EXTENT-2016: Software Testing & Trading Technology Trends 22 June, 2016, 10 Paternoster Square, London MOEX Risk Management Real-Time Technology Sergei Poliakoff, CIO, Moscow Exchange Would like to know more? Visit our website: extentconf.com Follow us: https://www.linkedin.com/company/exactpro-systems-llc?trk=biz-companies-cym https://twitter.com/exactpro #extent2016 #exactpro

1. Sergei Poliakoff
CIO
Moscow Exchange
MOEX Risk
Management Real-
Time Technology

3. 3
OPERATIONSRISK MANAGEMENT
COLLATERAL
MANAGEMENT
EQUITY
MARKET
REAL-TIME
CLEARING RISK
FX
MARKET
REAL-TIME
CLEARING RISK
ENTERPRISE SERVICE BUS
DATA GRID
BUSINESS PROCESS MESSAGING SYSTEM
TRADING-
CLEARING
SUITE
EXCHANGE
INFORMATION
FARIC
API GATEWAY
WEB-SERVICES
API
FIX API FAST FIX API FAST
PRODUCTION CORE
DERIVATIVES
MARKET
REAL-TIME
CLEARING RISK
FIX TWIME FAST

4. 4
BASIC REAL-TIME POST-TRADE REAL-TIME ORDER
PRE-CLEARING
TRADES
END-OF-DAY, INTRA-DAY
MARGIN CALL
END-OF-DAY
OR MINI BATCH
ORDERS
~400
µs
RISK AND MARGIN
CALCULATED
IN BATCHES
RISK AND MARGIN
CALCULATED
POST-TRADE IN REAL-TIME
PROJECTED RISK
CALCULATED
BEFORE ACCEPTING THE ORDER
IF PROJECTED MARGIN
REQUIREMENT BREACHES
AVAILABLE MARGIN,
ORDER IS NOT ADMITTED TO
MATCHBOOK
ORDERS
TRADES
ORDERS ORDERS
REAL-TIME POST-TRADE
RISK CHECK
AND
MARGIN CALL
TRADES
ORDERS ORDERS
~12000 orders/second
HYPOTHETICAL TRADE
RISK CALCULATION
~400
µsACCOUNT
SHUTOFF
REAL-TIME RISK MANAGEMENT

5. 5
COSTS AND BENEFITS
CREATES EVEN PLAYING FIELD
IN A VERY DIVERSE PARTICIPANT
COMMUNITY
1
PRESERVES MARKET INTEGRITY
DURING SHOCKS
2
HELPS BROKERS MANAGE CLIENT
RISK
3
LIMITS THE COMPLEXITY AND SCOPE
OF RISK MANAGEMENT ALGORITHMS
1
LIMITS CROSS-MARGINING2
IMPACTS OVERALL SYSTEM-
STABILITY DUE TO TIGHT SYSTEM
COUPLING
3
BENEFITS COSTS

6. 6
2-TIER RISK MANAGEMENT
1 ORDER INJECTED
2
ORDER SENT TO
PRE-TRADE RISK MODULE
3
ORDER CLEARED BY
PRE-TRADE
4 MATCHED
5
PORTFOLIO RISK
RECALCULATION
6
ADJUSTED LIMITS SENT
TO PRE-TRADE
PRE-TRADE
RISK CHECK
POST-TRADE
RISK CHECK
AND CLEARING
MATCH
ORDERS
LIMITS
LIMIT ADJUSTMENT
LIMIT REAL-TIME
RECALCULATION
1
2 3
4
5
6

7. 7
NEXT STEPS FUNCTIONAL ARCHITECTURE
PRE-TRADE
RISK CHECK
POST-TRADE
RISK CHECK
AND CLEARING
DERIVATIVES
MARKET
ORDERS
LIMITS
LIMIT
ADJUSTMENT
LIMIT REAL-TIME
RECALCULATION
CROSS-MARGINED RISK
EQUITY
MARKET
ORDERS
LIMITS
LIMIT
ADJUSTMENT
LIMIT REAL-TIME
RECALCULATION
FX
MARKET
DERIVATIVES
MARKET
ORDERS ORDERS
NOW
PRE-TRADE
RISK CHECK
POST-TRADE
RISK CHECK
AND CLEARING
FX
MARKET
ORDERS
LIMITS
LIMIT
ADJUSTMENT
LIMIT REAL-TIME
RECALCULATION
PRE-TRADE
RISK CHECK
POST-TRADE
RISK CHECK
AND CLEARING
EQUITY
MARKET
ORDERS
LIMITS
LIMIT
ADJUSTMENT
LIMIT REAL-TIME
RECALCULATION
2017
PRE-TRADE
RISK CHECK