Business

Parent services/clients for Market Making, Risk, P&L and Explainers

• Service interactions.

• Child service architectures.

QuoteEngine
Analytics
TradeEngine
Valuation
RiskPLEplainer

Note subject to many revisions, light gray services deliver results to clients in Function format re AdaptorModel.

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Business architecture focus real-time Market Making, Risk, P&L inclusive of carry and Explainers re market changes. The model requirement is for low latency information at time T, which is a result of market levels, open positions, trade change, new business and carry.

• ECNs have reduced margins creating a need for real-time book diagnostics, micro management to maintain profitability.
• Accounting solution would require an extra model to manage realised cash flows/nostro accounts.

Carry can be a vague term and can cover effects on unrealised flows (eg curve roll down, time decay) and daily cost of funding (eg repos, o/n funding of cash balances/realised flows).

Funding is intrinsic to book, desk, collateral and firm wide management inclusive of repos, lodged collateral and cash balances. Repos are fundamental to funding they allow you to borrow cash at favourable rates to cover cash balances or borrow Equities/Bonds to cover short positions.

• Repo market liquidity problems can cause serious firm wide funding issues, emergency central bank facilities do not cover all bonds.
• Funding management requires repo/cash flow diaries FinPlusRepoCashGap/FinPlusCashFlow.

Note funding exposure to bonds that are not covered by emergency repo agreements should be known at all times.