1. ITMP T-4-3-1-24A Template Version 1.2 1 MX 3.1 Pre-Post Trade workflows Murugesan Prabhakaran 15 th Aug 2013

2. ITMP T-4-3-1-24A Template Version 1.2 2 Agenda Key Differences between 2.11 & 3.1 Pre Trade workflow Post Trade workflow

3. ITMP T-4-3-1-24A Template Version 1.2 3 Key difference between 2.11 & 3.1 Trade Repository  Trades Hierarchy & Design  Events  Versioning Exception based management GUI Integration framework

4. ITMP T-4-3-1-24A Template Version 1.2 4 Key difference between 2.11 & 3.1 – Trade Repository Trade Repository – Trade Hierarchy Financial Contract Component:  Basic building block (Simple Trades).  Elementary level of information in a trade for P&L and sensitivity calculation.  Can not live independently from processing point of view Financial Contract:  A set of components dealt with one counterpart and seen as single object during processing.  Linear combination of financial contract components Financial Contract Package:  A set of financial contracts Financial Contract Event:  An event applied on one or several component and triggers contract versioning.

5. ITMP T-4-3-1-24A Template Version 1.2 5 Key difference between 2.11 & 3.1 – Trade Repository Trade Repository – Trade Design

6. ITMP T-4-3-1-24A Template Version 1.2 6 Key difference between 2.11 & 3.1 – Trade Repository Trade Repository – Trade Design

7. ITMP T-4-3-1-24A Template Version 1.2 7 Key difference between 2.11 & 3.1 – Trade Repository Trade Repository – Trade Design

8. ITMP T-4-3-1-24A Template Version 1.2 8 Key difference between 2.11 & 3.1 – Trade Repository Trade Repository – Trade Design FX Swap with one counterpart  1 FC with 2 FCC FX Swap(FC) = Spot ( 1 st FCC) + Forward (2 nd FCC)

9. ITMP T-4-3-1-24A Template Version 1.2 9 Key difference between 2.11 & 3.1 – Trade Repository Trade Repository – Trade Design FX Swap with 2 counterpart  1 Package with 2FC  Each FC includes 1 FCC

10. ITMP T-4-3-1-24A Template Version 1.2 10 Key difference between 2.11 & 3.1 – Trade Repository Trade Repository – Trade Events Business event on Financial Contract or Package Event Characteristics  Impact on the Financial Contract  Generates new financial Contracts  Generates cash flow

11. ITMP T-4-3-1-24A Template Version 1.2 11 Key difference between 2.11 & 3.1 – Trade Repository Trade Events Graphical Representation  Tree structure summarizes the successive events and indicating respective reference numbers

12. ITMP T-4-3-1-24A Template Version 1.2 12 Key difference between 2.11 & 3.1 – Trade Repository Versioning Purpose  Easier reconciliation and confirmation with counterpart after trade amendment Contract number is fixed Number indicating the version number

13. ITMP T-4-3-1-24A Template Version 1.2 13 Key difference between 2.11 & 3.1 – Trade Repository Versioning Mechanism  Every event publishes its impact in the contract workflow Impact on existing & new transactions  A copy of initial trade is generated Impact occur on the copy Generated cash flow are attached to the copy Event on Trade Example : Counterpart allocation

14. ITMP T-4-3-1-24A Template Version 1.2 14 Key difference between 2.11 & 3.1 – Trade Repository Versioning Cancel of an event  Copy is cancelled and initial deal is versioned  Cancel of any new trade generated by an event  Cancelled trades are published in contract workflow

15. ITMP T-4-3-1-24A Template Version 1.2 15 Key difference between 2.11 & 3.1 – Trade Repository Versioning Events and relation to versioning  Event that does not generate a new deal – Fixing  Event that generates new deal

16. ITMP T-4-3-1-24A Template Version 1.2 16 Key difference between 2.11 & 3.1- Exception based management

17. ITMP T-4-3-1-24A Template Version 1.2 17 Key difference between 2.11 & 3.1- OSP

18. ITMP T-4-3-1-24A Template Version 1.2 18 Key difference between 2.11 & 3.1 – GUI Integration framework  Third party software displayed in murex window like Excel

