Whats New in 9.

5
CRD Product Management
November 19, 2015
- For Internal Distribution Only This document represents Charles River Developments current projection of future enhancements to CRD products. CRD reviews market needs and assesses priorities on a regular basis to
determine appropriate features and functions planned for future releases. While the information in this document is presented as planned or projected, CRD reserves the right to change plans,
priorities, and future enhancements at any time without notice.

Agenda
Overview
Product Areas

New Manager Workbench

Fixed Income, Derivatives, Compliance, Risk
Blotter, Equity, FX, Cash
Middle & Back Office
Data
Wealth Management

Questions & Answers

1

Release 9.5 Overview

Themes:

FI workflows across NWB, Blotter

Equity workflow improvements
MBO integration across components
Data EDM, Global Fixed Income
Wealth managed accounts support

Target Ship: December 4, 2015

2

Software Release Schedules

9.3

9.5

Planned Release

Ongoing

Feature Release

Feature Release

Feature Release

Feature Releases

Q2
2015

Q3
2015

Q4
2015

Q1
2016

Q2
2016

Q3
2016

Q4
2016

Predictable Release
Cycle

Enhanced Standardized
Workflows

Improved Software
Quality & Performance

SaaS Offering

2017+

9.4

9.6

Planned Release

Feature Release

Feature Release

Feature Release

Development Partners may receive the releases earlier than indicated

Release Target Dates may change due to: Expanded release content to meet market requirements, changing requirements, quality improvements and increased maintenance support

New Manager Workbench

Release Highlights
Order generation workflows (FI focused)
New switch method, editing variance columns for multimodel/bmk cases, oversell in Targeting/Switch
Re-switch (dev feature in 9.5)

Order review screen

Integrated blotter view for mgr order workflows

Parity with classic MWB

Account filters/temporary account groups
NOINV support
Roll (futures/CFWDs)
5

Why Important?
OG: More aligned with how clients view
workflows, trader needs to recalculate switch
based on execution details
Order review: need screen to perform mgr tasks
on mgr orders (limit, reason, comments)
Parity: filters for on the fly group creation, NOINV
for gain/loss calculations, Roll function
integration
6

Switch/Re-Switch
New switch method
One to One
Allow trade thru zero
Benchmark security
defaulting
Capturing of prelim
switch details from
NMWB
Release Contingency

Switch/Re-Switch
Prelim switch
is no longer
accurate based
on execution
details
Need to
capture intent
from prelim for
re-switch

Order Generation Workflows

Variance column editing allows for managing vs. multiple
models/benchmarks and targeting to specific levels per scenario

Parity Work
Account Filters
NOINV (gain/loss)
Futures
CFWDs

Roll
Futures/CFWDs
10

Additional Information

Online help
IM specialist training program
NMWB intro sessions: Early 2015
Z:\ClientServices\Team Meetings\MWB training
videos.zip

11/9-11/10 Burlington (recorded)

Asset class specific programs to follow

11

Fixed Income Trading

12

Fixed Income Trading

Trade and Quote History improvements
Give the trader more visibility into his firms past experience

Inventory and price history integration with MWB

Give the PM visibility into the market

More electronic trading options

AUS bond futures
16+ venues certified
13

New MWB Integration

Manager Workbench users are now able to link both Price History and Inventory to associated rows in the
Account View, Security View, and Account Pivot Views
This integration supports linking at both the individual security and summary row levels.
14

Quote History
Quote History by Broker
A breakdown of all quotes grouped
by broker
Displays associated quote and trade
information

Quote History by Security

A breakdown of all quotes grouped
by Security
Displays associated quote and trade
information
Both views can be accessed through
advanced or simple search options.
15

Additional Information
Product flash
http://buildsystem/crdwiki/ProductFlash/Fixed_Income/95_FI_Features

16

OTC Derivatives

17

OTC Derivatives
Improved Tradeweb SEF trading support
MAC swaps, compression swaps

Additional lifecycle support

IRS swaption exercise support (physical and cash)
Listed and OTC equity index option exercise/expiry support,
including cash settlement

Workflow additions/improvements
CDS Index swaption support
18

Additional Information
OTC Derivatives webinar
https://www.crdportal.com/Webinar_Derivatives

Quick Sheets
On the client portal

Videos
New SEF trading videos
in progress

19

Risk/Scenario Analysis

20

Risk/Scenario Analysis
Risk: Historical Simulation VaR
Ready for development partners/early adopters see PM for
target client profile

SA: Support for equity shifts

21

Risk
Reminder: Risk is more than just VaR
What is my duration exposure by sector?

