The risk manager terminal module CoLibri (a combined version) serves for automating post trade risk management on 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 users authorized to use the plug-in.
The combined version of CoLibri represents the functionality of 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, one step positions closure on all markets, etc.
The company’s licensing policy retains three types of license for various markets. In the acquisition of a license for a particular market, the user has access to the part of functionality of the combined CoLibri that is applicable to that market. When clients (banks or investment companies) purchase several licenses for various markets, they choose whether to use one or several copies of the QUIK Workstation.
General CoLibri features for various markets
- Position monitoring. CoLibri monitors positions and debts of clients on stock, derivatives, and FX markets.
- Calculator for client’s planned position. This calculator serves to compute possible margin values on spot markets in cases of cash movement and asset purchase or sale.
- Unified 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 meet the requirements of the regulator and/or the broker (bank/investment company). The application automatically prepares position-closing orders for sending 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 create custom templates and to use individual rules of position closing in connection with client codes.
- Rolling over short and long positions. Clients’ positions unclosed by the end of the trading session may be transferred to the next day. Position transfer is made via negotiated or REPO trades on the stock market and swaps on the FX market.
- Margin calls. Margin calls can be sent to e-mail, QUIK user terminals, and via SMS from the Alert dispatch module. All cases of sent alerts are recorded in the data base. Beside the automatic margin calls sending triggered by certain events there is support for scheduled and manual alert dispatch.
CoLibri for stock market (CoLibri SM license)
- On the stock market, CoLibri serves for visual and automatic control over debt and current portfolio status of clients filtered by types of limits. Visual control is conducted by means of the table ‘Client portfolio’ of the QUIK Workstation. The operating logic is based on the analysis of key margin indicators represented in the table: ‘Initial margin’, ‘Minimum margin’, ‘Corrected margin’, ‘Funds sufficiency level’, ‘Status’, ‘Requirement’.
- It is possible to introduce post-trade procedures in accordance with requirements of the CB RF Directive, dated April, 18, 2014 № 3234-U “On universal requirements for brokering while executing transactions on behalf of their clients”.
- Margin calls are sent when the ‘Portfolio value’ parameter reaches a certain level and when there is a short position for a non-margin instrument.
CoLibri for the derivatives market (CoLibri FM license)
- Visual control over derivatives market parameters is assisted by the ‘Client portfolio’ table, which highlights by color those table lines which display lower levels of client’s resources.
- Automatic margin call dispatch is triggered by the following events: the level of client’s resources is lower than reference values, lack of free cash on the client account, the liquidity ratio of collateral is lower than the required level, the value of a given risk parameter.
- The procedure of closing positions closure on derivatives markets takes into account the unified cash position. If the client has an insufficient margin level on the spot market, closure of a position on the derivatives market can be used to raise the margin level to the required one.
CoLibri for the FX market (CoLibri FX license)
- The information to control margin parameters of clients’ positions on the FX market is displayed in the ‘Cash limits’ table.
- Position roll over includes preparation of orders to be forwarded to the trading system in order to repay client’s FX debts and roll over the client’s FX positions to the next day.
- Two modes for rolling over positions on the FX market:
- A conventional mode is used when the client has a positive position in Rubles that is sufficient for closing this FX positions. Negative FX positions are rolled over by swaps for a corresponding currency.
- A two-step approach is suitable for rolling over negative positions in FX (including Rubles) with trades in two different swap instruments. This involves controlling that no position in any currency becomes negative.
Hardware and Software Requirements
The computer must meet requirements for the QUIK Workstation.
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