation risks on stock and derivative markets ̶ Generating limits for pre-trade control in the front-office ̶ Automated closure and transfer of positions ̶ Monitoring of internal limits on a counterparty, an issuer, an asset group ̶ Settlement / delivery planning

Internal Limits 10 ̶ Application area - subaccounts or analytical accounts ̶ Limit currency, used for operation and position evaluation ̶ Various types of limits ̶ Setting group limits

Internal Limits (types) 11 ̶ Limit on maximum volume of obligations for open (not settled) trades ̶ Limit on position opened in a group of securities ̶ Limit on position opened for REPO trades ̶ Limit on volume of open FX trades per counterparty

Document Flow 12 ̶ Types of agreements: ̶ trade orders ̶ orders to traders ̶ tickets ̶ Actions: ̶ role system administration ̶ generation/ examination / signing of documents

Reports 13 ̶ Reports on PnL calculation contain data on positions by an account, portfolio or a group of chosen accounts over a period ̶ Reports on open obligations contain data on open obligations broken down by assets, trading venues, counterparties ̶ Reports on portfolio structure contain data on own and client portfolio structure, and on correlation with other portfolios ̶ Reports on operations contain data: ̶ on activity indicators for a chosen account group ̶ on executed trades ̶ on a status of trade agreements

Financial result 14 ̶ Reports on portfolio status for a particular date ̶ Portfolio revenues over a period by instruments ̶ Portfolio revenues over a period for selected accounts (online data)

Integration with QUIK 15 ̶ Market data feed ̶ Automated generation of assets and instruments ̶ Trade and order transfer ̶ Forwarding of technical transactions – closure of margin position, transfer of short and long positions, transfer of positions at currency markets ̶ Loading of stock market limits ̶ Loading of cash limits for the derivatives market ̶ Loading of accrued commissions ̶ Integration with Non-Trade Module (order import and signing, directory export for Non-Trade Module)

Integration with IDB 16 ̶ Directory import (assets, instruments, accounts, etc.) ̶ Import of transactions and settlement stages ̶ Adjustment import ̶ Redemption import ̶ Import of accrued commissions ̶ Currency import ̶ Export of transactions, settlement stages, adjustments ̶ Market data export

Services 17 ̶ Reconciliation with exchangees, clearing companies ̶ Schedule service ̶ Marking for data that cannot be changed ̶ Automated analysis of the statistics data

Security 18 ̶ Secure traffic between the server, user desktop and server components ̶ Key authentification ̶ Two-factor authentication with RSA Secure ID, SMS, AD ̶ Role system and different levels of access for different roles

Performance 19 ̶ Processed transactions: per minute ̶ Online margin indicator calculation – accounts ̶ Simultaneous users: up to 100