Banking Back-Office Processing

Transcription

1 Banking Back-Office Processing Portfolio Management Guide Copyright 2001, Unisys Corporation. All rights reserved Unisys is a trademark of Unisys Corporation Release June 2004 Printed in the UK

2 The names, places, and/or events used in this publication are not intended to correspond to any individual, group, or association existing, living or otherwise. Any similarity or likeness of the names, places and/or events with the names of any individual, living or otherwise, or that of any group or association is purely coincidental and unintentional. NO WARRANTIES OF ANY NATURE ARE EXTENDED BY THIS DOCUMENT. Any product and related material disclosed herein are only furnished pursuant and subject to the terms and conditions of a duly executed Program Product License or Agreement to purchase or lease equipment. The only warranties made by Unisys, if any, with respect to the products described in this document are set forth in such License or Agreement. Unisys cannot accept any financial or other responsibility that may be the result of your use of the information in this document or software material, including direct, indirect, special or consequential damages. You should be very careful to ensure that the use of this information and/or software material complies with the laws, rules, and regulations of the jurisdictions with respect to which it is used. The information contained herein is subject to change without notice. Revisions may be issued to advise of such changes and/or additions. All registered trademarks are acknowledged. Correspondence regarding this publication should be forwarded to Unisys Corporation, Bakers Court, Bakers Road, Uxbridge, Middlesex, UB8 1RG, United Kingdom.

3 About This Guide Purpose This guide describes the Client Portfolio module of the Unisys Banking Back-Office Processing product. The information contained in this guide is also available as online help. Scope The guide describes the client portfolio functionality and the associated data entry screens. Examples of the screens are shown and instructions for use are given. Audience This guide is for personnel preparing information for data entry. Prerequisites The audience should understand banking terminology. Users of this guide should have read the Starter s Guide that provides instruction in the use of the system. How To Use This Guide This guide should be used as a reference tool when preparing information for data entry. Use the guide in conjunction with a copy of your Guide to Setting Up and the Core Functions and Inquiries Guide. Refer to the On-Demand Reports Guide for instructions on how to select and run the reports that provide this information iii

4 About This Guide About Urbis The usage of the product name Urbis is due to be phased out as part of the Unisys re-branding exercise. The replacement will be the generic term "Banking Back-Office Processing" solution or "Banking Back-Office" for short. To provide continuity with existing product documentation, the name Urbis is used within this document, but is synonymous with Banking Back-Office Processing. Organisation This guide consists of three sections. Section 1. Introduction to Portfolio Management This section provides an introduction to the Portfolio Management module. Section 2. Portfolio Management Screens This section describes the screens associated with defining portfolios for your institution, your institution's clients and third parties. Each of the associated screens is illustrated and a short description is given. Section 3. Definition of Field Names The field names on the Portfolio Management screens are all defined in this section. iv

5 About This Guide Related Product Information Product Overview ( ) This document describes the capabilities and benefits of the modules of the Banking Back-Office Processing system. It consists of an overview of the system, and a description of each of the modules and interfaces available. It is intended for use by senior management. Operations Reference Card ( ) This document is a single card that provides a list of screen names and their mnemonics. The list is organised according to the menu structure of the Graphical User Interface. The card also describes how to log on and off the system, enter data, make inquiries and print reports. These instructions are relevant to the Graphical User Interface only. Starter s Guide ( ) This guide describes how to enter data and make online inquiries. It also includes a description and example of commonly used data entry and inquiry screens. This guide is intended for all new and inexperienced personnel who need to enter data and make inquiries. Guide to Setting Up ( ) This guide describes how to set up parameters that govern the operating environment of the system. It describes the procedures for setting up the business and operational tables, and setting up usercodes and access security. The procedures for setting up blueprint parameters are provided with a description of each parameter. It should be used by all persons involved in installation, implementation and maintenance of these system parameters. Core Functions and Inquiries Guide ( ) This guide describes the kernel functions that are used regularly for the maintenance of information utilised by a number of modules. It describes the procedures for setting up and maintaining data, such as market rates and dealers. It also describes inquiries that are common to all contracts. This guide is relevant to all users. Clients and Accounts Administration Guide ( ) This guide describes the data entry and inquiry screens associated with setting up and maintaining client details. This guide also describes the set up and maintenance of client accounts, including automatic payments (standing orders). An appendix covers the calculations used by client accounts. This should be used by personnel preparing information for data entry v

