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A product from: Alpha Financial Software, L.L.C. PowerPoint Presentation
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A product from: Alpha Financial Software, L.L.C.

A product from: Alpha Financial Software, L.L.C.

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A product from: Alpha Financial Software, L.L.C.

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  1. A product from:Alpha Financial Software, L.L.C. Technology and Implementation Overview October 28th, 2009

  2. Agenda • Introductions • Business Coverage • TBA Mortgage Master Business Workflow • TBA Mortgage Master Integration Overview • Real-Time Trade Integration • TBA Mortgage Master Data Integration Example • TBA Mortgage Master Data Call – TBA Trade • TBA Mortgage Master Data Call – Account • TBA Mortgage Master Data Call – Broker

  3. Business Coverage Middle Office Back Office Front Office Trade Capture Trade Edits Close-Outs Roll Forwards Dollar Rolls Inventory Mgmt. Sell Optimization OMS Interface Inventory Mgmt. Sell Optimization Manual Allocation Pair-Offs Trade Link ON Processing CX Processing DK Processing Pool Substitutions ON Processing CX Processing DK Processing Pool Substitutions Accounting Systems Interface Settlement Systems Interface

  4. Company Overview • Alpha Financial Services Group, L.L.C. • Formed in 3/02 • Provides business and systems design consulting services to the investment community • Alpha Financial Software, L.L.C. • Formed Joint Venture in 2004 with the goal of providing superior fixed income investment management and trading software solutions to the buy and sell-side community • 01/07 FICC EPN Network approved vendor • 11/07 TBA Trader Mortgage Master fully supported EPN Cancel and Correct functionality • 01/08 Developed real-time integration with Macgregor XIP Order Management System • 10/08 Developed real-time integration with Linedata Longview Order Management System • 02/09 ASP Architecture deployed • 08/09 First live client

  5. ASP Architecture Application Framework – Visual Studio 2008, Framework 3.5 C# Programming Language Database Requirements – MSSQL Enterprise 2005 or 2008 Multitenancy Single Instance of the Software / Single Database - Multiple Client Support Model Real-Time and Batch Data Integration Fully Developed and Documented Data Transfer SDKs Portfolios, Brokers, Pool Security Master Setup, Inventory, Allocations, Trades and MBS Types Real-Time Error Message Alerts SDK Integration Technology and Integration Highlights

  6. FICC (EPN) Book of Record Trading System Brokers TBAMM TBA Mortgage Master Business Workflow Note Above is one configuration of business workflow for illustration purposes. Business workflow is matched to specific client configuration. Allocation Messages Allocation Messages End of Day Files TBA Trades Start of Day Files

  7. EPN Message Processing Performance • Scenario: Receipt of $10 Billion Worth of Inbound EPN Messages • Number of Messages per Test: 200 and 2000 • Number of Pools per Messages: 1 to 200 • Hardware Configuration: Single Processor / Single Engine • Results Processing Includes: Receipt of EPN Message, Validation of EPN Message, Matching EPN Message to Available TBA, Verification of Delivery Good Millions, and Allocation of EPN Message to TBA

  8. EPN Message Processing Performance

  9. EPN Message Processing Scalability Baseline processing environment one Processor (P) one Engine (E) Initial reduction in processing time after adding an additional Processor (P) and Engine (E) Subsequent reduction in processing time by adding additional Engines (E) only

  10. Trading System Client OMS -> TBAMM Integration Module Client OMS-> TBAMM Integration Module Book of Record -> TBAMM Integration Module TBAMM TBAMM Import Files TBAMM Export Files Client Book of Record > TBAMM Integration Module Book of Record > TBAMM Integration Module TBA Mortgage Master Integration Overview Note Above is a sample integration view. Multiple integration options for Account , Broker, Secruity Master, Inventory, and Trade data exists and is implemented to Client OMS’s specification. Intraday Processing End of Day Data Loads Start of Day Data Loads Trades Allocations Security Master Inventory Real-Time TBA Trades Accounts Brokers Security Master Inventory Real-Time TBA Trades

  11. Client Browser Client Middle Tier TBAMM Client ->TBAMM Integration Module TBAMM Middle Tier (WCF) Real-Time Trade Integration Example 1. Submit TBA Trade (Client ID) 2. Trigger New Trade Event (MSMQ File, Direct Call) Parameter = Client ID 3. Submit Trade Parameter = Client ID 4. Notify Client Firewall

  12. TBA Mortgage Master Data Integration

  13. TBA Mortgage Master Data Call – TBA Trade

  14. TBA Mortgage Master Data Call – Account

  15. TBA Mortgage Master Data Call – Broker