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Franz Mendl

Vienna, May 10, 2011

SpreadRisk - MaConMarketconformity

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Marketconformity

“Transactions on terms not in line with market conditions are, as amatter of principle, inadmissible. The internal controlling bodies must

ensure that deals are closed in accordance with the market conditions

prevailing on the contract date.”

MaRisk

May 10, 2011 © Spread-IT GmbH Page 2

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Overview SpreadRisk MaCon

• SpreadRisk MaCon - Market Conformity

 – Objectives

• Market Conformity Plattform compliant with MaRisk

• Pricing Transparency compliant with MiFID

• Key Risk Indicators (KRI) for Opp. Risk in Treasury

• Validation Concepts

Mark-to-Market Approach

• High/Low Day

• High/Low Intervall

• Rolling Average

 – Markt-to-Model Approach

• Fair Value/NPV

•

Szenarien AnalyseMay 10, 2011 © Spread-IT GmbH Page 3

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Marketconformity Workflow

May 10, 2011 © Spread-IT GmbH Page 4

Compute Market Conformity Status

Manually Check Non-Marketconform Deals

Manually Verify Results

Store Results in Data Warehouse

Data WarehouseInterface Controller  MDS2.0

Retrieve Position Data

Capture Marke t Data

1.) Different Validation Prozess for

verious Products

2.)

Multi Client Arc hitecture for Prozess

Parameters eventually Reporting and Analysis

e.g.

EoD Workflow Report

Risk Return Report

Quaterly CEE. RR-Report

eventually

Escalation!

 [OK]

 [NOK]

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FX Option - Szenario Analyse - Example

May 10, 2011 © Spread-IT GmbH Page 5

        1 .        5

        3        5        9

        1 .

        5        3

        6        2

        1 .

        5        3        6        5

        1 .

        5        3        6

        8

        1 .

        5        3        7        1

        1 .

        5        3        7        4

        1 .

        5        3        7        7   0.0315

0.03325

0.035

0

0.0005

0.001

0.0015

0.002

0.0025

0.003

0.0035

0.004

0.0045

0.005

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SpreadRisk MaCon - Objectives

Multi Client Application

Sophisticated Controlling Tool / Workflow Management Tool

Approved Pricing Engine

Calculation Engine for derived Market Data

GUI – Dynamic Rendering Engine

Comprehensive product scope

May 10, 2011 © Spread-IT GmbH Page 6

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SpreadRisk MaCon - Objectives

Workflow Management /

complete Audit trail

System scalability

Central Repository for Data- and Process Management

Business Driven Design – Simple Roll-Out in Subsidiaries

Central- and transparent Datawarehouse

„Up to Date“ – Cuttin Edge enhancement driven by recent developments in

financial markets

May 10, 2011 © Spread-IT GmbH Page 7

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Facts & Contact

Company: Spread-IT GmbH

Managing board: Franz Mendl

Mag. Edmund Sadlo

Address:  Porzellangasse 47/2/19

1090 Wien

Austria 

E-Mail: office@spread-it.at 

Webseite:  www.spread-it.at

Contact: Franz Mendl

mendl@spread-it.at  or

+43 664 22 31 512

May 10, 2011 © Spread-IT GmbH 8

More Information is also available on our website.

www.spread-it.at