midQORT

Automated middle-office

2

Principal Functions

� 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

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Types of operations

� 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

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Trading venues and instruments

� 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

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Account Structure

� 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)

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Position in QORT

The set of indicators processed online and broken down by:

� subaccounts (by ownership)

� physical accounts (by location)

� assets (by types)

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Position in QORT (parameters)

� Balance

� Purchase cost evaluation

� REPO obligations

� Forward obligations

� Today’s obligations

� Collateral

� Variation margin

� Blocked

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Operations that change positions

� Trades – change planned results

� Trade stages – change balances and planned REPO performance

� Adjustments – change actual results

� Redemptions – change balances of two positions

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Position management

� 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)

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Risk management

� 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

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Internal Limits

� Application area - subaccounts or analytical accounts

� Limit currency, used for operation and position evaluation

� Various types of limits

� Setting group limits

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Internal Limits (types)

� 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

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Document Flow

� Types of agreements:

� trade orders

� orders to traders

� tickets

� Actions:

� role system administration

� generation/ examination / signing of documents

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Reports

� 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

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Financial result

� 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)

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Integration with QUIK

� 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)

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Integration with IDB

� 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

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Services

� Reconciliation with exchangees, clearing companies

� Schedule service

� Marking for data that cannot be changed

� Automated analysis of the statistics data

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Security

� 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

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Performance

� Processed transactions: 10 000 per minute

� Online margin indicator calculation – 10 000 accounts

� Simultaneous users: up to 100