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Here are a few case studies on projects that have been undertaken by Algofi to meet the needs of specific clients
CHOICE OF A DEDICATED MARKET ACTIVITIES AND EXCHANGE RESERVES MANAGEMENT IT SOLUTION
In the context of a total IT system renewal ALGOFI assisted a major Central Bank in the creation of a tender procedure for a dedicated market activities and asset management IT solution.
Preparation of the specifications document for the acquisition of a suitable IT solution for the management of the Central Bank's market operations and currency reserves management.
The specifications document was prepared in the light of the results of a diagnostic covering current market operations and reserve management procedures completed by the various parties allowing for the changing nature of this particular core activity.
The chosen solution needed to be a highly adjustable Straight Through Processing (STP) solution able to cover the various operations associated with market operations and currency reserve management (Front Office and Treasury, Middle Office, Back Office, accounts, Swift messaging, integration with the BCT information system, etc.) providing the means to manage all of the types of instruments covered by the various financial markets, including;
- Monetary instruments
- Foreign exchange operations
- Precious metal products -Derived products
- Securitised products
- Structures products
The chosen solution should also be able to create interfaces with external negotiation platforms as well as data providers such as Bloomberg, Reuters, rating agencies, and the Central Bank's other systems, notably its accounts system.
Support for the Central Bank in the evaluation and selection of the solution and service provider referred to in the abovementioned specifications document.
Algofi was entrusted with a support and advice role to the selection committee for the evaluation and selection of the solution described in the abovementioned specifications document and to present an evaluation report for each of the received proposals.
Algofi assisted the Central Bank in the inspection and validation of the contractual documents to be signed with the supplier of the selected IT solution.
MIGRATION OF THE FX SWAP ACTIVITY FROM MUREX TO SUMMIT
As part of the re-organisation of a large investment bank's Front Office largely concerning its FOREX operations, ALGOFI took charge of migrating the whole of the Exchange Swap activity (World Wide - G12/US/Asia/Emerging) from Murex to Summit specifically for the associated Project Steerage, Project Management and Development missions.
- Position management
- Funds and treasury management
- Recovery of deals on-going since 01/01/XX (Transfer Book)
- End of year management (covering managed and non-managed positions)
- Market data recovery and additions (Real time)
- Method differential analysis (swap point vs. swap basis curve)
- P&L/hedges impact analysis at the changeover date
- Connection of electronic platforms within Summit (Reuters Dealing, Barx, RET, etc.)
- Adaptation of the pricer to the RET platform for Emerging currencies
- Implementation of a back-to-back: creation of Trade in Murex between the Murex Sales book against Summit OTC internal counter-party for a pair of eligible currencies and Creation of Trade in Summit via the "Gateway" - book mapping.
- BO system feed management
- BO process impact (Regulations/Accounts)
- Supply and provision of P&L/Hedge files for the results Cell
- Risk impact (Sensi, hedge by risk axis, real-time counter-valuation, margin calls management, etc.)
DEVELOPMENT OF THE SUMMIT FONT MIDDLE ARCHITECTURE
The Summit architecture of a major investment bank has been divided up into Front, Middle and Back offices, leading to multiple configuration requirements (market and static data), no global vision of portfolios in certain cases and multiple inter-office Gateways (operations and static data).
Without some kind of technical intervention it will become increasingly difficult to cope with new requests. In this context ALGOFI was called on to optimise the Summit architecture through the implementation of a single Front-Middle Office data-base (OTC/MM/FX/Bonds) integrated with the OTC Back Office.
- Survey of Front and Risks user requirements
- Presentation of scenarios to the Executive committee
- Analysis of organisational impacts
- Analysis of HR impacts and reductions (merger of Project Management and Development teams)
- Analysis and Fusion of market settings / data from different data-bases
- Summit tree standardisation (One-off EAS, Adding surcharges, Mirroring)
- Implementation of a replicated database "in near real-time"
- Implementation of annual archiving to reduce volumes
- Implementation of a duplicate data-base to improve batch processing (Y processing)
- Recovery of all deals into a single data-base
- Global non-regression test
- Differential analysis for P&L, Hedges, etc.
- Organisation of doubled Market
CALYSPO V14 FRONT TO BACK IMPLEMENTATION
A public institution launched a project to implement a shared market operations processing platform for its Front Office, Risk, Back Office and accounts activities as well as for a number of financial instruments (Exchange, Interest rates, Gold, standard derived, etc.). Calypso Technology Inc's Calypso EAS was selected as the best solution for the platform.
The core activity aspects of this project were led by an ALGOFI team with "Core Activity" skills for market operations, "Method" skills for the project implementation and associated deliverables and "System" skills for the operation and setting up of the V14 version of the Calypso EAS.
- Finalisation of user specification update, missing specialised processes, "Business Stories" Front Office market activities and instruments
- Creation of detailed operational specifications in compliance with the "Front-Office" processing procedures, user requirements and best market practices
- Direct CALYPSO V14 configuration and set-up of the "Business Stories" defined for the project in keeping with the expected results for test cases and best market practices
- Definition of the "Front" interface tests to be implemented in the upstream and downstream systems
- Organisation, definition and participation in the various Calypso V14 configuration validation function tests (single and end-to-end)
- Organisation of workshops with all involved parties (users, developers, publisher, project management, etc.)
- Coordination of all parties involved in the project on the sites and iterations as defined for the project (optimisation of task sharing between parties, schedule supervision and control, managements of derivatives, adjusted reporting)
- Formalisation of necessary supports: the correct production launch of the new platform as a whole and the correct implementation of changes related to any developments in core activities (core activity processes, impact analysis, user training support, operational procedure, etc.)
- Presence at various workshops and project team/operations meetings
- Impact, opportunity and feasibility analysis and studies
- Monetary market and bond securities in Euro and other currencies
- Credit/Loan, Repo/Reverse repo operations
- Foreign Exchange operations (spot, term, swaps, options)
- Interest rate futures and interest rate swap contracts, IRS, etc.
- Collateral Management, Sec-Lending, delegate / Asset Management
- Operation, enrichment, simulation data entry
- Performance, P&L, Position Management