According to Allen Whipple, Managing Director of Summitâs New York Business Center, "This release is a major leap forward for Summit in terms of financial engineering innovation, general business features, and STP. Our product innovations give our clients additional flexibility as they trade expensive collections of 'best of breed' applications for Summitâs cost-efficient integrated platform solutions. The net benefit is better business services across the boardâat lower cost."
Highlights of the new release include:
- Multi Underlying Structured Trade (MUST) â an exciting new means for modeling and entering highly customized and sophisticated exotic instruments. MUST allows users to create new, innovative types of trades whose underlyings span multiple asset classes (e.g., interest rate, FX, and equities). Trade characteristics can include any number of customized trade legs with embedded payoff formulas, plus user-defined variables that encompass trade input options and intermediary payoff variables to model path dependency or output variables. MUST employs a dedicated Brace-Gatarek-Musiela (BGM) pricing model, but users may add their own proprietary model if so desired.
- Extended BGM Pricing Model â a new pricing model, Brace-Gatarek-Musiela (BGM), is unique in its ability to represent a yield curve with directly observable forward Libor rates and incorporate as many factors as required to price a trade. Implemented in Summit via Monte Carlo simulation, this model is even more powerful than the industry-standard BGM model because it has been extended to include market variables such as FX rates, equity prices and foreign yield curves. Main factors are calculated using Principal Component Analysis (PCA) with correlation matrices.
- STP Message Framework â integrates internal and external STP business processes by supporting full STP automation of incoming and outgoing messages related to trade inception confirmations and settlements. The Hub handles all related messaging streams, whether in response to a document previously sent from Summit or as an unsolicited incoming message from an external trade counterparty, confirmation and matching facility, or settlement and clearing institution. The STP Message Hub interfaces with MQ Series-based external applications utilizing Summit's MQ Series Message Gateway Adapter.
Bilateral trade matching with GSCCâs Real-Time Trade Matching services (RTTM) is fully supported, encompassing the MT515/509/518 message types, status and formats. A new STP Incoming Message Server validates and decodes incoming messages, with subsequent trade status updates and workflow controlled via stored STP business processing rules.
- SwapsWire Link â tight integration with the SwapsWire platform for complete automation of OTC derivative trade capture and confirmation. Trades which are eligible for confirmation on the SwapsWire network are automatically fed to Summit, facilitating trade capture; completely automating the trade confirmation process.
- Message Generation â an integrated AutoWord server provides complete flexibility for automatically creating trade documents using the industry-standard Microsoft Word format. SWIFT MT306 documents for non-vanilla FX options are now supported, as are confirmations for bond and equity options. Outbound messages can now be dispatched via MQSeries messaging communications layer.
- Enhanced Real-time Cash Management â improvements in nostro account handling include support for real-time interest calculations on depository balances, plus storable drilldown position views.
- Japanese Accounting Compliance â Summit now provides full compliance with Japanese bond and stock accounting standards.
- Enhanced Bond Trading Support â improvements include support for adjustable fixed-rate bonds, UK Gilt strips, and auto-pricing with a choice of pricing models.
- Fails Processing â the integration of fails processing into STP allows operations professionals to see in real-time the causes of full or partial failed settlements, then initiate immediate remedial actions.
- Enhanced Commercial Lending â new features include inter-company transfer processing and moving balance swing loans.
- Enhanced Credit Derivatives â improved credit exposure and risk management calculations, plus a new diversity-based pricing model and a Copula model.
- Risk Management â hedge calculations are enhanced with improvements in the ability to: track market risk portfolio sensitivity of equity/FX volatility smiles, monitor the equity share price risk in portfolios, and include cross-rates when calculating cashflows for multi-currency bonds.
Whipple adds that in addition to providing new business features and the new STP Message Hubâs integration of internal and external STP business processes, V3.5 represents the technological foundation for another major announcement slated for later this year. "That announcement will unveil a revolution in the way users interact with real-time financial systems like Summit."