SoftWell: Navigator Limit

Functionality

NAVIGATOR.LIMIT is designed to monitor the limits set in the financial institution in real time. Limit NAVIGATOR provides the following basic functionality:

• Supports your own storage of information required to control limits. The repository contains directories of transactions (transactions, applications), clients, counterparties, issuers, instruments, market quotes, currencies and calendars of currencies, portfolios, brokers, traders, accounts, collateral, formulas. Information in the storage is kept up-to-date with respect to external sources of information.
• The user interface for creating a limit structure, which is flexible in terms of defining limit types and algorithms for calculating limits.
• Carry out authorization control of limits for operations according to the current limit structure and market quotes. For authorization logic, various settings are provided to ensure the flexibility of the system in setting operation authorization rules.
• Limit management - Specify time adjustments to limits, redistribute free balances between limits, and target reserve free remaining limits.
• The audit system monitors events with the main objects of Limit NAVIGATOR: operations, limits.
• The reporting system (including real-time) allows you to monitor the process of controlling limits and authorizing operations.
• Control of user rights when performing actions in Limit NAVIGATOR.

System architecture

The system is implemented as a client/server application having its own database. Interaction diagram of the Limit NAVIGATOR system components:

Information storage

Limit NAVIGATOR has its own repository of information necessary for risk control and management.

The repository includes the following basic reference books:

• Transactions - All transaction parameters that affect the calculation of limits are saved.
• Counterparties and Counterparty Groups.
• Issuers.
• Tools and Tool Groups.
• Industries and Industry Groups.
• Countries.
• Portfolios, Profit Centers, Traders, Brokers.
• Invoices and Pledges.
• Interest rates.
• Market quotes - a regular load of the market quotation cut is carried out, according to which the limits are recalculated.
• Currencies and Holiday Table for currencies.
• Risk factors
• numerical factors showing the most likely maximum percentage of change in the market value of an instrument over a period of time. Risk factors are loaded into the database from an external application. For all reference books, data exchange with external systems is provided for updating information.

Limit Structure

The quota structure in the system is flexible. The system considers the limit from the point of view of the limit. The user can create limits with a different way of setting the restriction: in absolute terms, in percentage (restriction on the relations of two values), calculated interactively (revaluation of collateral, account balances).

The quota types are generated by the user - you select the constraint type, the rule for specifying the transaction selection condition for the limits of this type, and the calculation formula. The rule for setting the conditions for selecting transactions is determined by the parameters of the limit: counterparty, urgency, product, tool, etc. Thus, any set of limit parameters can be saved as a limit type, bound to this limit type by a formula, and then create specific limit instances based on the generated type.

The formula is selected from the formula guide, which contains a set of standard calculation algorithms. The reference book can be supplemented with its own formulas. To form its own formulas, the system implements a formula constructor.

Supported operations

Currently, the system supports operations in all major markets:

• Forex.
• MBC.
• Securities transactions.
• Derivatives.