19. ITMP T-4-3-1-24A Template Version 1.2 19 Pre Trade Workflow Overview Pre-Trade Cycle & Organization Pre-Trade or Post-Trade Pre-Trade Sequences Scripting Language Type of Tasks Tasks & Rules Assignments

20. ITMP T-4-3-1-24A Template Version 1.2 20 Pre Trade Workflow - Overview  Automation logic for achieving higher STP rate

21. ITMP T-4-3-1-24A Template Version 1.2 21 Pre Trade Workflow – Pre-Trade Cycle & Organization Synchronous mode Done in Memory Mode Access to pricing and real time market data

22. ITMP T-4-3-1-24A Template Version 1.2 22 Pre Trade Workflow – Pre-Trade Cycle & Organization Both FO & BO users can call a Booking, Pricing and Closing sequences FO users can call Booking sequence attached to Processing center or specific Booking sequence

23. ITMP T-4-3-1-24A Template Version 1.2 23 Pre Trade Workflow – Pre-Trade or Post-Trade Most of the automation logic should be covered with in Pre-Trade rules rather than with in Post-Trade workflows. This will help in reaching higher STP rate. Pre-Trade rules are considered as an initiation phase for Post-Trade workflows Financial checks can easily be done in Pre-Trade workflows and the result check can be stored in a UDF and reused in Post-Trade workflows

24. ITMP T-4-3-1-24A Template Version 1.2 24 Pre Trade Workflow – Pre-Trade Sequences Calculation Chain ( Pricing & Closing Sequences)  Pricing Sequence Set of rules automatically executed in order to customize the pricing of each time  User enters a field in deal ticket, pricing, e-TradePad or FDI  Trade is generated by MOP  Trade is imported from an external system Represented in a flow sheet connecting several tasks  Typical flow sheet contains completion task to fill-in inputs, pricing task Typical tasks:  Completion Rules: automatic fill-in one or several fields in deal ticket based on condition  Pricing tasks: Trigger actual pricing models  Routing tasks: Route to another branch of flow sheet Closing Sequence  Set of rules automatically executed just after pricing sequence Executed only once Not supposed to modify pricing input  Represented in a flow sheet connecting several tasks Typical flow sheet contains several completion tasks with routing tasks  Typical tasks: Completion rules: Typology, portfolio assignments, Tradability status Routing tasks: Router to another branch of flow sheet

25. ITMP T-4-3-1-24A Template Version 1.2 25 Pre Trade Workflow – Pre-Trade Sequences Booking Sequence  Set of rules automatically executed in order to customize the trade insertion each time User hits the save button A trade is generated by MOP A trade is imported from an external system  Rules are applied in a sequence of tasks which are executed before trade is saved physically in to system  Typical Rules Completion Rules: Broker allocation and fees calculation, SSI allocation Routing rules: Route to specific branch of flow sheet Compliance Rules: Sanity checks using trade characteristics. Warning or error messages Mirroring & Hedging rules: BTB & generation of hedges

26. ITMP T-4-3-1-24A Template Version 1.2 26 Pre Trade Workflow – Pre-Trade Sequences Calculation chain or Booking sequence  Calculation chain Rule will be executed at each computation in calculation chain Calculation chain has to be used if an interaction with the end user before the trade insertion is required  Booking Sequence Booking sequence should be used as the rule will be applied only once Sanity Checks (Compliance) have to be performed in Booking sequence  Users will be disturbed by warnings and error messages during calculation chain  Checks on computed data such as NPV, market value and prices sensitivities should be done Mirroring rules should be done in booking sequence

27. ITMP T-4-3-1-24A Template Version 1.2 27 Pre Trade Workflow – Pre-Trade Sequences Sequence construction Steps  Pre-trade sequences are executed in following order Tasks Assignment selects the flow sheet Flow sheet defines the succession of tasks to be executed Rules Assignment selects the rule to be applied for each task Selected rules are executed in the order specified in the flow sheet

28. ITMP T-4-3-1-24A Template Version 1.2 28 Pre Trade Workflow – Scripting Language MSL ( Murex Scripting Language) being used to build pre-trade rules Generic Functions  Integer legGetNumberOfComponents(Pointer) Returns number of FCC within a FC or Package Parameters: FC or Package Pointer  Pointer legGetComponentAt(Pointer, i) Returns a FCC pointer Parameters:  A FC or Package pointer  FCC number with in FC or Package  Pointer legGetMainComponent(Pointer) Returns a FCC pointer Parameters: A FC or Package pointer  At Package/FC level, loop is required as number and the nature of the legs is not known in advance

