Portfolio Management

STP and realtime cross-asset Trading and Risk Management

BETA SYSTEM Front & Middle Office will provide portfolio management, decision support,
extensive risk management capabilities including global real-time P&L aggregation, hedging,
detailed risk analysis, cash flow projections and real-time position keeping with breakdown
of risk by underlying and what-if scenarios. A VaR module will provide parametric, historical,
Monte Carlo and stress tests-based value-at-risk analysis. Real-time links to electronic
trading platforms with real-time pricing and trade capture are available.

Cross-Asset Coverage
Cash Instruments
Instrument lending/borrowing, stock loans
Collateral in cash or in securities
Repo

Equity & Equity Derivatives

Basic equity instruments
Equity, Index
Future/Forward
Equity swap
OTC equity baskets (Compo/Quanto or MultiCurrency)
CFDs

Equity Derivatives
Equity swaps
Variance swaps
Dividend swaps
Listed Options

Equity OTC Derivatives

Plain Vanilla (Call/Put)
Corridor/Barrier options
Digital/Ladder options
Asian options (average strike, average spot or both)
Cliquet options (with Asian, Capped, Floored Performance features)
Look back and partial look back options (on running min and running max)
Compound options (such as Chooser Call/Call…)
Cross-currency (Quanto, Compo) for all types of options
Running premium options (swap option) for all types of options

Convertible bonds with the following features

Issuer call (soft call / hard call)
Bearer put and early redemption
Cross-currency (Compo, Quanto)
Conversion price reset
Parity change
Synthetic convertible bonds
Best-of convertible bonds
Reverse convertibles
Cross-Asset Coverage
Fixed Income & Interest Rate Derivatives
Bonds
Floating Rate Notes (FRN)
Capped/collared/reserve FRN
FRA
Bond Indices
Callable & putable bonds
Bond Futures
Bond Repos
Structured Bonds (including step-up, step-down, amortizing and accreting notional)
Bond options
IR Swaps
IR Futures and Forwards
Asset Swaps
CMS structures
Bond Options,
IR Future Options,
Caps & Floors
Callable structures
CMS structures
Swaptions (European, American, Bermudan)
TARN
Caps & floors
Digital caps & floors
In arrear caps & floors
Range & fixed accruals
Fixed accrual caps & floors
In arrear structure

Credit Derivatives
Credit default swaps
credit linked notes
Asset swaps
Basket CDS (First-to-default, Second-to-default, N-to-default)
Credit spread options
Collateralized debt obligations (CDO)
Cross-Asset Coverage
Forex & FX derivatives
Spot Forex
Futures and forwards
FX swaps
Cross currency swaps (compo/quanto)
Basis swaps
Vanilla options
Barrier options
Forward accumulator
Corridor option
Digital options
Exotic derivatives
Most of the FX OTC structures

Commodities & commodity derivatives

Markets: Oil, gas, non-ferrous metals (LME and COMEX), precious metals (NYMEX and
TOCOM) and electricity.
Futures and forwards Swaps
Listed options, Options on futures, Bullet options, Asian options Swaptions
Commodities baskets, options on commodities baskets

Hybrid and Structured Products (Packages)

BETA SYSTEM flexibility allows the structuring, pricing and risk management of the most
complex and exotic OTC products across asset classes such as equity/interest rate,
equity/credit, equity/forex, multiple underlying structures, etc.

Multiple underlying Structures

Spreads
Basket options
Best of / Worst of for Call/Put
Duo digital options Call/Put
First and second min Call/Put Options

Front Office / Portfolio Management

Positions keeping
Active portfolio loading
Hierarchy of portfolios (hierarchical, flat and underlying views)
Manual and electronic capture of transactions
Processing corporate actions (dividend, split, merger...) with events agenda.
Automatic increase of nominal for equity swaps
Transactions reports
Past and future funding costs by currency
Closed and/or open position views
Formatted position reports
Positions filtering according to any criteria
Extractions
Flexible aggregation by sector, market, currency, underlying (use of betas)

Listed Markets
Automatic update of Listed market options
Market price screens with calculation of implied volatilities
View in matrix form of the position on listed options
Processing of corporate actions on the listed markets
Options pricing matrix for strategy evaluation