What are my portfolio-level

sensitivities to rates and credit?

What is my active quality exposure by sector?

What are my top 10

issuers?

What is my active sector

exposure?
What is my coupon and rating exposure distribution?

22

Scenario Analysis Equity shifts

23

Additional Information
Risk Management webinar
On the client portal

Risk presentation and FAQ

Reach out to PM

Online documentation

Heavily revised and updated

24

Analytics

25

Analytics
Updated IRS swap valuation methodology
OIS dual-curve stripping

Improved Brazilian bond pricing precision for NTN-B/C,

DI IAM and DI Debentures
Par curve based duration and KRDs
26

Additional Information
IRS OIS dual curve stripping
Setup and Configuration > Analytics > Methodology > Interest
Rate Swap Calculation Methodology

Improved Brazilian bond pricing precision for NTN-B/C, DI IAM

and DI Debentures
Setup and Configuration > Fixed Income > Bond Catalog > Bond
Setup by Country > South America > Brazilian Bonds

Par curve based duration and KRDs

Reference > Analytics Reference > Key Rate Duration
27

Compliance

28

Compliance
Exclude open orders from batch compliance
Placement compliance (API)
Conduct restriction checks at the time of placement prior to
entering the market

Distributed compliance processing

Technical improvement to batch technical architecture

29

Excluding Open Orders from Batch

Portfolio should not invest more than 10%
common stock in the technology sector

EoD Position Concentration = 9.58%

Open BUY order on blotter that increases

concentration 2.17%

Batch compliance results:

Portfolio only (V95) no Alert

Portfolio plus Open Orders - Alert

Blotter, Equity, FX, Cash

31

Release Highlight
Improvements to execution workflow
New Create/Modify placement windows simplify
placement workflows particularly for multi-order
placements and closes an EMS usability gap

Exchange Traded Derivatives

Support exercising cash settled option contracts
Support for creating flexible multi-leg orders from an
option chain embedded in the order entry

32

Execution Workflow Improvements

Easily create or replace a
set of placements in the
market, with algo
parameters rolled up
across multiple
placements
More information
Less real-estate
Fewer clicks
Better U/I

33

Options Workflow Improvements

Options Chain in New Order Entry

Exercise, Assign & close options
position for index options and cash
settled instruments
Security Settlement Method

34

Options Workflow Improvement

Embedded chain allows
Drag & Drop security
selection
Real time spread pricing
Multiple underlying
stocks/chains available

35

Release Highlight
Order management and blotter usability
Navigations can now open a view or profile in a
separate window allowing easy access to
functionality without cluttering the workspace
New inline filters were added that allow the user
more robust filtering on specific columns
Optional merge criteria can be defined to provide
increased flexibility over when a merge can occur
36

Blotter Improvements

37

Release Highlight

FX and Cash Management

Support for cash management defaults and
balances defined as a percentage of market value
Support for trading treasuries and money market
funds from the cash flow forecast
Support for non-deliverable swaps

38

Execution Workflow Improvements

Create FX and Money
Market trades from the
Cash flow Forecast
Configure cash min/max
balance defaults to
streamline workflow
Define as a currency
amount or as %MV
Allows for more robust
cash workflows both for
FX and money markets

39

Additional Information

Addition information in On-line Help

FX, Cash & Commissions review for SEs on
11/5/15

40

Middle & Back Office (MBO)

11/20/2015

41

Release Highlight
More integration across:
Post Trade
IBOR (Investment Book of Record)
PMAR (Perf Measurement, Attribution, ex-post Risk)

Note: All are optional components of CR-IMS

i.e. they require extra licensing

11/20/2015

42

Trade Flow with MBO components

Portfolio
Management

Performance,
Attribution &
Risk

Compliance

Investment
Book

Trading /

of Record
(IBOR)

Execution
Post Trade /
Settlement

11/20/2015

43

Post Trade overview

General workflow improvements (v93+)
New Trader-Operations Workflow Support
Granular Privileging for Post-Trade Action Buttons

Omgeo CTM (v93+)

Support for PSET (Place of Settlement) matching

In CRIMS, this is DelivType

Support for Standard Rejection Codes for CTM

Asset class expansion (v94+)

Oasys: support for Repos
Markit MTM: support for OTC Equity Options

11/20/2015

44

New Post Trade Workflow: Revert

Ability to revert the order from Ops back to Trader, and vice versa

11/20/2015

45

IBOR Overview
Notable features
Position maintenance based on trades & txns
Corp actions data feed & processing
Recon against back-office