29. ITMP T-4-3-1-24A Template Version 1.2 29 Pre Trade Workflow – Scripting Language Generic Functions  At Single Contract level, it is not mandatory to use a loop  List of functions and key words can be find using: Press F9 to access Key words list Press Shift+F9 to access functions list

30. ITMP T-4-3-1-24A Template Version 1.2 30 Pre Trade Workflow – Pre-Trade Sequences Contract Sequence  Warning to popup when the user saves IRS trade when nominal amount is greater that 100 000 000  Example of compliance rule

31. ITMP T-4-3-1-24A Template Version 1.2 31 Pre Trade Workflow – Pre-Trade Sequences Event Sequence  The sequence is triggered when a market operation is performed ( Cancel, C&R, EXR,EXT,ET.. Etc)  Completion and/or compliance rules can be applied on the initial deal, the event and generated/cancelled deals  Example: Field portfolio of the initial deal has to be copied in UDF INIT_PTF of the reissued deal while performing C&R Below completion rule can be used

32. ITMP T-4-3-1-24A Template Version 1.2 32 Pre Trade Workflow – Pre-Trade Sequences Deliverable Sequence  The sequence is triggered whenever a deliverable is generated if deliverable module is activated  Generation of deliverables occurs when: Deliverable value date is with in the deliverable window period Contracts are inserted with schedules including known flows Events are performed. Example: Fixing  Deliverables would enter the pre-trade sequence after Settlement / Deliverable template has been applied  Deliverable sequence can be used for pre-netting/MM Rollovers  Only Booking sequence is triggered every time deliverables are generated  Events may impact deliverable directly or indirectly  Events on deliverables Deliverables can be cancelled, C&R, Split  Not advisable Netted

33. ITMP T-4-3-1-24A Template Version 1.2 33 Pre Trade Workflow – Pre-Trade Sequences Deliverable Sequence  Example: Completion rule to delete flows generated from SCF, Null cash flows, FX cash having typology starts FX_

34. ITMP T-4-3-1-24A Template Version 1.2 34 Pre Trade Workflow – Debugging Activate/deactivate the debugger by selecting the menu Help/Monitor  Double click on Formula Debugger or using the option /FRMLOG:filename to debug to a file. Add optionally /FRMLOGFILTER:namespace1;namespace2.. To filter on subset name spaces A log file can also defined in Mx launcher or Trade Repository  This is useful for trade interfaces

35. ITMP T-4-3-1-24A Template Version 1.2 35 Pre Trade Workflow – Type of Tasks

36. ITMP T-4-3-1-24A Template Version 1.2 36 Pre Trade Workflow – Tasks & Rules Assignments

37. ITMP T-4-3-1-24A Template Version 1.2 37 Post Trade Workflow Post Trade Main Notions Introduction Workflows Amendment Agent Status One-Stop Processing Post-Trade and Organization Post-Trade workflows triggering Post-Trade workflows configuration Interaction between Workflows

38. ITMP T-4-3-1-24A Template Version 1.2 38 Post Trade Main Notions Introduction  Post-Trade is a set of workflow automatically initiated whenever an event is performed on business object (contract, package, deliverables, static data.. Etc)  It groups all actions performed in an asynchronous way in order to manage statuses, perform validations, generate confirmation and communicate to external systems

39. ITMP T-4-3-1-24A Template Version 1.2 39 Post Trade Main Notions Workflows  A workflow is a set of auto & manual tasks connected together representing a given business process  Each business object has its dedicated workflow  Contract  Event  Deliverable  Exchange  Package  SSI  Workflow optimize the entire processing by providing STP mechanism based on:  Automatic tasks for automatic jobs  Manual tasks to handle exception

40. ITMP T-4-3-1-24A Template Version 1.2 40 Post Trade Main Notions – Amendment Agent  Amendment is responsible for connection between MX and MxML Exchange services  Entry Point of a workflow working as routing matrix. Any business object represented in MX is exported in to MxML Exchange where it follows a designated workflow.  Example for contract workflow

