The risk manager terminal module CoLibri (combined version) serves for automating post trade risk management at stock, FX and derivatives markets.
CoLibri is a plug-in to the QUIK workstation and does not require a separate connection to the QUIK server. CoLibri functionality is accessible from appropriate menu items of the QUIK workstation for the users that are authorized to use the plug-in.
The combined version of CoLibri represents the functionality of the three former separate risk manager terminals:
- CoLibri SM for stock market,
- CoLibri FM for derivatives market,
- CoLibri FX for FX market.
There is new ‘combined’ functionality – consideration of positions and liabilities on different markets in terms of common integral indicators, closing positions on all markets in one step, etc.
The company’s licensing policy retains three types of license for various markets. On purchasing a license for a particular market the user has access to that part of functionality of the combined CoLibri that is applicable to that market. When the client (bank or investment company) purchases several licenses for various markets, it chooses whether to use one or several copies of QUIK workstation.
General functions of CoLibri for various markets
- Position monitoring. CoLibri monitors positions and liabilities of clients on stock, derivatives and FX markets.
- Calculator of client’s planned position. This calculator serves to compute possible margin values on spot markets in the cases of cash movement and asset purchase or sale.
- Combined cash position on spot and derivatives markets. CoLibri takes into account specific calculation of risk indicators when the client uses the Unified cash position module for spot and derivatives markets.
- Position closing. The position closing procedure is applied when the client’s margin status on spot markets does not correspond to the requirements of the regulator and/or the broker (bank / investment company). The application automatically prepares position closing orders to be sent to the trading system. Preparation of position closing orders may be done for all markets simultaneously, for one or all clients. It is possible to use individual rules of position closing in connection with client codes and set up custom templates.
- Transfer of short and long positions. Clients’ positions that have not been closed by the end of the trading session may be transferred to the next day. Position transfer is accomplished via negotiated or REPO trades on stock market and swaps on FX market.
- Margin calls. Margin calls are dispatched to e-mail addresses, QUIK user terminals, and via SMS from Alert dispatch module. Alert dispatch gets recorded in the data base. Beside the automatic dispatch triggered by certain events there is a scheduled alert dispatch initiated manually.
CoLibri for stock market (CoLibri SM license)
- On stock market CoLibri serves for visual and automatic control over debt and current portfolio status of clients in line with types of limits. Visual control is facilitated by the table ‘Client portfolio’ of the QUIK workstation. The operating logic is based on the analysis of margin indicators represented in the table: ‘Initial margin’, ‘Minimum margin’, ‘Corrected margin’, ‘Sufficient level’, ‘Status’, ‘Requirement’.
- It is possible to introduce post-trade procedures in accordance with requirements of the Central Bank of Russia from April, 18, 2014 № 3234-У “On universal requirements within the rules on broker operations while performing transactions on their clients’ account”.
- Margin call dispatch takes place when the ‘Portfolio value’ parameter reaches a certain level and when there is a short position for a non-margin instrument.
CoLibri for derivatives market (CoLibri FM license)
- Visual control of derivatives market parameters is assisted by the table ‘Client portfolio’ which highlights by colour those lines in the table which display lower levels of client’s resources.
- Automated margin call dispatch is triggered by the following events: the level of client’s resources is lower than determined indicators, lack of free cash in the client’s account, the liquidity ratio of collateral is lower than the required level, the value of a given risk parameter.
- The procedure of closing positions on derivatives markets takes into account the use of combined cash position. If the client has an insufficient margin level on the spot market, closing position on the derivatives market may be used to raise the margin level to the required level.
CoLibri for FX market (CoLibri FX license)
- The information to control margin parameters of clients’ positions on FX market is displayed in the table ‘Cash limits’.
- Position transfer procedure includes preparation of orders to be forwarded to the trading system in order to pay off the client’s debt for FX so as to transfer the client’s FX position to the next day.
- Two modes to transfer positions on FX market:
- The conventional mode is used when the client has a positive position in Rubles that is sufficient for closing this FX position. Negative positions are transferred by swaps for a corresponding currency.
- A two-step approach is suitable for transfer of negative positions in FX (including Rubles) with trades in two different swap instruments. This involves controlling that positions in all currencies used do not become negative.
Hardware and software requirements
The computer must meet requirements for the QUIK Workstation.
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