Automated Securities Accounting System

STRATEGIC SOFTWARE SERVICES
Securities Accounting System –
Technology Overview
Norwood, MA
November 2016

SRI Derviates Service Capabilities

OTC Derivative Service Components
External View
Notification
Customer
information
Swapswire
Deriv / Serv
Other
FpML
Direct feeds (FpML)
Cash flows
Payments
Confirmation
Collateral
Reconciliation
Pricing
Agents
Accounting
Agents
Custodians
Counterparties
Customer
Trade Systems
Derivatives
Service
Processing
Entity
OTC Service
Vendors

OTC Hub:
Full Post-Execution Servicing Capabilities
1) Transaction Management 5) Reconciliation
End-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 Support
Efficient 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 management
Support 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 delivery
Robust 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
PositionTrade 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) Transaction
Management
2) Cash
Management
3) Valuation &
Model Pricing
4) Collateral
Management
5)
Reconciliation
6) Corporate
Action Support
7) Contract &
Document Mgt

Common Service Requirements
Reference
Unique Client Identifier
Term Sheet Document Management
Market Data
 Calendars
 Yield Curve
 Credit Information
 Inflation
 Currency Futures
 Market Prices
Model Price Calculation
Custody
Settlement Control
Reconcilliation
 Deal terms
 Positions
 Reset payments
Cash Flow Projection
OTC Control Reporting
Accounting
Asset classification
Basic trade information
Simple position
Actual cash movements
Current accrual
Current fee amortization
Current 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

OTC Derivatives Asset Service Platform
Flexible 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
ClientClient
Customer
Interface
Customer
Interface
Market Data
Vendors
Market Data
Vendors
TIMSTIMS
CounterpartiesCounterparties
Accounting
Agents
Accounting
Agents
CustodiansCustodians
OTC Utilities &
Vendors
OTC Utilities &
Vendors
SWIFTSWIFT
EmailEmail

OTC Trade Management
Trade capture
Fail Management
Trade 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
 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
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-party
Payment detail is carried at the lot level
Payment amounts are summarized by
Payment date, Custodian, Counter-party
Payment 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
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
 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
Position, Cash,
Price data from any
two external
sources can be
match to OTC hub
records
Client
OTC
Records
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
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
Trade
Repository
stores all
trade related
information
and allows
user to
search by
trade
Repository
stores all
trade related
information
and allows
user to
search by
trade
Document Repository

Information Delivery
ClientClient
Data MartsData Marts
OTC WarehouseOTC Warehouse
WebsiteWebsite
Electronic
Reports
Electronic
Reports
MCH ReportsMCH Reports
Notifications
and Alerts
Notifications
and Alerts

Network Architecture
Oracle
Report
Engine
Valuation
Engine
Web ServerDesktop
HTTPS
TCP/IP
Web Services
OCI

Internet Explorer
Ext-
JS
Ext-
JS
GWTGWT
FlexFlex
HTTP
Apache HTTP server
UI
Middle Tier
IBM MQM
AmortizationAmortization
PositionPosition
Global ProcessingGlobal Processing
BPM EngineBPM Engine
AccrualsAccruals
Command EngineCommand Engine
Trade DirectivesTrade Directives
Fax EngineFax Engine
Ledger MQ PushLedger MQ Push
SchedulerScheduler Client interfaceClient interface
Hub AppHub App
Web servicesWeb services
MCH Load ManagerMCH Load Manager
OTC RPOTC RP
Evt AppEvt App
Recon EngineRecon Engine
Pas modulesPas modules
Vendor ValuationVendor Valuation Hub SchedulerHub Scheduler
HibernateHibernate JDBC managerJDBC manager SQL APISQL API
Database Oracle 11GDatabase Oracle 11GStored proceduresStored procedures Message QueuesMessage Queues TriggersTriggers
Report EngineReport Engine
FTP/SFTP
NDM
Web Service

International Swaps and Derivatives Association
Financial 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 dictionary
9000 data elements

FPML Integration with OTC Services

User Interface Communications
Apache Flex Oracle AQ -> HTTP
Google Web Toolkit WebSphere MQ
Sterling Connect:Direct
Back End FTP/SFTP/CURL
QuantLib Exadata 2015
Oracle Data Guard
Back End - Java
Java 1.8 Source Control
Java 1.5 within Oracle Subversion
jFin ClearCase
Apache tools
Software

Security Architecture

Tools - Database Layer

Tools- Application Server

Tools- Web Server

Performance and Disaster Recovery

Reporting Architecture

Search Architecture

Automated Securities Accounting System

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