automated securities accounting system

STRATEGIC SOFTWARE SERVICES


Securities Accounting System – Technology Overview

Norwood, MANovember 2016



SRI Derviates Service Capabilities



OTC Derivative Service ComponentsExternal View

Notification

Customer information

SwapswireDeriv / ServOtherFpML

Direct feeds (FpML)

Cash flowsPayments

Confirmation

Collateral

Reconciliation

PricingAgents

Accounting Agents

Custodians

Counterparties

Customer Trade Systems

DerivativesService

ProcessingEntity

OTC ServiceVendors



OTC Hub:Full Post-Execution Servicing Capabilities

1) Transaction Management 5) ReconciliationEnd-to-end automation throughout the transaction process, including trade capture, confirmation, notification, settlement, and fail management

Reconciliation between the parties and utilities involved in an OTC derivative trade, ensuring accurate position and trade information

2) Cash Management 6) Corporate Action SupportEfficient management of cash flow, payment, notification posting & auditing processes, including pre-settlement day cash flow matching with counterparties

Monitoring and management of corporate actions that impact credit and equity derivatives to ensure client positions are current

3) Valuation and model pricing 7) Contract and document managementSupport of several valuation and pricing sources including third party vendors and an internal Fidelity valuation model for validation

Electronic storage of all documents, allowing for easy retrieval of contracts, trade information, hard copy confirmations, and other documentation related to a trade

4) Collateral management 8) Information deliveryRobust suite of automated services for the management of collateral and for transparency into counterparty exposure

Multiple methods of information delivery, reporting and performance updates for each core service



Core OTC Services

DTCC, Swaps wire

Capture FpML 4.2

Notification

Fail Management

Settlement

Counter-party Matching

Projection

Accrual

Payment control

Position Trade Details

Price Acquisition

Price Calculation

Position Valuation

OTC position interface to collateral

Collateral

Collateral status in OTC Warehouse

Claim Management

Trade Tickets

OTC Confirms

8) Information Delivery (reporting )

Index and pool constituents

The following pages detail each core service individually…

Price Validation

DDA Matching Valuation

Cash

Trade Documents

Corporate Action Event Notification

Corporate Action Entitlement

1) TransactionManagement

2) CashManagement

3) Valuation & Model Pricing

4) CollateralManagement

5) Reconciliation

6) CorporateAction Support

7) Contract & Document Mgt



Common Service RequirementsReferenceUnique Client IdentifierTerm Sheet Document ManagementMarket Data

Calendars Yield Curve Credit Information Inflation Currency Futures Market Prices

Model Price Calculation

CustodySettlement ControlReconcilliation

Deal terms Positions Reset payments

Cash Flow ProjectionOTC Control Reporting

AccountingAsset classificationBasic trade informationSimple positionActual cash movementsCurrent accrualCurrent fee amortizationCurrent valuation



SRI Derivatives Expertise ABS CDS ABX CDS Amortizing swap Asset swap Balance guarantee swap Bank loan CDS Bank loan TRS Cancelable IRS Caps CDO CDX CDX CDX Tranche CMBX CDS CMO CDS Commodity swap Contract for difference Corporate CDS Cross currency swap

Emerging market CDS Equity TRS Floors Floors Foreign Corp. CDS Forward rate agreement FX swaps Government Agency CDS Inflation protection swap ITRAXX CDS NDF swap NDF zero coupon swap Overnight swaps Swaption CDS Swaption IRS (call/put) Vanilla IRS Zero coupon swap


STRATEGIC SOFTWARE SERVICESOTC Derivatives Asset Service PlatformFlexible client integration Offering will be available as a full

suite of services or as components Conversion will be supported from

multiple client data formats into FpML platform

Multiple formats & methods of information delivery will be supported

Standards Based Architecture Platform will use FpML for the capture

and storage of information, enabling platform flexibility

Links to Industry Utilities Platform will link to leading utilities

(e.g. SwapsWire, Deriv/SERV, SwapClear)

