Securities Finance - PDF

SECURITIES FINANCE
Repo, Securities Lending
Collateral Management
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Where do we go in Securities Finance ?
Risk, regulatory and standardization
EMIR, BASEL III, UCITS, AIFMD, MIFID II, Working Group on Margin Requirements, FUNDAMENTAL REVIEW OF THE
TRADING BOOK, ASSET ENCUMBRANCE, NSFR, LCR, ILM, T2S, CCP, CVA, OIS…
Drivers like those put increased load on flexibility of business and demand changes in the world of trading, processing,
valuation and reporting – and they offer benefits to those taking the chances
Liquidity management and funding needs
Funding and liquidity management became more challenging and more expensive for financial institutions since 2008
Spreads are low and revenue generation is increasingly a matter of flow business and collateral optimization across fixed
income and equities classes, domestic and international
Consolidation and synergy
Cost cutting all over the place enforces consolidation of processes and IT systems as to realize synergetic potential
Securities Finance today
Must contribute to a highly integrated collateral liquidity and risk management
Those challenges are asking for a strong partner…
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Comprehensive experience for cross asset challenges
targit provides in depth expertise
We cover securities finance processes as well as repo, lending, collateral management, risk,
accounting, settlement, reconciliation and electronic trade confirmation systems
Therefore your evaluation, enhancement or implementation project will benefit from our experienced,
well-thought and cost effective work
We support you in areas like Business Modelling, Business Consulting, Project Management, Vendor
Systems and Infrastructure, Products and Tools, Operations
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Business modelling
targit supports
all market participants in the securities finance market
Buy side institutional investors
Sell side banks
Corporate treasuries
Custodians and Clearers
Brokers and ATS
targit consults
business and IT management towards definition and implementation of cost and business efficient solutions
targit works out
individual business architectures
by convergent collaboration with core business departments, cross functions and IT units
by planning and realizing business, operational and technical structures for securities finance processes
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Business consulting
targit offers
lead assistance for functional design and for the adaption of
specific business processes in all areas of securities finance
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Project management
targit takes responsibility
for successful realization of securities finance projects through
management of project goals and stakeholder interests
certified and experienced project managers
applying expert functional and technical know-how for securities finance and all associated processes and workflows
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Vendor systems and infrastructure
targit supports
securities finance projects by providing complete consulting and integration services
market, process and systems analysis, design, specification, implementation, custom
developments, test and support
integration to markets, clearing and custody such as EuroClear, Clearstream, JPM, BoNY,
Eurex, BrokerTec, MTS, LCH.Clearnet, EquiLend/BondLend, Pirum and others
implementations of Anvil, Apex, Calypso, 4sight, Sophis and E2E integration with
backoffice, accounting and risk processes and IT
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PnL valuation sample
PnL valuation
PV1 =
DF from Repo Curve (GC, Special) on RepoCash in deal
Advancing from plain MM discounting, Securities Finance PnL can be
determined by an improved Mark-to-Market approach, which may utilize:
PV2 =
Cost-to-Close regarding ISIN used in deal
Repo/Lending Curves (GC, Special)
DF from Repo Curve (GC, Special) on virtual RepoCash
determined by Cost-to-Close of ISIN position
OIS curves and discounting
Optional CVA, FVA adjustments
Decomposition into subresults such as FX, IR, price, commission
PV3 =
DF from uncollateralized OIS Curve for Cash Delta (1,2)
to Maturity
PV (deal) = ∑ (PV1,2,3)
(PnL illustration sample)
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Accounting tool
Securities Finance FO/BO
Functional design and implementation of
… an application framework for
Transactional Events
and Data
Enrichments
Booking Engine
a flexible workflow engine for accounting postings of all repo and securities
lending transactions and their lifecycle events
a scheduler for settlement and payment legs
holding relevant booking data to maturity (incl. post maturity archiving)
Postings
Instructions
sychronization and reconciliation with FO, BO, risk, settlement and
accounting systems
defining accounting entries
Settlement and Accounting