V94+
Integration with Bank Balances (Opening Cash Balance) and CFF (Cash Flow Forecast)
Integration with Compliance for Beginning of Day (BoD) and Intraday promotions of
positions/lots

V95
Txn replay (recalculating positions due to back-dated transactions)

Dev Features
P&L calcs (realized & unrealized, short vs long term)
Integration with PMA (feeding historical Pos & Txn to PMA)

11/20/2015

46

New G/L Columns In IBOR

11/20/2015

47

PMAR Overview
V93+
Redesigned engines to support high-volume processing and data extraction
Persistence of acct-level and position-level returns

V95
Persistence of composite results
Phase 1 integration with New MWB (acct-level PMAR results only)

Dev Features
Phase 2 integration with New MWB (categ-level and position-level PMAR
results)
Integration with IBOR (sourcing historical Pos & Txn data from IBOR)
GIPS Composite enhancements (exception & approval workflows)

11/20/2015

48

Ability To See PMAR Results In New MWB

49

Additional Information
Online help on each CRIMS component
Marketing sell-sheet on each component
PMA training for Impl Specialists (in progress)
Training provided on generic PMA background

Training provided on specific CRIMS PMA functionality

Next step: PMA workshop in Q1

Embedding new Impl resources within IBOR & PMA teams

11/20/2015

50

Data

51

Release Highlights

Data Management EDM (v9.5)

Validation

Reference Service (Dec)

TR greatly expands fixed income reach

Benchmark (Nov)
Continuing with Hub & Direct models

52

EDM (v9.5)
Validation
Rules-based
Highlight potential secmaster issues
Stale prices, missing items, threshold checks

Audit (under development)

Describe how a data value got into the secmaster
How did field X get set for security Y on Monday??
53

EDM Use Cases in 9.5

Validation

Just use validation on secmaster

Core EDM* flow

Load multiple sources

Blend using rules
Validate and promote
Allows for persistent overrides

Data Management Service

* In v9.6, EDM will likely require a parameter for licensing purposes
54

CR Data Service - Reference

Global Fixed Income coverage

Corps, Govt, Structured, etc.
Benchmark treasury

Fixed, Inflation, Floating, etc.

Curves
Bond Futures

55

CR Data Service
Blend
IDC global equities, munis
TR all the rest, including issuer
Pricing update coming in Dec/Jan

Targets
Mid-sized, global
Multi-asset focus
Aligned with CR Analytics (Fincad)
56

CR Data Service - Benchmarks

11 clients live
MSCI, Russell, FTSE (hub mode)
S&P, iBoxx (direct mode)

4 clients in implementation
Barclays, ML, Cred Suisse, S&P (direct mode)

57

Additional Information

EDM whitepaper
https://na27.salesforce.com/06933000001yanB

Data Service Sheet

http://www.crd.com/assets/pdfs/Charles_River_Data_Service_US.pdf

Data Management Service

Info pending

58

Wealth Management

59

Release Highlight
Centralized UMA and SMA product support
Central Workbench
Additional touch points

Tax Management
Gain/Loss Budgeting
Wash Sale detection (all accounts; most order generations)

Householding
Household drift
IPS Fulfillment tool

60

UMA and SMA in production

Central Workbench
New model types for SMAs
CRA integration

61

Central Workbench

62

Central Workbench: Accounts

63

Gain/Loss Budgeting
Gain/loss budget at account level
Intraday updates from Rebalancer and CRA
Long term, short term, or total
Consideration of orders in all statuses

64

Gain/Loss Budgeting

65

Gain/Loss Budgeting

66

Wash Sale Detection

Regular accounts, SMAs and UMAs
All order generation modes
Order preview/order edit in CRA
Exclusion from drift monitoring

67

Wash Sale Detection

68

Household Drift
Calculated against Household IPS (AAM)
New drift monitor in CRA

69

Household Drift

70

Household Drift

71

Household Fulfillment
Ability to select products/securities to fulfill household IPS
targets
Only appropriate products can be selected (model
tags/security classifications/product minimums)
Fulfilment not complete until targets are met
Once complete, each account is assigned an AA model

72

Household Fulfillment

73

Additional Information
Help doc updated with these topics
9.5 demo given to NA Sales 11/5
9.5 demo scheduled for WM/Wells Imp 11/20
Wealth course given to most recent CRU

74

Questions and Answers

75

76