6 About This Guide Settlements Guide ( ) This guide describes the processes associated with settlements and customer transfers. It details how to administer the settlement queues. This guide also describes how to use the Straight Through Processing and Netting functions. It should be used by personnel managing the settlements department. General Ledger Administration Guide ( ) This guide describes the data entry screens associated with General Ledger transactions. This should be used by personnel preparing information for data entry. Risk Management Administration Guide ( ) This guide describes the data entry screens associated with setting up limits and exposures. The guide also describes the screens associated with portfolios. The amounts that represent book and market values are listed by module in an appendix. This guide is intended for personnel preparing information for data entry and those concerned with controlling risk. Commercial Loans Administration Guide ( ) This guide describes the data entry screens associated with Commercial Loan transactions. This includes entry of commitments, various types of drawdown and contract schedules. An appendix gives the calculations used in the processing of Commercial Loan transactions. This guide is intended for personnel preparing information for data entry. Foreign Exchange and Money Market Administration Guide ( ) This guide describes the data entry screens associated with Foreign Exchange and Money Market transactions. An appendix gives the calculations used in the processing of Foreign Exchange and Money Market transactions. This guide is intended for personnel preparing information for data entry. Forward Rate Agreements and Interest Rate Swaps Administration Guide ( ) This guide describes the data entry screens and some related inquiries associated with Forward Rate Agreement and Interest Rate Swaps transactions. An appendix gives the calculations used in the processing of Forward Rate Agreement and Interest Rate Swap transactions. This guide is intended for personnel preparing information for data entry. Futures Administration Guide ( ) This guide describes the data entry screens associated with Futures transactions and some related inquiries. An appendix gives the calculations used in the processing of Futures transactions. This guide is intended for personnel preparing information for data entry. vi

7 About This Guide Options Administration Guide ( ) This guide describes the data entry screens associated with Options transactions. An appendix gives the calculations used in the processing of Options transactions. This guide is intended for personnel preparing information for data entry. Securities Administration Guide ( ) This guide describes the data entry screens associated with Interest Bearing Securities, Discounted Securities and Repurchase Agreements transactions and some related inquiries. An appendix gives the calculations used in the processing of Securities transactions. This guide is intended for personnel preparing information for data entry. Trade Finance Administration Guide ( ) This guide describes the data entry screens used by the Trade Finance department. This guide is intended for personnel preparing information for data entry. Generalised Fees Administration Guide ( ) This guide describes the data entry screens associated with Fee transactions and supporting business table. This guide is intended for personnel preparing information for data entry. Core On-Demand Reports ( ) This guide describes how to run online reports that are provided in the core of the Banking Back- Office Processing system and which will be relevant to most implementations. Any options available when producing a report are detailed as well as any specific calculations. On-Demand Reports Guide ( ) This guide describes on-demand reports in alphabetical order. Any options available when producing a report are detailed as well as any specific calculations. Note: core reports are described in the Core On-Demand Reports Guide; retail reports are described in the Retail On- Demand Reports Guide. Overnight Reports ( ) This guide describes how to run offline reports. This includes an overview of overnight processing. Instructions on how to initiate reports are given. This guide should be used by all personnel who need to understand the reports and the overnight process. Data Dictionary ( ) This document provides details of data fields within every dataset on your banking systems database. This document should be used by staff preparing the accounting models and writing SQL reports to inquire on the database vii

8 About This Guide Guide to Interfaces with External Systems ( ) This guide describes the running of all the interfaces between your Banking Back-Office system and external systems. This guide is intended for personnel involved in setting up and running external interfaces. Stock Exchange and Securities Management ( ) This guide describes how to set up and maintain the securities master file, allowing you to record details of stock exchange securities. This guide also describes how to create, maintain and inquire on contracts based on stock exchange securities, including the necessary static data. Order Transport Management System ( ) This guide describes how to enter stock exchange securities contracts using the Order Transport and Management System. The screens in this guide allow users to add, maintain and inquire on deals, convert deals into stock exchange securities contracts, and liaise with brokers to complete settlement of a deal. This guide is intended for personnel preparing information for data entry. Loan Administration System Guide ( ) This guide describes the data entry screens associated with Syndicated Loans. It includes entry of facilities, and contracts such as drawdowns, guarantees and acceptances and their schedules. The screens in this guide allow users to enter data using workflows. This guide is intended for personnel preparing information for data entry. Static Database Reports Guide ( ) This guide provides examples of the master data information used in the establishment and production of the static database. It should be used by persons who are familiarising themselves with the systems functionality. Static Database Transaction Input Guide ( ) This guide, in conjunction with the static database, enables users to evaluate the functions and features of many of the modules. It should be used by persons who are familiarising themselves with the systems functionality. viii

9 Contents About This Guide... iii Section 1 Introduction to Portfolio Management Portfolio Prerequisites Portfolio Types Clients for Portfolios Contract Types Portfolio Templates Defining Portfolios Portfolio Hierarchies Charges Applicable to Portfolios Valuation Rules Client Portfolio Valuation Inquiries Bank Portfolio Inquiries Linkage to MFT Section 2 Portfolio Management Screens Introduction to Portfolio Management Screens Portfolio Type Maintenance (PFTM) Portfolio Definition (PFDFM) Portfolio Generation for Client (PFGCM) Portfolio Tree Maintenance (PFTRM) Portfolio Valuation Inquiry (PFVL1) Portfolio Contract Valuation (PFVL2) Portfolio Positions Valuation (PFVL3) Bank Portfolio Components (PFALL) Section 3 Definition of Field Names Introduction Index... Index ix

