Fixed Income Trading and Platform Architecture

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  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading & Platform Architecture - Wrokshop Copyright@2007 Orbitra LLC www.orbitra.com
  • Fixed Income Trading and Platform Architecture

    1. 1. Fixed Income Trading and Platform Architecture Khader Shaik
    2. 2. Fixed Income Market <ul><li>Fixed Income Market mainly a Institutional </li></ul><ul><li>Main Players </li></ul><ul><ul><li>Broker/Dealers </li></ul></ul><ul><ul><li>Funds (Hedge Funds, Mutual Funds, Retirement Funds etc) </li></ul></ul><ul><ul><li>Banks Treasuries </li></ul></ul><ul><ul><li>Sovereigns, Corporations (Issuers) </li></ul></ul>
    3. 3. Broker/Dealer <ul><li>Brokers/Dealer accommodates the trading both in Primary and Secondary Markets (Market Makers) </li></ul><ul><li>Most of the Brokerage Firms play the role of Broker/Dealer </li></ul><ul><li>Main players in Fixed Income Market </li></ul><ul><li>Trade </li></ul><ul><ul><li>For Own Books (Traders), Own Funds, Clients and other business units of a firm etc </li></ul></ul><ul><ul><li>With Large Institutional clients, Private Clients etc. </li></ul></ul>
    4. 4. Organization Structure <ul><li>Front Office </li></ul><ul><li>Middle Office </li></ul><ul><li>Back Office </li></ul><ul><li>Trading Desks </li></ul><ul><li>Departments </li></ul><ul><li>Risk Management Team </li></ul><ul><li>Operations Team </li></ul><ul><li>Traders </li></ul><ul><li>Sales Trader etc </li></ul>
    5. 5. Departments <ul><li>Front Office / Trading </li></ul><ul><ul><li>Traders </li></ul></ul><ul><ul><li>Sales Traders etc </li></ul></ul><ul><li>Middle Office / Risk Management </li></ul><ul><ul><li>Risk Manager </li></ul></ul><ul><ul><li>Analytics etc </li></ul></ul><ul><li>Back Office / Operations </li></ul><ul><ul><li>Settlement </li></ul></ul><ul><ul><li>Accounting </li></ul></ul><ul><ul><li>Finance etc </li></ul></ul>
    6. 6. Key System Modules <ul><li>Trading Front End / Trade Entry / Trade Capture </li></ul><ul><li>Quote Entry </li></ul><ul><li>Position Management </li></ul><ul><li>Risk Management </li></ul><ul><li>Pricing </li></ul><ul><li>Analytics </li></ul><ul><li>Market Access (Liquidation Sources) </li></ul><ul><li>Market Data Access (Data providers) </li></ul>
    7. 7. Trade Entry /Quote Entry <ul><li>Used by Traders to enter NEW Trades </li></ul><ul><li>Interface to most of the other system modules </li></ul><ul><li>Trades are routed to Liquidation Sources (via OMS/ORS) </li></ul><ul><li>Usually Front end serves as Quote Entry System as well </li></ul><ul><li>Key Features </li></ul><ul><ul><li>Quick Entry </li></ul></ul><ul><ul><li>Custom Entry Forms </li></ul></ul><ul><ul><li>Support for different FI products </li></ul></ul><ul><ul><li>Various Financial Calculators </li></ul></ul><ul><ul><li>Calendars </li></ul></ul><ul><ul><li>Blotter etc </li></ul></ul>
    8. 8. Position Management <ul><li>Also referred to as Portfolio Management </li></ul><ul><li>Monitor and Track Positions </li></ul><ul><li>P&L Calculations </li></ul><ul><ul><li>Daily </li></ul></ul><ul><ul><li>Month-to-date </li></ul></ul><ul><ul><li>Year-to-date </li></ul></ul><ul><li>Portfolio Analytics </li></ul><ul><ul><li>Pricing </li></ul></ul><ul><ul><li>Risk Indicators </li></ul></ul><ul><ul><li>Perfomancne Indicators etc </li></ul></ul><ul><li>Hedging Calculations </li></ul><ul><ul><li>Recommendations for covering trades etc </li></ul></ul>
    9. 9. Pricing Engine <ul><li>Pricing of various products </li></ul><ul><li>Support for multiple models </li></ul><ul><li>Scope to use custom models </li></ul><ul><li>Custom model development APIs </li></ul><ul><li>Market Data Feed </li></ul><ul><ul><li>Yield Curve etc </li></ul></ul>
    10. 10. <ul><li>Access to Liquidation Sources </li></ul><ul><ul><li>ECNs </li></ul></ul><ul><ul><li>OTC Markets </li></ul></ul><ul><ul><li>Other Large Client networks etc </li></ul></ul><ul><li>Single point of access to multiple markets </li></ul><ul><li>Connectivity Gateways </li></ul><ul><li>Standard Protocol Support </li></ul><ul><ul><li>FIX etc </li></ul></ul>Market Access