Stock Lending
Marked to market or in accrued evaluation and management of stock loans and repos
Netting of stock lending positions
Margin call / Management of collateral

Pricing models
Black & Scholes / Cox-Ross-Rubinstein
Trinomial model
Monte Carlo
Partial Differential Equations
Fourier
Two-factor models: Equity/Interest rate, Equity/Credit spread, etc.
Multi-factor models: Hull & White, BGM, etc.
Tsiveriotis model
Bootstrap model used for credit risk pricing
Two pricing methods for swaptions according to the delivery type (Cash settlement delivery
and physical settlement delivery)
All standard BETA SYSTEM models fully reusable in customized environment
Client proprietary models easily integrated with Financial Integration Toolkit

Portfolio Calculus
Greeks for each folio and combination of portfolios by market (currency)
Real-time consolidation of the results and risk for each portfolio and combination of
portfolios
Simulation mode (trades and market data)
End of Year Procedure grouped by Counterpart and/or Depositary for 'Financing',
'Accounting' and 'P&L sold'

Forecasts
Alerts on future events (dividends, fixing, option expiry...)
Automatic tickets for these events
Positions netting
Cash and physical flow forecasts

Arbitrage
Definition of arbitrage rules (Cash & Carry, Convertibles, risk arbitrage, multi-market)
Products arbitrage evaluation
Risk management of arbitrage products in the portfolio

P&L Analysis
End of day procedures
P&L explanation
P&L attribution (based on historical, market and static data)

Risk Management
Risk Analysis
Graphical analysis of sensitivity to any market data
What-if scenarios
Tracking error scenarios
Worst case scenarios
Risk matrices:
o Second risk matrix by underlyings
o Risk matrix with Forex & Forex Volatility underlyings
o Risk matrix with a single underlying (or index)
o First risk matrix disappearing
Time bucketing scenarios (Rho, dividend sensitivity, Vega, correlation)
Smile analysis, complete volatility surface
Customizable stress tests
Forex and Forex Volatility included in the Stress test scenario
Cross Greeks for multi-underlying products
Hyperbolic Parametric Volatility
Specific IR derivatives scenarios according to portfolios
Identification of Interest Rate Risk Sources
Break down of interest rate risk into a list of hedging instruments
Interest Rate Volatility Risk for both Interest Rate Derivatives and Hybrid Products
Breakdown of the interest rate Vega by swap maturity and option maturity.
API tools to use swaption volatility matrix for pricing and calibration.

Credit Risk
Credit risk data: third parties and hierarchy, rating, seniority, credit default probability,
recovery rates, mitigation matrix
Nominal and marked-to-market risk by any number of counterparties/product groups
Portfolio alert book by counterparty, date, value and type of events
Full set of corporate events: dividends, coupons
Credit risk multi currency management by default.
Credit spread definition by instrument
Spreads definition: Zero Coupon, Forward Spread, YTM Spread, Static Spread, CDS Spread,
CDS Fixed
Credit risk convexity
Parametric credit risk
List of CDO tranches available for credit correlation as a static data.
Semi Closed Formula using FFT, Fast Fourier Transformation.
Bumping of the credit correlation by CDS index and tranche to design credit risk correlation
hedging
Market Credit sensitivity Scenario
Simulation/stress-test scenarios
Total lost scenario
Credit exposure scenario
Current credit exposure
Accurate potential or maximal exposure

Third party management

Definition of third parties and their hierarchy
Possibility to copy/paste to and from all the Third Party tabs
Definition of fees by third party, currency and market
Broker and clearing fees calculation
Management of groups and limits
Counterparty risk, notional and marked to market risk, calculation by security type
Risk of payment failure

Limits Management
Rule-based and user-defined limit control
Client-tailored limits definition
Limits on risk indicators, the Greeks, geographic & business distribution, etc.
Limits against any type of risk (market risk, credit risk, VaR, etc.)
Maximum expected loss.
Flexible reports associated with every category of rules

Data Management & Security features

Real-time feeds
Data feed integrator: GL, Reuters (Triarch, Tibco), Bloomberg, etc.
Automatic saving of historical prices
Switching facility from one feed to another in case of failure

