Delta Flow - Product Overview. Delta Funding. Page 1 of 16

Transcription

1 Delta Flow - Product Overview Delta Funding Page 1 of 16

2 Delta Funding from First Derivatives plc is a next-generation Funding and Security Lending platform for the Institutional Front-Office Delta Funding captures positional activity from the Fixed Income front-office and enables users to fund the long positions and cover the shorts. It enables users to slice and dice the Inventory and Financing positional activity. It enables them to book and manage their Financing trades, and to feed those trades to their back-office settlement system. It also enables them to manage the Collateral Exposures, Funding and Cash activity, and Interest Rate Risk, in real-time, and in an integrated manner. In an ever evolving regulatory environment, where flexibility and transparency are paramount, Delta Funding harnesses the power and flexibility of next-generation technology patterns to enable you to perform to your highest level, within a budget constrained environment. Delta Funding s User Experience is unmatched for innovativeness and simplicity. It looks and feels like a multitab Browser, has an integrated search engine with suggestions, and tab tear-off capability for displaying views across multiple monitors concurrently. We hope to explain to you why the combination of the technology, the product, the world class domain knowledge, and the pedigree of our company makes First Derivatives your ideal technology and domain partner in providing the best service to your clients and the greatest return to your shareholders. Our philosophy during the creation and future development of Delta Funding is underpinned by the following key principles: We are customer focused we will partner with you to react to the changing environment in which you operate We exploit a next-generation technology stack, including Event Sourcing and NoSQL DB, as a means of delivering product agnostic capabilities within a Big Data context Our rigorous process, including the adoption of Test Driven Development, and our extensive suite of automation tests, enables us to deliver and maintain a high level of solution quality Benefits sharing we will strive to make any product enhancement, new features, and process improvements available to all of our customers Our open ReSTful APIs, & Projections, ease integration with 3rd party systems, regardless of the target technologies Delta Funding reflects the culmination of several decades of expertise in designing, implementing and running frontoffice Financing Trading and Securities Lending systems for the world s leading banks and financial institutions. Full Funding Lifecycle Innovative User Experience Data Transformation & Mapping Tiny Footprint Complete Audit Trails Page 2 of 16

3 Delta Funding - Next Generation Solution A mission-critical, real-time Financing Trading and Securities Lending solution needs to capture inventory positions from across the front-office and provide a consolidated view of the associated funding and short covering requirements. It needs to provide exposure, cash management and risk information, in real-time. It needs to facilitate data aggregation and transformation, an extensive variety of querying possibilities, and regulatory enhancements and transparency. It needs to provide bullet-proof audit trails, the ability to determine the system state from any point in time, and needs to function within a budget constrained environment. It ultimately needs to facilitate migration towards a mobile world. The selection of an appropriate architectural framework to fulfil this set of requirements was crucial, and not just in terms of the components or the use of object oriented programming. It needed to incorporate patterns that would be utilised to facilitate maintainability, extensibility, transparency, automation testing, replay-ability, business intelligence, collateral optimisation, and real-time querying. This led to the design and adoption of a next generation technology stack in Delta Funding that incorporated the best of.net and Open Source patterns.. Users Financing Traders, Operations, Prime Brokers, Compliance, Risk, and Audit officers Facilitates Real-time Trade & Position Management, Funding & Cash Management Real-time P&L, Exposures & Margin, IR Risk, and Reporting Trade Types Classic Repo/Reverse Sec Lending Funding / Tri-Party Inter-Company / Swing Buy-Sell Back/ Sell-Buy Back Term Structures: Evergreen, Term, Open Trade Actions Term / Tag Rate Reset Amend Re-Price Sub & Assign Interest Payment Roll Position Management Long / Short / Net / Category Positions Special Lists Settlement Ladders Business Rules / Monitoring Collateral Multi Product / Currency Funding / Cash Management Collateral Exposure Interest Rate Risk Page 3 of 16

