RISK MONITOR. Real time view on all your trading activity. Object+ Autumn 2014

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1 RISK MONITOR Real time view on all your trading activity Autumn 2014 Object+

2 Table of Contents Introduction... 2 Challenge... 2 Solution... 2 Benefits & Functionalities... 3 Architecture... 8 Contact

3 Introduction The Object + Risk Monitor assists financial institutions & risk managers by providing real time trading positions as well as their clients profit & loss. These positions, P&L details and theoretical values, including the Greeks, are calculated on the basis of trade and price information, obtained directly from exchanges and clearing houses in real time. The Object + Risk Monitor covers most of the European and US markets. The Object + Risk Monitor client is ISV independent and is available for Windows PCs, iphone, ipad and other ios devices and on all platforms via a web browser. Challenge A common problem risk managers experience is that they do not have a risk monitoring application which is independent of their in-house or third party trading systems. The lack of an ISV independent risk application which gives insight in the open trading positions, P&L details and risk figures on a consolidated basis leads to extra work and extra risk. Also a global alert mechanism for all their traders who exceed/violate their limits must be available to limit these risks. Solution The Object + Risk Monitor. The Object + Risk Monitor is a dynamic and intelligent application which empowers global risk managers to take business critical decisions. They can also provide their customers and traders with a view of their trading positions and P&L irrespective of their location and time zone. Only 2 clicks away from trader overview Overview per exchange Live status indicators Easy access to historical data Risk Monitor 2

4 Benefits & Functionalities ISV agnostic An overview of the risk figures of the accumulated positions irrespective of your ISVs by using direct exchange feeds. Real Time P&L Information Overview Overview of the clients accounts positions in one view 2. Overall positions of the clients per exchange 3. Live status of data sources where the green, yellow or red bullet is the connectivity status indicator. 4. Access to clients historical trading positions in a single consolidated database. A Tree Account Structure The Risk Monitor application displays the positions of either individual accounts or of combined accounts. 3

5 Users can view & distinguish the risk details on all account levels. Two Steps to View the Risk Details In two steps, users have access to view the risk details of their traders. One click to view accounts. One click to view a trader. 4

6 Alternative Pricing Methods Spread Pricing: last traded spread prices are used rather than last traded outrights. This eliminates unrealistic P&L swings typically seen when futures positions are primarily spreads. Proxy Pricing: use another contract as proxy to update P&L. This eliminates P&L swings when offsetting, fungible positions are held. Real Time Theoretical Option Prices The theoretical value of the option positions are calculated using various option models for different product groups (e.g. agriculture, energy, indices, FX, interest rates, metals, weather and spread options). The Greeks, Г, Θ, ν and ρ are calculated. Real Time Stress Testing A capability with multiple and flexible stress scenarios, to analyze the impact of sudden price changes on a client s risk portfolio. The stress scenarios can be defined in three separate stress levels, in percentage or absolute price moves. Hence the Risk Monitor allows for three steps Down and three steps Up or 6 Down or 6 Up that contain the P&L figures of the corresponding scenarios. Multiple Stress scenarios, each scenario contains one or more Product Sets, and each Product Set contains a user defined group of products. Three steps up and down can be defined per product set. 5

7 Setting Up Post-Trade Limits Post trade limits can be defined per account, related or group and contain maximum loss, maximum position, maximum margin and several Net Liq/P&L ratios. Violating post trade limits are reported by mail or alarm to the risk manager. Customized reports of limit breaches can also be created. Automatic Position Rollover for Evening Trade Sessions This feature allows users to monitor positions and P&L in real time, 24 hours a day, with seamless transition from one trading day to the next. Working orders: Currently for CME traded outright products and future spreads, working bids and offers can be displayed. This gives the Risk Manager more insight in the activities of a trader or groups of traders. 6

8 Limit Violation and Alerts Overview With one view risk managers can monitor the traders who exceed their limits and the system will immediately display limit violations as shown below. Exceeded limits can trigger the Limit Violation Overview to pop-up (including sound) or trigger an to be sent. RTD Export to Excel Real Time Data Export to Excel enables users to perform their own calculations, based on real time output of the Risk Monitor, using personalized worksheets. Exportable Reports in PDF or XLS Formats Users can export their risk details to a PDF or Excel format. 7

9 Architecture As shown below, The Object + Risk Monitor client is connected to the Object + Risk Monitor Server to display up-to-date trading positions to global risk managers. The Risk Monitor Server processes the data it receives from the data vendors and Exchange feeds, and calculates the numbers relevant for Risk Management. The Risk Monitor clients (Windows client, iphone, ipad and Web applications) display these risk details to the users. Exchange and Clearing House Feeds Object + RTD Server Object + Risk Monitor Server Object + Option Price Module Secure Network Connections (SSL) Excel Windows Web Browsers iphone ipad 8

10 Contact Amsterdam Main Office Object+ Max Euweplein MB Amsterdam The Netherlands Martin van Aalderen +31 (0) Frankfurt Office Object+ Hahnstraße Frankfurt Germany Martin van Aalderen +49 (0) Chicago Office Object+ 141 W. Jackson Blvd, Suite 1740 Chicago, IL USA Martin van Aalderen +1 (312) (mobile) +1 (312) (office) 9