    11. 11. <ul><li>Market Data Providers </li></ul><ul><ul><li>Bloomberg </li></ul></ul><ul><ul><li>Reuters etc </li></ul></ul><ul><li>Market Data </li></ul><ul><ul><li>Quotes </li></ul></ul><ul><ul><li>Prices </li></ul></ul><ul><ul><li>Yields </li></ul></ul><ul><ul><li>Yield Curves </li></ul></ul><ul><ul><li>Interest Rates </li></ul></ul><ul><ul><li>Spreads etc </li></ul></ul>Market Data Access
    12. 12. <ul><li>Trade Processing </li></ul><ul><li>Also referred to as Operations or Settlement </li></ul><ul><li>Functions </li></ul><ul><ul><li>Order Validation </li></ul></ul><ul><ul><li>Trade Confirmation </li></ul></ul><ul><ul><li>Settlement etc </li></ul></ul><ul><li>STP (Straight Through Processing) </li></ul><ul><ul><li>Electronically processing the trade end-to-end </li></ul></ul>Backoffice
    13. 13. Reference Data Management <ul><li>Instrument Information </li></ul><ul><ul><li>Issuer </li></ul></ul><ul><ul><li>CUSIP or security code etc </li></ul></ul><ul><li>Counterparty Info </li></ul><ul><li>Customer Info </li></ul><ul><li>Commissions </li></ul><ul><li>System Users and Rights etc </li></ul>
    14. 14. Risk Management <ul><li>Support for Various Types of FI related Risks </li></ul><ul><ul><li>Interest Rate Risk </li></ul></ul><ul><ul><li>Yield Curve Risk </li></ul></ul><ul><ul><li>Credit Risk </li></ul></ul><ul><ul><li>Currency Risk etc </li></ul></ul><ul><li>Calculation of Risk Measures </li></ul><ul><ul><li>Duration </li></ul></ul><ul><ul><li>Convexity </li></ul></ul><ul><ul><li>DV01 </li></ul></ul><ul><ul><li>Greeks/Sensitivities </li></ul></ul><ul><ul><li>Cash Flows etc </li></ul></ul><ul><li>Reporting at different levels etc </li></ul>
    15. 15. Hedge Calculations <ul><li>Calculation of Hedge Equivalents </li></ul><ul><li>Hedge Calculations for </li></ul><ul><ul><li>Security </li></ul></ul><ul><ul><li>Position </li></ul></ul><ul><ul><li>Portfolio </li></ul></ul><ul><ul><li>Desk </li></ul></ul><ul><ul><li>Department </li></ul></ul><ul><ul><li>Branch </li></ul></ul><ul><li>Customization </li></ul><ul><ul><li>Configuring predefined measures etc </li></ul></ul>
    16. 16. Market Data <ul><li>Data Providers </li></ul><ul><ul><li>Bloomberg, Reuters etc </li></ul></ul><ul><li>Bond Prices </li></ul><ul><li>Bond Analytics </li></ul><ul><ul><li>Risk Measures like Duration, Convexity etc </li></ul></ul><ul><li>Bond Rating </li></ul><ul><li>Cash Flow Calculations </li></ul><ul><li>Yield Curves </li></ul><ul><li>Spreads </li></ul><ul><li>Financial News etc </li></ul>
    17. 17. Trader Analytics <ul><li>Basis Trading Analytics </li></ul><ul><li>Strip/reconstitution Analytics </li></ul><ul><li>Butterfly Spread Analysis etc </li></ul>
    18. 18. <ul><li>Bonds </li></ul><ul><li>Strips </li></ul><ul><li>Floaters/FRNs </li></ul><ul><li>TIPS </li></ul><ul><li>Forwards (FRAS 3X6 etc) </li></ul><ul><li>Futures (Treasury, Eurodollar etc) </li></ul><ul><li>Bonds with Options </li></ul><ul><li>Options on Futures </li></ul><ul><li>Swaps (IR Swaps, CDS etc) </li></ul><ul><li>Swaptions (Options on Swaps) </li></ul><ul><li>Caps and Floors etc </li></ul>Product Classes
    19. 19. Markets & Instruments <ul><li>North America </li></ul><ul><ul><li>Treasuries, Agencies, Corporate Bonds </li></ul></ul><ul><li>UK, Europe </li></ul><ul><ul><li>Gov Bonds, Muni Bonds, Corporate Bonds, </li></ul></ul><ul><li>Japan </li></ul><ul><ul><li>Bank debentures, samurai bonds, euro-yen bonds </li></ul></ul><ul><li>Australia, New Zealand </li></ul><ul><ul><li>Gov Bonds, Corp Bonds </li></ul></ul><ul><li>Derivatives and Other – in all markets </li></ul><ul><ul><li>Interest Rate Futures, Bond Futures etc </li></ul></ul>
    20. 20. Market Instruments - Examples <ul><li>North America </li></ul><ul><ul><li>Treasuries, Agencies, Corporate Bonds </li></ul></ul><ul><li>UK, Europe </li></ul><ul><ul><li>Gov Bonds, Munis, Corporate Bonds, </li></ul></ul><ul><li>Japan </li></ul><ul><ul><li>Bank debentures, samurai bonds, euro-yen bonds </li></ul></ul><ul><li>Australia, New Zealand </li></ul><ul><ul><li>Gov Bonds, Corp Bonds </li></ul></ul><ul><li>Derivatives and Other </li></ul><ul><ul><li>Interest Rate Futures, Bond Futures </li></ul></ul>
    21. 21. <ul><li>Thank You </li></ul><ul><li>KhaderVali Shaik </li></ul><ul><li>[email_address] </li></ul><ul><li>[email_address] </li></ul><ul><li>http://www.ksvali.com </li></ul>

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