10 Contents x

11 Figures 1 1 Example of Bank Portfolio Hierarchy Valuation Rules Used During Valuation Inquiries Inquiring on a Portfolio Portfolio Type Maintenance screen Portfolio Definition screen Portfolio Generation for Client screen Portfolio Tree Maintenance screen Portfolio Valuation Inquiry screen Portfolio Contract Valuation screen Portfolio Positions Valuation screen Bank Portfolio Components screen xi

12 Figures xii

13 Tables 3 1 Definition of Field Names xiii

14 Tables xiv

15 Section 1 Introduction to Portfolio Management Portfolios are used to group together the assets and liabilities of the owner of the portfolio. The information in the portfolio can then be used for management and tracking purposes, with a wide range of inquiries available to view the data in the portfolio. The following types of owner are allowed for portfolios: Bank the portfolio is owned by a section of your institution Client the portfolio is owned by a client of your institution Third Party the portfolio is owned by a third party who deals with your institution, for example a broker The following types of asset can be recorded in a portfolio: Contracts many of the banking contract types that are not yet matured can be included in a portfolio as an asset. See "Contract Types" later in this section for a full list of the contract types that can be included in a portfolio Stock Exchange Securities securities held in a portfolio, which have been traded using the Stock Exchange Securities functionality. See the Stock Exchange and Securities Administration Guide for more information Cash - belonging to the owner of the portfolio. This information is taken from accounts held at your institution Other Portfolios assets held under another portfolio that has been linked to a portfolio in a hierarchy are counted as assets of the primary portfolio. This is only available for Bank portfolios Client and Third Party portfolios can have data extracted and passed to a third party asset management tool called Investor Workstation and Global Performance. This software is produced by Montclair Financial Technology (MFT). See "Linkage to MFT" later in this section for more information

16 Introduction to Portfolio Management Portfolio Prerequisites Before you can create portfolios, you must have set up the following information: Portfolio Types Clients for Portfolios Contract Types Portfolio Types Portfolio types are used to group together similar portfolios, and also to assign the basic characteristics of a portfolio. The most important characteristic defined by the portfolio type is the "Portfolio Category". This determines the type of owner of the portfolio and can be either: Bank the portfolio is owned by a section of your institution Client the portfolio is owned by a client of your institution Third Party the portfolio is owned by a third party who deals with your institution, for example a broker There can be many portfolio types defined for a portfolio category, set up on the Portfolio Type Maintenance (PFTM) screen, described in Section 2 of this guide. The three portfolio types have slightly different functionality, including the following: Hierarchies bank and client portfolios use different methods to create hierarchies. Third party portfolios cannot have hierarchies established for them. See "Portfolio Hierarchies" later in this section for more information Valuation Inquiries bank and client portfolios use different screens to inquire on the assets of a portfolio. See "Client Portfolio Valuation Inquiries" and "Bank Portfolio Inquiries" later in this section for more information Clients for Portfolios Before a portfolio can be created, a client must have been set up to represent the owner, and provide necessary basic details. If your institution is using the stock exchange securities functionality, then a client must be set up to represent your institution before you create a portfolio for your bank. This client can have limited details and no accounts. See the "Creating a Client" in the Clients and Accounts Administration Guide for information on creating and maintaining a client

17 Introduction to Portfolio Management Contract Types The following contract types can be viewed as an asset or liability in a portfolio: All Money Market (MM) All Futures (FU) All Options (OP) Forward Rate Agreement (FRAC) Interest Rate Swaps (SWPS) Foreign Exchange Market (FXM) Foreign Exchange Swaps (FXS) Stock Exchange Securities (SX) Client Accounts (CA) For each of the contract types above, you must define which contract group they are to be displayed in on the portfolio valuation screens. This is done in the General Purpose Narrative (GNARR) table, type CX, described in the Guide to Setting Up

18 Introduction to Portfolio Management Portfolio Templates Portfolio templates allow the creation of many portfolios based on a single template. The template is created on the Portfolio Definition (PFDFM) screen, using the "Template" field to mark it as a template. A template can contain default values for all the fields on this screen, which will be applied to all portfolios created from that template. However, the Client Shortname and Client City cannot be entered for a template. For each template you can also define a portfolio suffix range. When creating a portfolio based on the template, a portfolio identifier can be automatically assigned to the new portfolio. If the portfolio suffix range is used, then the next unused number in the range will be added to the end of the automatically assigned portfolio identifier, to individualise the identifier. To create a portfolio from a template, you must use the Portfolio Generation by Client (PFGCM) screen. See "Defining Portfolios" later in this section for more information. Defining Portfolios You can create a portfolio in two ways: Direct Portfolio Creation - A single portfolio can be directly created for a single owner on the Portfolio Definition (PFDFM) screen, described in Section 2 of this guide. The portfolio identifier must be manually assigned during creation. Portfolio Creation via a Template - A portfolio or portfolios can be created for a single owner based upon a template. The template must have been set up using the Portfolio Definition (PFDFM) screen, while the individual portfolios are created using the Portfolio Generation for Client (PFGCM) screen. The portfolio identifier can either be manually assigned, or defaulted to the Client Shortname followed by an automatically generated suffix Once a portfolio has been created, using either of the above methods, it is given the status of "Active". Portfolio Hierarchies Portfolios can be ordered into hierarchies in a parent/child relationship. The method of creating a hierarchy is different depending on the category of the portfolio. Client category portfolios use one method, while bank category portfolios use a different method. Hierarchies can be created for the following portfolio categories: Client and Third Party Portfolio Hierarchies Hierarchies can be established for client and third party portfolios. The hierarchy information is then passed to the MFT reporting program where it is used in preparing portfolio information. None of the hierarchy information is used for processing, and the portfolios are not shown as linked in any of the inquiry screens. To create client and third party hierarchies, you should use the Portfolio Tree Maintenance (PFTRM) screen, described in Section 2 of this guide. You can create as many levels in a hierarchy as are necessary