4 Why Delta Funding Rapid Access to Your Required Data Our User Experience is intuitive and simple. It looks and feels like a browser, has an integrated search engine with suggestions, and tear-off tab capability. This allows you to rapidly hone your data sets, and to configure multiple real-time screens. You can generate custom views on the fly by applying filters to our canned views. Our utilisation of Event Sourcing provides bullet-proof audit trails and historical tracing. Our facility to embed views and properties allows you to efficiently book and manage trades. Our client is ready for the desktop, with the hooks in place for our evolving web and mobile strategy. Efficient Trade Entry Our separation of concerns, our search engine, our ability to embed views, properties, settlement ladders, and our use of hot keys, facilitate the efficient entry of sophisticated trades such as basket, multi-trade, and securities lending trades. They also facilitate the generation of proposed flip trades, using our sandboxing capability. We support the booking of the following trade types: Cash Buy / Sell, Classic Repo / Reverse, Buy Sell Back / Sell Buy Back, Bonds Borrow/Pledge, Tri-Party& Funding. Trades can be booked as Term, Open, or Evergreen. We provide frameworks for the booking and management of multi-leg and connected trades, such as Bonds- Borrow/Pledge and Basket trades. Page 4 of 16

5 Our architecture is event-driven and has been optimised to Flexibility, Performance & Scalability perform highly over the Internet and LAN. All heavy lifting is done server side, and the footprint is tiny. Command & Query Responsibility Segregation (CQRS) facilitates the scaling of reads versus writes, performance, ease of integration, and testability. We can efficiently generate custom data sets via our powerful projections host. This is facilitated via flexible data aggregation, transformation and mapping. A projection of events populates our NoSQL database, which facilitates our stream based view management system. Projections can also be to a down-stream system, a reporting facility, a data warehouse. Our Open ReSTful APIs facilitate ease of integration, regardless of the source/target technology. We use automation, simple schemas, NoSQL document store and virtualisation. These result in low touch and facilitate a reduced totalcost-of-ownership. We can efficiently extend our business logic to facilitate regulatory change. This is facilitated through our use of Domain Driven Design, our separation of concerns and projections host. We provide Full, Net, Long, Short, Net Long, and Net Short positions views, with settlement ladders, out of the box. Our detailed properties panel can be toggled on and off using hot keys. Efficient Position Management We can import and display your inventory positions, or we can import your inventory trades and generate the inventory positions from those, using our integrated proprietary positions engine. To view the positional details simply double clicking on the positional line item. This displays inventory and finance information. In addition to the extensive filtering capabilities to allow you to hone in on the required position set, logic filters are made available. You can view short & long positions driven off of a specified date. To view positions from 2 days forward, simply type +2d in the location bar of the position view, and hit enter. Our positions engine will regenerate your positions from 2 days forward. To filter short positions for Open Repo activity, simply specify Open Repos, and the logic filter is applied. The system facilitates the development of other logic filters as business needs require. We provide real-time views for Counterparty Exposure & Monitor Collateral & Counterparties Margin, Funding & Cash Management, and Interest Rate Risk. Each of these can be navigated using filters and our search engine. We use buyer s margin, and display the required and actual margin numbers and percentages on the Exposure view Our rigorous process, including the use of Test Driven Development, and our extensive suite of automation tests, enables us to deliver and maintain a high level of quality. Quality and Expertise Our team has world class Financing Trading domain knowledge and extensive experience in developing sophisticated institutional trading solutions using next-generation technologies. Page 5 of 16

6 Position Management Delta Funding has the ability to capture inventory positions from front-office trading systems, and to display those positions across a variety of positional views. As an alternative approach, it also has the ability to capture bond trades from front-office trading systems and to generate the associated inventory positions from those, using its integrated proprietary positions engine, and to display those positions across its various positional views. And it uses Open ReSTful APIs to facilitate ease of integration with that front-office infrastructure, regardless of their underlying technologies. Additionally, Delta Funding incorporates settlement ladders into its positional grids and has the ability to cater for positions regardless of the settlement dates of the underlying trades. Delta Funding provides Full, Net, Long, Short, Net Long, and Net Short positions views, with settlement ladders, out of the box. It also allows you to drive/re-generate short and long positions using a specified date on the fly a powerful feature. You can apply filters to the canned views to hone in on your required positional information, facilitating focused position management capability. Whether monitoring overall positions, net level positions, funding long positions or covering shorts, these views with filters facilitate the efficient management of your positions. You can efficiently book trades from your positional views by simply clicking on the specific trade type button on top of the grid. This results in a ticket entry being displayed, with specific fields prepopulated. Net Long Positions: Aggregate across books, Navigate across dates Our detailed properties panel can be toggled on and off using hot keys, for a supplementary level of detail. To view positions from 2 days forward, simply type +2d in the location bar, and hit enter. Our positions engine will regenerate your positions from 2 days forward, and highlight the driver date in yellow on the settlement ladder. Additionally if you needed to filter the short positions for Open Repo activity, simply specify Open Repos, and the logic filter is applied. You can view your positional details by simply double clicking on the positional line item. This results in the display of all of the underlying activity, and logically separated by Inventory and Financing. With its multi-tab, and tab tear-off, capability, Delta Funding facilitates the display of multiple real-time positional views concurrently. Page 6 of 16