41. ITMP T-4-3-1-24A Template Version 1.2 41 Post Trade Main Notions - Status  To identify current validation or processing state of an object  Definition of object rights depends on object validation status  Two types of statuses:  Validation Status ( STP_VALIDATION_LEVEL) of the object  Mandatory  Used to set access rights on the objects ( STP rights)  Additional Status  Optional  Not linked to access rights  Only used inside the workflow

42. ITMP T-4-3-1-24A Template Version 1.2 42 Post Trade Main Notions – One-Stop-Processing  STP mechanism where every task is automatic with manual management of exception  Centralized and generic tool allows end-users to process (validate/reject) business objects waiting in manual tasks  Access to manual tasks are allocated to groups of end-users in charge of validating contracts, processing payments and generating confirmations

43. ITMP T-4-3-1-24A Template Version 1.2 43 Post Trade Main Notions – One-Stop-Processing  Ability to define specific layout with customized views and filters can be used depends on the business object users need to validate  Example for document/conformation processing  Example of payment processing

44. ITMP T-4-3-1-24A Template Version 1.2 44 Post Trade & Organization – Processing Center  Responsible of managing the processing of set of legal entities  Must be linked to a Processing Template ( a set of workflows)

45. ITMP T-4-3-1-24A Template Version 1.2 45 Post Trade & Organization – Front Office Desk  Front office Desk & Processing Center  Every FO Desk must be attached to a processing centre. This will use underlying processing template  An FO Desk group uses the Processing template to manage it own workflows

46. ITMP T-4-3-1-24A Template Version 1.2 46 Post-Trade Workflows Triggering Workflows are triggered by creation, amendment or any other event on their corresponding BO  Insertion of contract triggers contract workflow and may also impact the deliverable workflow

47. ITMP T-4-3-1-24A Template Version 1.2 47 Post-Trade Workflows Triggering One event in MX may trigger many workflows  Creating new package triggers the contract & package workflows

48. ITMP T-4-3-1-24A Template Version 1.2 48 Post-Trade Workflows Triggering Each Business Object type has its dedicated workflow

49. ITMP T-4-3-1-24A Template Version 1.2 49 Post-Trade Workflows Triggering MxML Format  Business Objects are represented in MxML format inside the workflow  Murex proprietary XML format used to publish and to transfer the data between MX.3 and Post trade workflows  MxML file depends on object and event represented  node is added whenever MxML file is sent to exchange workflow

50. ITMP T-4-3-1-24A Template Version 1.2 50 Post-Trade Workflows Configurations - Status Status  One building block of the workflows Status assignment  Field Overwrite functionality at node level Workflows are action driven, not status driven

51. ITMP T-4-3-1-24A Template Version 1.2 51 Post-Trade Workflows Configurations - Status Status inherited at node level can be:  Static : Same status for all objects going through this node  Dynamic : A formula returns the correct status depends on object characteristics

52. ITMP T-4-3-1-24A Template Version 1.2 52 Post-Trade Workflows Configurations - Status Specific configuration for Contract  Trade acceptance can be based on Contract status when PL control pre-selection mode is set to Status  Only contracts in status “ candidate for official P&L” are selected will be part of official P&L of the bank for the closing entities. Specific configuration for Settlements  Settlement Validation Status Cancel Strategy Accounting configurations Nostro balance configurations Specific rights

53. ITMP T-4-3-1-24A Template Version 1.2 53 Post-Trade Workflows Configurations - Status Specific configuration for SI Validation Status  Is the SI in such a status eligible or not?

54. ITMP T-4-3-1-24A Template Version 1.2 54 Post-Trade Workflows Configurations – STP Rights Proper access rights by status (STP Rights) must be granted to each group of users in SUPERVISOR session. STP Rights Each group has specific access /modification rights to each class of object and event depends on status  Deal entry – Deal Modification  Event entry - Event Modification  SI entry – SI Modification