19 Introduction to Portfolio Management Bank Portfolio Hierarchies Bank portfolio hierarchies can be created using the "Parent Portfolio" field on the Portfolio Definition (PFDFM) screen, described in Section 2 of this guide. Each portfolio can have one parent. Circular portfolios are not allowed, that is a portfolio may not have as one of its components a portfolio that is higher in the structure. When inquiring on a portfolio it is possible to see any child portfolios linked to that portfolio as assets or liabilities. The diagram below shows a simple portfolio structure. The "House" portfolio is at the top of the hierarchy, and is named using the blueprint parameter BP-HOUSE. See "Blueprint Parameters" in the Guide to Setting Up for more information on this blueprint. The following figure is an example of a bank portfolio hierarchy, showing the different levels that can be constructed. House FX Capital Markets MM Spot Forward Swaps Investments Trading Lending Borrowing Derivatives Dealer Book 1 Dealer Book 2 Dealer Book 3 Strategy 1 Strategy 2 Strategy 3 Figure 1 1. Example of Bank Portfolio Hierarchy

20 Introduction to Portfolio Management Charges Applicable to Portfolios If your institution is using the stock exchange securities contracts functionality, you may identify which charges are to be applied to the portfolio. The two types of charges that can be defined at this stage are: Commission a charge applied to every stock exchange securities contract entered into for the portfolio. The charge is levied by either your institution, or a broker, and the charge is payable by the owner of the portfolio. Commission can be calculated using either a commission category or a commission table, and a percentage discount or surcharge can be applied to the final commission figure. Commission categories are set up on the Commission Tables by Category (CTCM) screen, while commission tables are set up on the Commission Table Maintenance (COMMM) screen Supplementary these charges are normally applied as one-off charges, unique to a contract. By entering a supplementary charge when defining a portfolio, the charge will be applied to every stock exchange securities contract created for the portfolio. Supplementary charges are set up on the Supplementary Charges Maintenance (SUPCM) screen For more information on how these charges are created, see "Charges Applicable to Stock Exchange Securities" in the Stock Exchange and Securities Administration Guide

21 Introduction to Portfolio Management Valuation Rules For the different contract groups that can be displayed during a valuation inquiry, the following valuation rules apply: Contract type Book Value Market Value Money Market (MM) Loan/Deposit Foreign Exchange Market (FXM) and Swaps (FXS) Forward Rate Agreements (FRAC) Principal + Accrued Interest Zero Zero Principal + Accrued Interest Mark to Market valuation Mark to Market valuation Interest Rate Swaps (SWPS) Zero Net Present Valuation Futures (FU) Zero Unrealised Profit/Loss (Product of difference of closing price, dealt price and quantity) Options (OP) Premium Paid Market Premium Value/ Premium calculated by Black & Scholes method Equities and Securities (SX) Average Book Cost of Holdings Market Value of Holdings Cash in Client Accounts (CA) Trade dated balance in account currency and historic balance in portfolio currency Traded dated balance in account currency and current valuation in the portfolio currency Table 1 2. Valuation Rules Used During Valuation Inquiries For more information on the valuation of individual contract types, see the relevant user guide. For example the Foreign Exchange and Money Market Administration Guide has more information on the mark to market valuations applicable to foreign exchange contracts

22 Introduction to Portfolio Management Client Portfolio Valuation Inquiries There are various inquiry screens available to inquire on portfolios. These allow you to view the assets and liabilities of a portfolio. The screen Portfolio Valuation Inquiry (PFVL1) is the first screen in a chain of screens designed to make the inquiry process easier. On this screen, the assets and liabilities are grouped together into the following: Contracts Stock Exchange Securities Cash Account All contract groups must be defined on the General Purpose Narrative (GNARR) table, type CX, described in the Guide to Setting Up. A contract group can consist of one or more contract types. See "Contract Types" earlier in this section for a description of the contract types that can be included in a contract group. By selecting one of these contract groups, you can link to other inquiry screens for more detailed information. The diagram below shows the inquiry screens used for each contract group. Inquire on a Portfolio Portfolio Valuation Inquiry (PFVL1) Inquire on a Contract Type Portfolio Contract Inquiry (PFVL2) Inquire on Stock Exchange Securities Portfolio Positions Inquiry (PFVL3) Inquire on a Cash Account Client Account Summary (CAASI) Inquire on Further Details of a Contract Contract Details for example Foreign Exchange Market Inquiry (FXMKI) Valuation Details for example Swaps Valuation (SWPVI) Futures Valuation (FTVAI) Inquire on Further Stock Exchange Securities Details Holdings Inquiry (SAPNI) Holding Transaction Inquiry (SAPSI) Inquire on Further Client Account Details for example: Client Account Inquiry (CAACI) Postings Inquiry by Number (POSTN) Account History Inquiry (HISTA) Figure 1 3. Inquiring on a Portfolio