7 Trade Management and Capture With traditional Funding system front-ends it can be challenging to hone in on a focused set of trade activity and operate from there. With Delta Funding the combination of the Trades views, associated filters, search engine with suggestions, and sorting capability, provides for simplicity and clarity when attempting to hone in and focus on your required trade activity. The highlighting of a trade at the summary level results in buttons being enabled to facilitate actions on that trade. Such actions could include Term, Re-price, Rate-Reset, for instance. The double clicking on a trade at the summary row level results in the trade details being displayed. For clarity, the display is composed of multiple tabs which logically separate trade economics from rate history, from interest payment history, from trade audit history. Trades: Search Engine with Suggestions. Delta Funding supports the booking of the following trade types today: Cash Buy / Sell, Classic Repo / Reverse, Buy Sell Back / Sell Buy Back, Bonds Borrow Pledge, Tri-Party. Trades can be booked with a variety of term structures such as Term, Open, and Evergreen. Our separation of concerns, our search engine, our ability to embed views, properties, and settlement ladders, and our use of hot keys, facilitate the efficient entry of sophisticated trades such as basket, multi-trade, and securities lending trades. They also facilitate the generation of proposed flip trades, for flattening positions across portfolios, using our sandboxing capability. Page 7 of 16

8 Ticket entry forms are provided for all of the trade types. To facilitate ease of entry the fields are defaulted when booking a trade against a selected position. Additionally each field incorporates an efficient selection mechanism that supports auto-completion & suggestions based on the entered text. Search engine capabilities are included, whereby a user can specify a portfolio using short name or account number, a date using +1w, +1m for example. We provide frameworks for the booking and management of multi-leg and connected trades, such as Bonds Borrow Pledge, Multi & Flip trades You can quickly select multiple positions by using Ctrl+Ins to select each entire position or Ctrl+B to specify an amount. These positions are collected in a Basket see indicator at the top of the client application. From here the user can decide on how to utilise the selected collateral, and can book a multi trade by simply entering the counterparty and rate, which are then applied to each of the collateral pieces. Page 8 of 16

9 Funding, Exposure, Risk We provide real-time views for Counterparty Exposure & Margin, Funding & Cash Management, and Interest Rate Risk. In keeping with our user experience, each of these can be navigated using filters and our search engine. Credit Exposure Valuations calculated using real-time market data Displays the actual versus the required margin at each level in both percentages and amounts Drilldown to counterparty, trade type, portfolio, and to the underlying individual trades A variety of aggregations can be supported to facilitate business needs Extensive filtering support to hone in on specify classes of activity or by counterparty Buyer s Margin is used (Market Value/Principal) as this is agnostic in terms of trade direction Haircut or Advance Rate can also be supported Accounts for Repo & Accrued interest valuations based on business date Page 9 of 16

10 Funding Positions Manage the funding requirements across asset classes Funding & activity totals by product category and sub-category Incorporates projected cash values based on available information Maintained in real-time as activity and market data is updated on the system Accounts for Tri-party and Funding activity where the assignment is outstanding Interest Rate Risk Incorporates NPV, discount factors, Value at Risk and unrealised P&L Drilldown to product category, duration bucket, and date levels, and to the underlying individual trades Supports a variety of curve types to facilitate the marking of activity Calculates break-even, weighted average repo/reverse & funding rates Page 10 of 16

