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ARQA Technologies 2011

midQORT Principal Features. ARQA Technologies 2011. Principal Applications. Estimation and control of positions Risk management relative to counterparties, clients and own position Entry and settlement of OTC transactions Financial performance estimates

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ARQA Technologies 2011

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  1. midQORTPrincipal Features ARQA Technologies 2011

  2. Principal Applications • Estimation and control of positions • Risk management relative to counterparties, clients and own position • Entry and settlement of OTC transactions • Financial performance estimates • Analytics (turnover, commissions, etc.) • Unification of data flows at the back office • Unified data storage for all operations

  3. Types of transactions • SPOT, REPO and negotiated transactions in securities, both exchange and OTC • Exchange and OTC buy/sell transactions in currency • OTC transactions of placement/raising of cash assets • Derivatives transactions (futures, options) • Exchange transactions at international venues

  4. Trading floors and financial instruments • Trading floor: a place where trading is held • Trading floor section: a trading mode adopted on a particular trading floor • Asset as a traded item: • Securities • Rights and liabilities • Ratios • Commodities • Instrument: representation of the asset in a particular trading floor section

  5. Structure of accounts • Subaccount: an elementary unit of asset accounting as per owners (client’s account section, trader’s position) • Analytic account: an arbitrary combination of subaccounts into a group • Physical account: an elementary unit of asset accounting as per location (trading or client sections of the National Settlement Depositary, current accounts with the bank) • Virtual account: a combination of physical accounts into a group

  6. Position in QORT Set of online adjustable ratios as per: • Subaccounts (relative to owners) • Physical accounts (relative to location) • Assets (relative to what it is) POSITION Physicalaccount Asset Subaccount

  7. Positionsections

  8. Operations affectingthe position • Types of operation: • Trades: modification of expected ratios • Steps: modification of balances and target figures in REPO • Adjustments: modification of actual ratios • Redemption

  9. Position maintenance • Tracing the execution of trading orders upon registration of trades • Registering exchange trade steps automatically • Registering revaluations, OTC trades and steps entered manually • Handling an operational day change

  10. Reviews and Reports • Open commitments relative to: • Assets • Venues • Counterparties • Portfolio Allocation: • Internal structure analysis • Correlation • Accounting Reports • Financial Performance

  11. Financial Performance • Valuation methods: • FIFO • LIFO • Weighed average • Recognition in books: • Payment • Delivery • Contract • Settlement of accounts

  12. ticket contract Documents Flow Types of Contract • Trade assignments • Orders to trader • Tickets Actions • Role system administration • Generation/viewing/signing the documents • Automatic numbering of contracts Risk manager Responsible for liquidity Trader

  13. EnteringaTransaction • Trader Templates • Calendars accounting • Client-to-client trade • Adjustable form of a ticket

  14. Integration • Import of data from external systems through the Temporary Data Base: • Trades • Quotations • Directories • Integration with QUIK: • Downloading of directories for the QUIK Non-Trade Order Module • Margin call broadcasting • Registration of OTC trades at MICEX

  15. Objectives ofrisk management • Monitoring of client risks and their online recognition in reporting documents • Estimation and monitoring of margins • Short position rollover • Preparation of reports for the exchange • Monitoring of broker’s position Middle-office Risk control

  16. Monitoring of own positions Open position limit: • Selecting an issuer • Selecting a counterparty • Selecting an arbitrary group of assets

  17. Service functions and Modules • Reconciliation with exchanges and clearing institutes • Backdated entry of data • System monitoring module • Role system of information access authorization and priorities • Timetable service

  18. Contacts QORT Technical Support Service: +7 (383) 219–1699,support@qort.ru Sales and Marketing Department: +7 (383) 219–1619,sales@arqa.ru arqa.ru qort.ru quik.ru

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