23 Introduction to Portfolio Management Bank Portfolio Inquiries For bank portfolios, the method of inquiring on the assets in a portfolio is different than for client portfolios. The Bank Portfolio Components (PFALL) screen allows you to view all assets of a portfolio, whether this is contracts, or other portfolios. High level information for each asset is shown. If you require greater detail, you can "drill down" to the corresponding contract inquiry screen, or portfolio inquiry. If you wish to assign an asset to a different portfolio, the system links to the corresponding change screen where you can change the portfolio assignment. Linkage to MFT To enhance the inquiry, management and performance measurement of portfolios, a linkage is supplied to the Investor Workstation software produced by Montclair Financial Technology (MFT). Information is extracted from the system database and passed across to the MFT software. The link is one way only, and to view the information in the MFT software database, you must use the MFT software. For a description of how to operate the MFT software, please refer to the appropriate user guide. For technical information on the operation of the MFT Linkage, please refer to MFT Interface in the Guide to Interfaces with External Systems. The following asset and liability information is extracted for all portfolios (including those belonging to clients, your bank and third parties): Positions of stock exchange securities Cash contained in client accounts related to a client Un-matured contracts of the following types; FXMK, FXSW, MMLN, MMDP, MMBL, MMID, MMIL, and MMDL The data extraction process is carried out by the TIBMFT - MFT Interface report, described in the On-Demand Reports Guide. The report can be run either as a sleeping, overnight or on-demand. The report passes the extracted data to the MFT software via a middleware publisher called Rendezvous, created by TIBCO

24 Introduction to Portfolio Management

25 Section 2 Portfolio Management Screens Introduction to Portfolio Management Screens This section provides a description of the following Portfolio Management screens: Portfolio Static Data Portfolio Type Maintenance (PFTM) Portfolio Entry Portfolio Definition (PFDFM) Portfolio Generation for Client (PFGCM) Hierarchy Definition for MFT Portfolio Tree Maintenance (PFTRM) Portfolio Inquiry Portfolio Valuation Inquiry (PFVL1) Portfolio Contract Valuation (PFVL2) Portfolio Positions Valuation (PFVL3) Bank Portfolio Components (PFALL) A full description of the fields on the screens, and valid entries, is given in Section 3, "Definition of Field Names". Please refer to the Starter's Guide for a description of how to access and use screens

26 Portfolio Management Screens Portfolio Type Maintenance (PFTM) This screen allows you to define the portfolio types used by your institution. The portfolio type allows similar portfolios to be grouped together, and applies basic characteristics to each. The most important characteristic is the portfolio category. This defines whether the portfolio belongs to your institution, one of your clients or a third party. See "Portfolio Types" in Section 1 of this guide for more information. When you are defining a portfolio using the Portfolio Definition (PFDFM) screen, you must enter the portfolio type. The following figure is an example of the Portfolio Type Maintenance (PFTM) screen: Figure 2 1. Portfolio Type Maintenance screen

27 Portfolio Management Screens Portfolio Definition (PFDFM) This screen is used to define a single portfolio for either a client, your institution or a third party. See Portfolio Types in Section 1 of this guide for descriptions of the usage of these different portfolios. You can also use this screen to define portfolio templates, used when creating multiple portfolios. When entering a new portfolio, you must complete the following fields: Portfolio this is the identifier of the portfolio Portfolio Type this groups the portfolios in your system into different portfolio types. This also assigns the "Portfolio Category" Name this is a description of the portfolio Client Shortname this is the client the portfolio is being created for. Clients must have been set up to represent the owner, and provide necessary basic details. If your institution is using the stock exchange securities functionality, then a client must be set up to represent your institution before you create a portfolio for your bank Status this is the status of the portfolio, and should be set to "Active" to activate the portfolio Preferred Currency this is the default currency for displaying values on reports and inquiries For client portfolios you should enter a Portfolio Manager, who will be responsible for the operation of the portfolio. The Portfolio Manager must have been previously set up as an officer of your institution on the Dealers and Officers (DEALR) screen, described in the Core Functions and Inquiries Guide. For any portfolio that will be trading in stock exchange securities, you must complete the Custody Model field. The fields contained under the Settlement and Commission Charges headings are also relevant, and supply default values to stock exchange contracts. To create a template portfolio, you must enter the Template and Portfolio Suffix Range fields. A template must not have a client shortname or city defined. The suffix range fields are used when automatically creating a portfolio identifier for a portfolio. Once a template has been defined, you can create portfolios based on it using the Portfolio Generation for Client (PFGCM) screen