11 Architecture and Approach The architectural framework fulfils a variety of requirements: Utilises NoSQL/Big Data to empower users to hone in on the required data-set, reinventing the User Experience Produces all data views server side to facilitate scalability and extensibility Data views can be consumed on the client app, mobile, data warehouse, web portal or reporting facility Facilitates ease of integration with existing systems, for the receipt and delivery of data Facilitates the efficient build out of additional trading domains, by leveraging the same underlying frameworks Ensures bullet proof audit trails, and eliminates loss of information & Object-relational Mapping concerns Maintains a clear separation of concerns between domains, persistence, business objects and presentation Embraces automation for testing purposes across unit, functional and system testing Reduces the footprint, licensing & resource requirements, and ultimately the total cost of ownership To facilitate those requirements the following patterns, technologies and architectures are utilised: CQRS, the separation of read and write concerns enable scalability, performance and extensibility Domain Driven Design defines the commands and related events on a domain basis Event Sourcing, ensures bullet-proof auditing & tracing, and no loss of information Projections framework enables mapping to any required data type or sink In-memory NoSQL Document Store facilitates Search Engine and Big Data functions Client-Server Communication, utilising view deltas over WebSockets, is particularly efficient OPEN ReSTful APIs, and the use of JSON, ease integration concerns and facilitate powerful data usage C# &.NET technologies with their rich development environment and software eco-systems Page 11 of 16

12 Where Intuition is Required Our intuitive User Experience, including search engine with suggestions, will hone your required data sets with simplicity. You can generate custom views on the fly by applying filters to our canned views. Our client is ready for the desktop, and the hooks are in place for our upcoming web and mobile strategy. Our system is relatively easy to deploy and upgrade, and its footprint is tiny. We can persist our Event Store to a number of existing repositories (e.g. Oracle, SQL Server, SQL Azure, MySQL, MongoDB), potentially reducing the need for additional dedicated infrastructure. Where Budget Compression is a Reality Several instances of our platform can be deployed simultaneously on a single physical virtualised server. This facilitates flexible strategies for sell-side, prime brokerage, and buy-side. We use automation, simple schemas, NoSQL document store, and virtualisation. This results in low touch and facilitates a reduced total-cost-of-ownership. Where Regulation is Evolving Event Sourcing (ES), with no object-relational impedance mismatch, provides bullet-proof auditing and historical tracing. The underlying framework has been designed to facilitate the replaying of events to any point in time, which facilitates research and business intelligence. Additionally this will facilitate the utilisation of the data for other use cases in the future. Events can be streamed to additional instances of the platform elsewhere, for replication/bcp purposes. We can efficiently generate custom data sets via our powerful projections host. This is facilitated via flexible data aggregation, transformation and mapping. We can efficiently extend our business logic to facilitate regulatory change. This is facilitated through our use of Domain Driven Design, our separation of concerns, and projections host. Our architecture is event-driven, and has been optimised to perform highly over the Internet and LAN. CQRS facilitates a separation of concerns, and a fully encapsulated domain that only exposes behaviour. Where Scalability & Performance are Essential It also facilitates scaling of your reads from your writes, performance, ease of integration, and testability. Event Sourcing, which records every state change in chronological order, facilitates performance, scalability, and testability. Our Projections Host facilitates the generation of highly performant and parallel projections to a variety of targets in a variety of forms. The internal NoSQL document store leverages the Projections Host today, and this framework can easily be extended to support a reporting facility, a data warehouse, and so on. Page 12 of 16

13 Where Integration is a Fundamental Concern Delta Funding will typically need to be integrated with a number of additional systems and facilities. We use messaging, CQRS, Event Sourcing and Open REST APIs to facilitate ease of integration. Delta Funding s client-server communication is over WebSockets. This provides secure and real event-driven performant delivery. In traditional RDBMS based designs one model is typically used for both updating and querying data. Command & Query Responsibility Segregation (CQRS) Event Sourcing (ES) In contrast to that, CQRS essentially results in separate models for updating data and for querying data. This is based on the realisation that each side has separate concerns and requirements. In the architecture diagram above, the left hand side represents the data update and Command concerns, and the right hand side represents the data read and Query concerns. Query / Read Models Designed for Specific Scenarios and for High Speed A Projection is concerned with deriving the current state from a stream of Domain Events. We can project to any structural representation that is optimized for specific use cases. Projections are very parallel, facilitating massive scalability. They are easily re-created by replaying domain events, thereby facilitating simplification of disaster recovery processes. Because the Command side does not need to concern itself with the Query side, there are no complex joins or expensive lookup operations. Information is stored in the form of Event Streams within the Event Store, where each stream represents an Aggregate (e.g. Trade ) and contains an add-only sequence of Domain Events, each representing the result of an atomic operation on that Aggregate (e.g. TradeCreated ). Once Domain Events have been written they are never changed, and are retained forever. As a result, a full log and Audit Trail of every individual change is at the foundation of the system. Event Streams facilitate ease of scalability on the Command side. Command / Update Models & Event Store are Specifically Designed for Updates The Event Store supports a variety of storage engines, facilitating a variety of deployment scenarios, most suitable to the customer s existing infrastructure landscape: Relational DB: Oracle, MS SQLServer, PostgreSQL NoSQL/Document: MongoDB, RavenDB Cloud DBs: SQL Azure, Amazon RDS Page 13 of 16