Multiple vendors will be used as sources for market data

Adaptable data

Client

Customer Interface

Market Data Vendors

TIMS

Counterparties

Accounting Agents

Custodians

OTC Utilities & Vendors

SWIFT

Email



OTC Trade Management

Trade capture

Fail ManagementTrade storage & transformation to

FpML

Position update

Custodian

Counter-party

Trade Order Management

System

OTC Warehouse

SWIFT

Confirmation Status

Settlement

Trade validation

Notification

SWIFT

DTCC Swaps wire

Email Counter-party and customer

Document Management

Trade Documents



Cash Management

Confirm Cash Flows Before Settlement

Date

Client

Exception Dashboard

Payment Control

Counter-parties

DTCC Pay / Rec

Automated solution emphasizes timely, efficient and accurate payment generation Manual payments are supported in Payment Control Center Cash projection, pre-settlement matching, cash payment control, post-settlement DDA matching

Calculate Cash Payments

Payments can be confirmed with counter parties

Track Expected Cash Flows by Calendar

Clients can access

payment information

Payment amounts are summarized by Payment date, Custodian, Counter-partyPayment detail is carried at the lot level

Accounting AgentsNotification



Price Management and Valuation

Third Party Market Data Vendors

Calculate valuations internally

Source external

valuations

Price matching

Position valuation based on fund source

election

Notification of discrepancies

Trade data details

Internal real-time model can check

external and client valuations

Post unrealized gain/loss to portfolio accounting



Collateral Management Interface

Position calculation and valuation ASOF A valuation date Interface

OTC Positions

Collateral Calculations

Payment

Fail Management

Custodians

Client

Counter-parties

Contract Terms



OTC Matching / Reconciliation

Industry Utilities

Broker / Dealer

Position, Cash, Price data from any

two external sources can be

match to OTC hub records

Client

OTCRecords

Custodian

Source Information

Exception Notification

Exception Processing

No

match?

Data Warehouse

Yes



OTC Corporate Action Support

Monitor corporate actions

Index

Constituents

OTC Warehouse

Cash Management Entitlement

Corporate Action Data

Notify Client Client

Valuation



OTC Document Management

Electronic versions of hard-copy documents are stored in the repository

Contract Amendments

Hard-copy confirmation(electronic)

Master Contract

Trade Record

Collateral Documents Trade Ticket

Contract Amendments

TradeRepository stores all

trade related information and allows

user to search by

trade

Document Repository



Information Delivery

Client

Data Marts

OTC Warehouse

Website Electronic ReportsMCH Reports Notifications

and Alerts



Network Architecture

Oracle

ReportEngine

ValuationEngine

Web ServerDesktop

HTTPS

TCP/IP Web Services

OCI



Internet ExplorerExt-JS

GWT

Flex

HTTP

Apache HTTP server

UI

Middle Tier

IBM MQM

Amortization

Position

Global Processing

BPM Engine

Accruals

Command Engine

Trade Directives

Fax Engine

Ledger MQ Push

Scheduler Client interface

Hub App

Web services

MCH Load Manager

OTC RP

Evt App

Recon Engine

Pas modules

Vendor Valuation Hub Scheduler

Hibernate JDBC manager SQL API

Database Oracle 11GStored procedures Message Queues Triggers

Report Engine

FTP/SFTP

NDM

Web Service



International Swaps and Derivatives AssociationFinancial Products Markup Language (FpML)

OTC Product Types OTC Product Types Message types FpML 4.2> IRD Interest Rate

– FRA– Swap

– Asset– Interest rate– Inflation

– Bullet payment– Cap floor– Swaption

> FX Foreign Exchange– FX single leg– FX swap– FX simple option– FX average rate option– FX barrier option– FX digital option– Term deposit

> CD Credit Default– CD index– CD basket

> EQD Equity Option– Equity option– Broker equity option

> EQS Equity Swap– Variance swap– Total return swap

> EQF Equity Forward> Strategy

> Data Document> Request for Quote (2)> Trade Affirmation (2)> Trade Confirmation (12)> Trade Matching (8)> Trade amendment (7)> Trade Novation (13)> Trade Termination (7)> Trade increase (4)> Credit (1)> Allocation (3)> Cash flow matching (3)

FpML 4.2 data dictionary9000 data elements



FPML Integration with OTC Services



User Interface CommunicationsApache Flex Oracle AQ -> HTTPGoogle Web Toolkit WebSphere MQ

Sterling Connect:DirectBack End FTP/SFTP/CURL

QuantLib Exadata 2015Oracle Data Guard

Back End - JavaJava 1.8 Source ControlJava 1.5 within Oracle SubversionjFin ClearCaseApache tools

Software



Security Architecture



Tools - Database Layer



Tools- Application Server



Tools- Web Server



Performance and Disaster Recovery



Reporting Architecture



Search Architecture