28 Portfolio Management Screens The following figure is an example of the Portfolio Definition (PFDFM) screen: Figure 2 2. Portfolio Definition screen

29 Portfolio Management Screens Portfolio Generation for Client (PFGCM) This screen allows you to create one or more portfolios based on portfolio templates. Before you can use this screen, you must have created a portfolio template on the Portfolio Definition (PFDFM) screen. See "Portfolio Templates" in Section 1 of this guide for more information. The portfolio template used when creating portfolios on this screen can be defaulted based on the client type, and the currency of portfolio required. Set up the default values on the Client Accounts and Portfolio Definitions for Client Type (CAACM) screen, described in the Clients and Accounts Administration Guide To create a portfolio from a template, you must identify the owner using the Client Shortname and Client City fields. Identify the portfolio template to use by entering its Portfolio Identifier and Currency. If you are creating multiple portfolios, different templates can be used for each. Other information you must enter for the new portfolio includes: Portfolio Reference this will become the Portfolio Identifier of the new portfolio. If left blank it will be created automatically, based on the client shortname, and a suffix. The suffix is the next one in the range defined by the Portfolio Suffix Range fields on the Portfolio Definition (PFDFM) screen Portfolio Manager Portfolio Name Once you have entered the details of the new portfolio, you can enter the details into the database. To do this: T Switch On the Update field adjacent to the new portfolio(s) and click the Add button. Enter "Y" in the Update field adjacent to the new portfolio(s) and press Transmit

30 Portfolio Management Screens The following figure is an example of the Portfolio Generation for Client (PFGCM) screen: Figure 2 3. Portfolio Generation for Client screen

31 Portfolio Management Screens Portfolio Tree Maintenance (PFTRM) This screen allows you to define the relationships between portfolios owned by clients and third parties. The relationships formed are in the form of parent/child hierarchies. There is no limit to the number of levels in a hierarchy. The hierarchies established using this screen are solely for the use of the MFT portfolio management software. They are not used for any processing within the system. Portfolios in a hierarchy must be of the same Portfolio Category. To create a hierarchy, you must enter the parent portfolio in the Portfolio field. Any portfolios beneath the parent portfolio should be entered in the Linked Portfolio field. To remove a linked portfolio from a hierarchy: T Switch On the Delete field adjacent to the linked portfolio you want to remove and click the Delete button. Enter "Y" in the Delete field adjacent to the linked portfolio you want to remove and press Transmit The following figure is an example of the Portfolio Tree Maintenance (PFTRM) screen: Figure 2 4. Portfolio Tree Maintenance screen

32 Portfolio Management Screens Portfolio Valuation Inquiry (PFVL1) This screen allows you to view the assets held in a portfolio. The assets are grouped together into contract groups, based on the contract type. The "Client Account Postings" contract group is the balances held in any client accounts related to the client of that portfolio. The "Asset Positions" contract group shows the total of the individual stock exchange securities held for that portfolio. You can link to other screens to find out more details of the assets that make up a contract group. A contract group is a collection of one or more contract types. See "Contract Types" in Section 1 of this guide for more information. To inquire on a contract group: T Highlight a Contract Group and click the Details button Enter "1" in the link field adjacent to the Contract Group on which you want more information and press Transmit For most contract groups you will be taken to the Portfolio Contract Valuation (PFVL2) screen. If you selected the "Asset Positions" group you will be taken to the Portfolio Positions Valuation (PFVL3) screen and if you selected the "Client Account Positions" group you will be taken to the Client Account Summary (CAASI) screen, described in the Clients and Accounts Administration Guide

33 Portfolio Management Screens The following figure is an example of the Portfolio Valuation Inquiry (PFVL1) screen: Figure 2 5. Portfolio Valuation Inquiry screen

34 Portfolio Management Screens Portfolio Contract Valuation (PFVL2) This screen allows you to view the contracts underlying a contract group for a portfolio. This screen can be reached either from the Portfolio Valuation Inquiry (PFVL1) screen, or opened directly. If you are reaching this screen from another screen, the Portfolio, Currency and Contract Group fields will be pre-filled. You can limit this inquiry by using either or both of the Start Product Type and Start Contract Number fields. Entering a value in either of these fields will limit the inquiry to contracts starting from the value entered. From this screen you can link to other screens for more information on a contract. You can either link to a valuation screen or contract screen relevant to the contract group you have inquired upon. For example, performing a contract inquiry on a foreign exchange contract would link you to the Foreign Exchange Market Inquire/Delete (FXMKI) screen and performing a valuation inquiry on an options contract would link you to the Options Contract Valuation (OPVAI) screen. To link to another screen: T Highlight a contract and click either the Valuation Inquiry or Contract Inquiry button Enter "1" or "2" in the Link field adjacent to a contract and press Transmit to see either a valuation inquiry or contract inquiry respectively

35 Portfolio Management Screens The following figure is an example of the Portfolio Contract Valuation (PFVL2) screen: Figure 2 6. Portfolio Contract Valuation screen