14 Other Services First Derivatives works with many of the world s leading investment banks and hedge funds, helping them achieve success in an ever changing business environment. We capitalise on our experience as a provider of technological services and also as a dedicated product supplier. First Derivatives can find the right solution for you and has the expertise to get the job done. First Derivatives has a number of specialist practices headed by subject matter experts each with between years of experience in the capital markets industry. First Derivatives provides expertise across a number of areas: Financial Services Practice: First Derivatives offers in-depth knowledge of capital markets combined with extensive technical expertise. We work with clients to gain an understanding of their individual and unique needs and offer a variety of services at competitive fees. We believe in investing in our people and endeavour to employ the brightest graduates along with proven winners from across the capital markets sector. Our Capital Markets Training Programme provides continued professional development for our consultants. Third Party Vendor Products: We have over 15 years experience of supplying implementation and support services to the world s leading financial institutions on the choice and usage of vendor applications. We are not only experts in our field, but we have an expert methodology in place to ensure that our clients get the best advice. Our Vendor Services team is dedicated to giving you the best possible service in line with your expectations and requirements. Regulatory and Compliance: First Derivatives has a unique capability and proven track record in providing consultants who can add value from day one. Each possesses deep capital markets knowledge as well as legal and technical expertise. As a result, First Derivatives is ideally placed to assist organisations in interpreting regulations and implementing the necessary changes. Our typical consultant will have a legal qualification (many are qualified lawyers), experience in searching and extracting data from multiple systems as well as the ability to categorise and interpret vast amounts of documentation. Software & Services: Delta suite is a powerful Big Data platform, offering capabilities in reference data management, market data management, CEP, algorithmic and high-frequency trading, FX trading, treasury risk management and exchange management and surveillance. First Derivatives has been instrumental in selling Kx technology to the vast majority of the world s leading financial institutions and has built a solid services business on our market leading expertise in the technology. We provide a full range of Kx services including: training, support and consulting. First Derivatives services offering can help you to achieve a number of business goals including faster speed-tomarket, accelerated by industry and technical experience while avoiding the cost and time required for internal training and skill development. FD s services provide skilled personnel to work under your direction to help you develop, maintain, manage and support your applications. Our skilled professionals can help you manage fluctuating skill needs, skills gaps and changing staffing needs to meet your aggressive project timelines. Page 14 of 16

15 First Derivatives Corporate First Derivatives plc ( FD ) is a leading provider of software solutions and consulting services to the capital markets industry. Founded in 1996, FD occupies a niche market position in terms of deep domain knowledge and technical expertise. Headquartered in Ireland, FD has a global presence with offices across EMEA, the Americas and Asia Pacific. Publically held company on London Stock Exchange (LSE FDP.L) Headquartered in Newry, Co. Down, N Ireland employees worldwide Consulting Services Multi Vendor Services Calypso, Murex, Wall Street, Summit, Opics Legal, Regulatory and Compliance Data Management Software Development Big Data and Data Science Big Data Solutions Delta Flow/Delta Flow+ Foreign Exchange Trading Delta Algo Low latency trading strategies and execution Delta Surveillance For Regulators, Exchange and Brokers Delta Data Factory Market and Reference Data Management Delta Stream High Volume data capture, analysis and distribution... powered by kdb+ and other Big Data technologies Page 15 of 16

16 Delta Suite Delta is a powerful Big Data platform, offering capabilities in reference data management, market data management, CEP, algorithmic and high-frequency trading, FX trading, treasury risk management and exchange management surveillance. Deployed in some of the world s largest banks, exchanges and hedge funds, Delta applications are designed for Volume and Velocity low-latency, high-throughput applications delivered as a hosted service or deployed locally. FD provides a range of brochures on its products and services. For more information please contact us via our website or the numbers below Contact Us New York +1 (212) Europe +44 (28) Asia-Pacific [email protected] This information is subject to change without notice and is offered for information purposes only. Page 16 of 16