Quotation table
Management of market price lists and evaluation of derivatives
Price list of derivatives with BID/ASK prices management

Market data
Yield curves
Volatility surfaces, dividends…
Correlations for multi-underlyings
Multiple sets of market data

Comprehensive audit
Market data (Dividend, Volatility, correlation...)
Instruments
P&L
Third parties
Tickets
Security log

User profile
Complete user rights by user and group of users
“Four-eyes” check
Selective access to instruments and market parameters
User set of preferences
High Security Module for password & workstation access attribution

Back Office Modules

BETA SYSTEM Back Office will offer Straight Through Processing functionality for all
Securities and OTC trades.

With the same database being shared by Front, Middle and Back Offices, BETA SYSTEM Back
Office will streamline trading business, using automatic trade processing from the receipt of
electronic tickets right through to the posting of accounting entries. Based on reliability and
scalability principles provided by distributed architecture, BETA SYSTEM Back Office will be
able to support the most voluminous securities trading activity. To cover every specific
requirement, the product will be designed in five flexible functional modules, so users can
tailor their own Back Office system to suit their particular needs.

Once activated, the Back Office will be totally integrated with BETA SYSTEM Front & Middle
Office and thus provide a full management across all instruments handled at the Front
Office. BETA SYSTEM back office will therefore be totally cross-asset and will be able to
fully handle Equity and equity derivatives, Fixed income, IR derivatives, Credit derivatives,
Commodities and commodity derivatives, Forex and FX derivatives as well as structured and
hybrid products.

Kernel
The Kernel will ensure a complete customizable workflow management and triggers all
BETA SYSTEM Back Office engines. Its flexibility will allow users to automatically manage
statuses and events throughout the full lifecycle of all trades between Front Office and Back
Office. Prior to production and transmission of messages, users will be able to review and
validate upcoming payments and receipts.

• Static data parameterization

 • Customizable workflow
• Trade capture
• Transaction validation process

Confirmations & Payments

Confirmations and Payments will allow message generation with multiple Thirds. Users will
define their own message validation processes, including specific complex processing. All
third parties of a trade will be notified through several simultaneous confirmation and
payment messages to counterparties, depositaries, brokers, clearing agents and all other
parties. The messages will include specific corresponding amounts, SSI, codes and other
data. Users will also be able to integrate incoming information, such as notifications of
effective payments. All messages will be stored and audited in a secure database.

• Confirmations
• Payments
• Gateway
• SML Server / Tag Server
• Screen shot examples

Settlement Instructions
Settlement Instructions will generate messages and, above all will allow users to integrate
all incoming messages, to update internal statuses and to generate appropriate accounting
entries at real settlement dates. It will ensure a full parameterization of workflows for trade
statuses and events. Users will be able to create as many user-tailored GUIs as they require
for complex settlement follow-up. Development of a real-time electronic exchange with
depositaries and clearing agents, users will be able to manage stock/cash positions within
each clearing house (realignment, postponement, etc..)

• Workflow parameterization
• Settlement
• Screen shot examples

Accounting
Accounting will complete BETA SYSTEM’s Straight Through Processing offer. It will allow
users to automatically integrate accounting entries into the General Ledger at real
settlement date, thanks to links with payment and settlement engines. It will also provide
the necessary support for Marked-to-Market revaluations, and handle a broad range of
corporate actions.
Note: The five modules will include full audit on market data, products, trades and third
parties’ static data as well as high security features.

• Accounting blotter
• Automatic General Ledger entries
• Marked-to-Market revaluations
• Audit and “Four-eyes” check
• User Access Rights
• Screen shot examples

BETA SYSTEM Back Office will follow the settlement process associated with transactions,
allowing to define the complete workflow for each counterparty, to generate confirmation
and payment messages, to settle deals and to post accounting entries. A single trade
database will be shared by all front, middle and back office users thereby facilitating true
straight through processing, considerably reducing transaction costs and operational risk.

BETA SYSTEM will be developed in a truly open architecture. An intuitive C++ custom
platform will enable users to seamlessly customize the system, for instance to integrate
proprietary pricing models, specific market data types, new instruments and risk scenarios
into the BETA SYSTEM.