36 Portfolio Management Screens Portfolio Positions Valuation (PFVL3) This screen allows you to view the stock exchange securities held within a portfolio. You can link to this screen from the Portfolio Valuation Inquiry (PFVL1) screen, or open it directly. If you link to this screen, the Portfolio and Currency fields will be pre-filled. If any transaction has affected a security or there has been a price change since the last overnight run, then a "Yes" will be displayed in the Updated field. However, the Market Value and Income Yield will remain as they were at the last overnight run. You can update the valuations, which will automatically recalculate up-to-date figures in these fields. To do this: T Switch On the Current Position field and click the OK button Enter "Y" in the Current Position field and press Transmit From this screen you can link to the following screens to obtain further information on an individual security, or to enter a new stock exchange securities order based on that security: SX Holding Inquiry (SAPNI) SX Transaction Inquiry (SAPSI) Orders Single Client (OTSC), or Orders Single Client Multi Stock (OTSCM) if more than one security is selected. On the Graphical User Interface, to select a security, single click on it. To de-select a security, double click on it. For more information on these screens, and stock exchange securities in general see the Stock Exchange and Securities Administration Guide

37 Portfolio Management Screens The following figure is an example of the Portfolio Positions Valuation (PFVL3) screen: Figure 2 7. Portfolio Positions Valuation screen

38 Portfolio Management Screens Bank Portfolio Components (PFALL) Use this screen to inquire on the assets that are included within a bank portfolio. All assets can be seen including contracts and other portfolios. Linked inquiry functionality enables you to display details of any asset. If the asset is a contract, the system displays the relevant contract inquiry screen with details of the contract. If the asset is a portfolio, the system will redisplay the Bank Portfolio Components (PFALL) screen showing the assets that belong to that portfolio. To display the relevant inquiry screen: T Select the asset and click Details Enter 1 in the link field beside the relevant asset and press Transmit Linked change functionality enables you to move assets to a different portfolio. This works in the same way as the linked inquiry functionality. If you select a contract, the system displays the relevant contract change screen and allows you to change the identifier of the portfolio to which it belongs. If the selected asset is a portfolio, the system displays the Portfolio Definition (PFDEF) screen and allows you to change the identifier of the portfolio to which it belongs. To display the relevant change screen: T Select the asset and click Change Enter 2 in the link field beside the relevant asset and press Transmit

39 Portfolio Management Screens The following figure shows an example of the Bank Portfolio Components (PFALL) screen: Figure 2 8. Bank Portfolio Components screen

40 Portfolio Management Screens

41 Section 3 Definition of Field Names Introduction This section provides a definition of all the field names on Portfolio Management screens. The fields are listed alphabetically according to their full name and details of valid entries are given. If the field is prefilled with a value on the screen, or defaults to a value if left blank, these values are also given. Many of the codes and mnemonics given in this section may be changed when the system is installed at your institution. Table 3 1. Definition of Field Names Field Action Amount Bank Portfolio Definition This is a two character code representing the deal action. It is primarily used for Securities, Futures and Options: DP Deposit IS Issue LN Loan MK FX Market PU Purchase RE Repurchase RR Reverse Repurchase SL Sale This is the nominal of the contract. The identifier of the bank portfolio you want to inquire on. Book Value This is the book cost of the asset, calculated using the Average Book Cost method. On the Portfolio Valuation Inquiry (PFVL1) screen, this is the book value of the portfolio. On the Portfolio Contract Valuation Inquiry (PFVL2) screen, this is the book value for each contract in a portfolio. On the Portfolio Positions Valuation (PFVL3) screen, this is the book value of each security in the portfolio

42 Definition of Field Names Field Category Client City Client Number Client Shortname Component Continuation Indicator Definition This identifies a commission category to be used when applying commission charges to stock exchange contracts created for this portfolio. This field should not be entered if a value is entered in the Table Code field. Commission categories are defined on the Commission Tables by Category (CTCM) screen, described in the Stock Exchange and Securities Administration Guide. The city of residence of the client who owns this portfolio. Cities are set up on the General Purpose Narratives (GNARR) table, type CI, described in the Guide to Setting Up. This is a unique number used to represent a client. It is assigned after the client has been set up on the Client Details Banking (CIWSL) screen, described in the Clients and Accounts Administration Guide. The client shortname of the owner of this portfolio. If the owner of a portfolio is to be a client of your institution or a third party, this is their current client shortname. If the portfolio is to be owned by your institution then a dummy client must be created Client shortnames are defined for a client on the Client Details Banking (CIWSL) screen, described in the Clients and Accounts Administration Guide. This identifies the component. If it is a contract, the Contract Number is displayed, if it is a portfolio, the Portfolio Identifier is displayed. This field controls whether continuation commission can be used for this portfolio. Continuation commission involves modifying the commission paid on a portfolio's contracts during a period, based on the total consideration amount of all the contracts. The period over which commission is calculated is defined by the blueprint parameter BP-EQ-CNTPRD and has values of, for example, 1, 2 or 3 days. See "Blueprint Parameters" in the Guide to Setting for more information. Allowed values in this field are: On Allow continuation commission Off Do not allow continuation commission T Y Allow continuation commission N Do not allow continuation commission Contract Currency This is the currency that the contract was created in