55. ITMP T-4-3-1-24A Template Version 1.2 55 Post-Trade Workflows Configurations – STP Rights

56. ITMP T-4-3-1-24A Template Version 1.2 56 Post-Trade Workflows Configurations – Amendment Agent Possibility to identify the underlying event and handle the flow MxML Exchange Spaces – Specific to business Object being handled ObjectSpace NameSpecific Fields ContractSTPFC_ENTRY_TABLEFC_ID,FC_ORIGIN_ID DocumentSTPFC_ENTRY_TABLEDOC_ID, DOC_PARENT_ID EventSTPEVT_ENTRY_TABLEEVENT_ID DeliverableSTPDLV_ENTRY_TABLE / STPSTL_ENTRY_SPACE DLV_ID

57. ITMP T-4-3-1-24A Template Version 1.2 57 Post-Trade Workflows Configurations – Amendment Agent Spaces Main Fields – Common to all Spaces  REFERENCE ID  STATUS_TAKEN  XMLFLOW_STATUS  FC_ID  FC_PACKAGE_ID  FC_POERFOLIO  STP_LAST_VALIDATOR  STP_STATUS1,2,3,4  STP_STATUS_VALIDATION_LEVEL Amendment agent service should be up and running to publish the object in to specific workflow

58. ITMP T-4-3-1-24A Template Version 1.2 58 Post-Trade Workflows Configurations – OSP Rights Access rights are granted by manual task

59. ITMP T-4-3-1-24A Template Version 1.2 59 Post-Trade Workflows Configurations – Workflow tasks TaskDescriptionAuto / Manual RouterRouting objects towards different pathsA Timeout Trigger Holding objects during a user defined number of seconds A Flow TriggerUpdating an object located in another workflow with possibility to push it to a specific task A Date TriggerHolding objects until a certain date & time A Document Sender Sending xml representation of the object to the exchange workflow A Answer RouterManaging the potential answer from the exchange workflow A Answer Sender Returning the answer to the underlying workflow A Common tasks can be used Check CycleChecking a set of criteria and routes to Check Exception if needed A Check Exception Manual Validation from Check CycleM Authorisation Queue Manual Validation M

60. ITMP T-4-3-1-24A Template Version 1.2 60 Post-Trade Workflows Configurations – Workflow Tasks Manual Validation Task  Possible actions for example we have it Phase 1- Contract Validation in Python Accept Route it to exception Validation Cycle  Check missing SI  Check CI  Check back dated trade  Check MISC counterpart

61. ITMP T-4-3-1-24A Template Version 1.2 61 Post-Trade Workflows Configurations – Workflow Example Validation Cycle  Exception Found  Entry sent TO_VALIDATE  If Exception manually accepted contract will be send back to validation cycle task and check other exception defined  No More exception found, entry will be sent to VALIDATED

62. ITMP T-4-3-1-24A Template Version 1.2 62 Post-Trade Workflows Configurations – Workflow Example Timeout Trigger  Objects remains specified in the status Date Trigger  Deliverables can be further processed only X dates before the release date  Deliverables messages can be sent only X minutes before the cut-off time. Flow Trigger  Deliverables are routed in to the waiting queue in the workflow  Deliverables will be released from waiting queue from initial phase to validation phase once the contract is confirmed and status is CON/CFM Doc Sender  Contract MxML document will be sent to document workflow in order to produce contract confirmation  Amendment agent of the workflow is impacted

63. ITMP T-4-3-1-24A Template Version 1.2 63 Post-Trade Workflows Configurations – Workflow Example Current Python Contract workflow  Workflow will need to enhance for main instance to replicate the process we have it in 2.11

64. ITMP T-4-3-1-24A Template Version 1.2 64 Interaction between Workflows Real and wide communication between workflows An event occurring in one specific workflow can have an impact on other workflows  Validation of a contract : Contract workflow triggers the exchange workflow in order to create confirmation once contract has reached confirmation initiation phase  Amendment of contract : Contract is re inserted in to contract workflow and the exchanges belongs to this contract are re-injected in exchange workflow ( Automatic and non customizable)  Processing of payments : Possibility to force the payments to wait at a specific phase in settlement workflow and automatically release them from the contract workflow once contract has reached confirmed status using Mx Trigger task

65. ITMP T-4-3-1-24A Template Version 1.2 65 Interaction between Workflows

66. ITMP T-4-3-1-24A Template Version 1.2 66 Questions ?

67. ITMP T-4-3-1-24A Template Version 1.2 67 Thank You!