depository enhancements and generation of settlement and payment
instructions
Instantiation example: Java object concept and threading, GUI for monitoring and controlling, XML, XSD, XSLT, SOA compliant service configuration, RDBMS (e.g. Oracle, Sybase), flexibly integrated toolbox (Unix, Linux, Win)
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Confirmation, claiming and invoicing tool
The CMS toolbox
Integration of RepoSecLend into a Confirmation Management System
generic confirmation management with intelligent and flexible workflows
coverage of securities finance, bonds, equities, OTC derivatives
online synchronization with master agreements and annexes data
creation, transmission and matching for pre-confirmations and confirmations
a procedure for invoicing and escalations handling
Trade Backoffice
Legal Framework
Application
Online query and posting of
legal framework reference data
onto confirmations
Trade
Events
Status
CMS
Oasys
Fax
mail
SWIFT
Markit
Wire
T-Zero
Instantiation example: Java object concept and threading, Windows client for monitoring and controlling, SOA compliant service configuration, RDBMS (Oracle, Sybase and others), flexibly
integrated toolbox (Unix, Linux, Windows, Standard channel adapters). CMS is a client driven application development done by targit, based on a 3rd party document management software nucleus
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Selected client projects
targit has proven experience in securities finance projects
Rebuild of Repo and Lending P&L calculations, incl. enhancements to curves, Cost-to-Close, % DivReq
Development of APEX Jasper Reports for FO, BO, Risk, Accounting and Regulatory departments
Implementation of APEX for Equity Finance, incl. testing, reporting and interfacing
Implementation of ION Anvil Repo/Lending Trading System including ongoing release changes
F2B reconciliations using SunGard Martini and Securities Office
Functional specifications on Equities Finance and EqD Tax Monitoring (over dividend) for ION Anvil and Sophis
Evaluation of processing and P&L booking for internal Repo and Lending transactions
Development of a new FX liquidity solution for repo/lending coupon, dividend and manufactured payments
Reconciliation for Repo and Lending economic PL versus accounting results (HGB, IFRS)
Functional design for the new implementation of securities finance functionality into the DECIDE F2B trading & risk system
Development and implementation of a cashflow and event based booking system for Repo, BSB and Lending
Connecting EquiLend to the ION Anvil Repo/Lending Trading System
Business Modelling for Agency Lending at a Custodian, using Peplum accounting and settlement system
Setup of Cash Rebates, ALD, Dividend PnL and Tax Claims for Equity Finance using Merit, ION Anvil, EquiLend
Developing business objects reports for SunGard Martini
Consulting and support for SunGard Martini Repo/Lending Front- and Backoffice
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Contact
targit GmbH
München * Frankfurt * Wien * Zürich
Ridlerstraße 31b
D-80339 München
tel ++ 49.89.517397-24
fax ++ 49.89.517397-77
mobil ++ 49.171.3520020
Peter Schönberger
Principal Capital Markets
© 2014 targit - all rights reserved
mailto: [email protected]
http://www.targit.de
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targit mission statement
targit is a highly specialized consulting and IT services company in financial markets
located in Munich, Frankfurt, Zurich and Vienna - with about 60 highly skilled and experienced people
targit supports banks, exchanges, brokers, investment companies, asset managers, custodians and industrial companies
in all financial market related tasks and the implementation of systems from front office to back office
targit‘s business activities range from strategic and functional consulting over development and implementation of
solutions to their test, support and maintenance
targit business solutions are an asset for our customers based on our threefold expertise - business, application and IT
targits strategic competitive advantage originates from its independence as well as from project and product oriented
partnerships
targit - large enough to deliver. Small enough to care.
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targit clients & partners (digest)
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Your success is our goal
targit GmbH
targit GmbH
targit GmbH
targit GmbH
Ridlerstraße 31 b
Berliner Straße 44
Walfischgasse 8
Rüdigerstraße 17
D-80339 München
D-60311 Frankfurt am Main
A-1010 Wien
CH-8045 Zürich
Telefon:+49 89 517397-0
Telefon:+49 69 269140-0
Telefon:+43 1 8901198-0
Telefon:+41 43 344407-0
Telefax:+49 89 517397-77
Telefax:+49 69 269140-11
Telefax :+43 1 8901198-77
Telefax:+41 43 344407-77
[email protected] · www.targit.de
[email protected] · www.targit.de
[email protected] · www.targit.at
[email protected] · www.targit.ch
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