43 Definition of Field Names Field Contract Group Definition This is a grouping of similar assets of the portfolio. The following contract groups are allowed: All contracts of one type belonging to this portfolio, for example all Money Market contracts All cash accounts belonging to this portfolio All stock exchange assets belonging to this portfolio On the Portfolio Valuation (PFVL1) screen, this is the contract group related to the displayed Book Value and Market Value. Only contract groups that have outstanding contracts or assets in that portfolio will be displayed. On the Portfolio Contract Valuation (PFVL2) screen, this limits the inquiry to contracts belonging to this group. See "Contract Types" in Section 1 of this guide for more information. Contract Note Addresses Contract Number Currency This is a nine-digit code referring to the nine possible postal addresses, which can be set up for a client. Using this you can specify how many copies of contract notes will be produced and sent to each of the nine addresses. Contract notes are produced by the SXCNOTE SX Contract Note report, described in the On-Demand Reports Guide. For example the code " " would result in two copies of any documentation being sent to the first address and one copy of any documentation being sent to the third address set up for a client. Client addresses are set up on the Names and Addresses (NAMDM) screen, described in the Clients and Accounts Administration Guide. This is the contract number of the contract, assigned after the contract has been entered into the system. This defines the currency in which the values on this screen are displayed. If left blank, this defaults to the currency defined for the portfolio. On the Portfolio Contract Valuations (PFVL2) screen, this is the currency in which the values on this screen are displayed. If left blank, the values for each contract will be displayed in the currency of that contract. On the Portfolio Generation for Client (PFGCM) screen, this is the preferred currency of the portfolio you are creating. On the Bank Portfolio Components (PFALL) screen, this is the currency of the component contract. Currencies are not displayed for component portfolios

44 Definition of Field Names Field Current Position Custody Model Dealing Flag Definition If a transaction or price change has taken place that will affect the market value displayed on this screen for a security, you can re-value the security to get current valuation information. A security requiring re-valuation will have a "Y" displayed in the "Updated" field adjacent to it. To re-value the security: T Switch On and click Ok Enter "Y" in this field and press Transmit This is the custody model linked to a portfolio, which specifies where the various securities in the portfolio are to be held. Custody Models are defined on screen Custody Model Maintenance (SXCMM) screen, described in the Stock Exchange and Securities Administration Guide. This defines whether portfolios of this type are allowed to create stock exchange securities orders and contracts. On Allowed to create orders and contracts Off Not allowed to create orders and contracts T Y Allowed to create orders and contracts N Not allowed to create orders and contracts Delete Description Discount/Surcharge % This allows you to remove a "Linked Portfolio" from a hierarchy. To do this: T Switch On this field adjacent to the linked portfolio you want to remove and click the Delete button Enter "Y" in this field adjacent to the linked portfolio you want to remove and press Transmit On the Portfolio Type Maintenance (PFTM) screen, this is a description of the portfolio type. This is a percentage discount or surcharge applied to the commission for stock exchange securities contracts created for this portfolio. The commission is calculated using either the commission category or commission table entered in the Category or Table Code fields respectively. Enter "-" for a discount, and "+" for a surcharge

45 Definition of Field Names Field Discretionary Definition This is a documentary only field defining how the portfolio manager will handle the account. On Portfolio Manager controls the account Off Portfolio Manager can advise the client, who controls the account T Y Portfolio Manager controls the account N Portfolio Manager can advise the client, who controls the account Income Income Payment Indicator Instrument Identifier Linked Portfolio Market Value A forecast for the asset positions for this portfolio. This information comes from the securities master file, and can be in the form of dividends, or accrued interest. This determines how any payments from corporate action events are received by this portfolio. This can either be: Paid via Asset Manager (Y) - The payment is made through your institution Not Paid via Asset Manager (N) - The payment is not made through your institution Mandated Direct to Client Account (M) - The payment is a mandated payment, for example a standing order. The payment is calculated but not processed For Securities, Futures and Options contracts, this is the Identifier of the instrument traded by the contract. A list of Securities instruments can be obtained from the MISTHLST - Securities Static Header Structure report. Futures and Options instruments are listed on the FTPRMLST - Futures/Options Instrument List report. (See the On-Demand Reports Guide for details of these reports.) For contracts other than Securities, Futures and Options, this field displays the product type traded by the contract. This is a portfolio to be linked in a hierarchy beneath the parent portfolio. The parent portfolio is defined in the "Portfolio" field. This is the current market value of the asset. Maturity Date This is the maturity date of the contract. Name This is the name given to a portfolio. Parent Portfolio For a bank portfolio, if it is part of a hierarchy of portfolios, then this is the portfolio in the level above. To create a hierarchy of portfolios for clients, use the Portfolio Tree Maintenance (PFTRM) screen