Presentation 4 1-2013

Solution for Commodity Derivatives

SuperDerivatives Solution for Commodity

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• Market data and model independent valuations. • Vast coverage in commodities both products &

underlying• Multiple data cut times available• SDX-CM Pricer for pre-trade price discovery & trade

analytics (currently being used by Chinatrust)• SDX-XA Blotter for trade life cycle management and ad-

hoc valuation of Greeks• eValueX for automated mark-to-market report• Tools for price investigation - allows users to extract the

parameters that were used to value the position, highly effective for explaining P&L construction for individual transactions.

• 24x6 hour dedicated IPV support team for price investigation and technical support

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SuperDerivatives Revaluation Services

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SuperDerivatives Revaluation Services

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Solution Workflow

1. Pre-Trade Price Discovery – automated import of trades from into the eValueX repository, or setup from SD GUI for complex trades.

2. Pre-Trade Trade Analysis- Send trades to the eValueX cloud to generate valuations. Scheduled for specific times during the day or executed on – demand. Price values, Greeks and sensitivities measures are generated & can be automatically retrieved to downstream systems

3. Deal Booking: as they arrive from various sources, automatically send to SD or import manually.

4. Post Trade Life Cycle Management – Provide the thresholds and rules to validate or question a price.

5. Post Trade Operational Management – Prices stored from eValueX processing, from counter-party (and/or other vendors) are analyzed and compared based on the thresholds/comparison rules.

6. Automated Mark-to-Market Report– Questionable prices are shown on various reports and then the analyst can use SD’s analytical apps to determine the probable cause.

7. Price adjustment and rebooking – The analyst makes adjustments as required.

SD – Gives Chinatrust a complete front to middle users end-to-end access to various part of the deal process, view Reval results within the eValue X app and compare to other pricing sources. Facilitates price challenge investigation and makes remediation easier. Administration and audit tools reduces operational complexity.

Pre-trade Price Discovery & Trade Analysis

7Trader’s analysis – Market standard pricing models combined with SD real-time market data allow

traders complete visibility in to the market.

Trade analysis tools – Include essential tools for traders such as blacktesting, historical analysis,

risk charts & matrix, payout analysis are

9Deal Booking – SDX allows traders to book their successful deals into SD’s Trade Repository

and/or bank’s own internal trade storage system

Post-Trade: Life Cycle Management and Portfolio Monitoring

Life Cycle Management – SDX XA Trade Repository allows traders quickly and easily manage their

portfolio such as life cycle managemet

Risk and Operational Reports – Traders can utilize the various risk reports available on SDX-XA to

better understand their position and react accordingly

On-touch Greeks & Valuation – During highly volatile market, traders can access on-demand Greeks

and valuation

Counterparty Management – Traders can get better control of their counterparty with SDX by

monitoring the counterparty’s max exposure allowed

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Reval processing• Send trades from SDX-XA are sent to the eValueX

cloud to generate valuations.• Traders can scheduled for specific times during the

day or executed on–demand. • Price values, greeks and sensitivities measures are

generated & can be automatically retrieved

Post Trade: Mark-to-Market

• Import counterparty marks: as they arrive from various sources, automatically send to SD or import manually.

• Establish threshold and comparisons rule settings – Provide the thresholds and rules to validate or question a price.

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Define scenarios – Define and input various market scenarios. Scenarios are stored and can be adjusted at any time.

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Execute rule engine and receive results – Prices from eValueX and from counter-party (and/or other vendors) are analyzed and compared based on the thresholds/comparison rules.

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Trade investigation: Reporting, analysis, and remediation – Questionable prices are shown on various reports and then the analyst can use SD’s analytical apps to determine the probable cause.

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Reporting

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Workflow & Deployment Scenarios

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Scenario #1: No Integration•Traders are captured into SD only & then capture the same deal into Murex•Life cycle management performed in SD only•MTM Report extracted as Excel and manually imported back into Murex•Available immediately

Traders / Sales•Price discovery•Model validation•Benchmark pricing

Blotter•Life cycle management•Counterparty & Operational Reports•Online Greeks

MTM Report•Automated EOD MTM Report•Valuation & Greeks•Download

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Traders / Sales•Price discovery•Model validation•Benchmark pricing

Murex•Life cycle management•Position management

Scenario #2: Semi-integration (Upstream)•Traders capture deals into Murex (Directly or via SD)•Life cycle management performed in Murex•Trades are upload Murex to SD for valuation•MTM Report are sent back into Murex•System in production – 3-4 months

MTM Report•Automated EOD MTM Report•Valuation & Greeks•Download

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Traders / Sales•Price discovery•Model validation•Benchmark pricing

Murex & Blotter•Trader Risk Management

MTM Report•Automated EOD MTM Report•Valuation & Greeks•Download

Scenario #3: Full integration (Downstream)•Traders capture trades into Murex and SD via SD•Life cycle management performed in SD and updates Murex•SD will generate MTM Report and updates Murex•System in production: 6-9 months

Successful Murex Projects•SD has made many successful project with Murex•Various deployment scenarios and situations•Complete project planning and management

National Australian Bank•FX and IR•Deal capturing from corporate sales

LGT•Structured Deposit Solution (DCD)•Deal capturing from retail sales•MTM Report

Bank of Montreal•Corporate Sales and Retail Sales•Deal capturing and booking•MTM Report

Investment Scenarios

Investment Scenarios•Depends on various factors•# of licenses / types of products / # of lines for valuation•No hidden license fees•Minimum 3 years agreement

Scenario #1•No integration•License•# lines of valuation

US$50K-$75K

Scenario #2•Upload Integration•Licenses•# of lines of valuation

US$75K-$120K

Scenario #3•Downstream integration•License•# of lines of valuation

US$100K-$250K

Project Steps

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System Trial & Validations (30 days)SD can provide Chinatrust with model documentations as well as 30 days trial of the system for model and market data validationsChinatrust can speak directly to SD quant team for additional clarification and validation

User Requirement & Coverage Check (30 days)Chinatrust should send SD a list of all CM product for coverage checkChinatrust should send SD a complete list of user requirements to see if additional enhancements will be needed

Functional Specifications Review & Sign off (30 days)SD writes a Functional Spec of the solution with requested enhancements (if needed) and commercial termsSD and Chinatrust will review and amend the Functional Specs & negotiate commercials termsChinatrust signs off on the functional specs

Agreement (14-30 days)SD will create an agreement based on the functional spec with the agreed commercial for Chinatrust to sign