5/21/2019 Business Functions User Guide

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Business Func ons User Guide

Introduc on
This product guide is aimed at intermediary-level users and describes the following financial or business func ons of Front Office - Por olio Management (PM):

Opera on List
Opera ons History
Order List
Valua on
Posi ons History
Journal Of Liquidity
Event Genera on
Return Analysis
Synthe c Administra on
Composite Manager
Display Chrono
Yield Curve
External

Note: Front Office - PMscreens might change slightly from one version to another but the basic informa on on the screens remain the same.

Opera on List func on

The Opera on List func on displays the flows inherent in the opera ons performed in a por olio or several por olios between two given dates. Each line of the display shows informa on on the transac on (e.g., dates, cost prices, etc.).

The Opera on List process retrieves the flows in accordance with the parameters entered in the Domain screen. The most important of these parameters are the Por olio Dimension and the Dates (Ini al Date and Final Date). With this
informa on, the process retrieves the flows that occur between the dates and creates the extended posi on structure.

Detailed func onali es

Detailed func onali es include:

Retrieving posi ons

Loading Ini al Stock and Final Stock
Genera ng Opera ons

Retrieving posi ons

The process of retrieving flows depends on the Domain Ini al Date (calc_from_d) and Final Date (calc_ ll_d).

If the Ini al Date is earlier than the Final Date, the process retrieves a series of flows that arrived during the period, for example, the posi ons and balance posi ons that meet the following condi ons:

from_d < begin_d <= ll_d and end_d = begin_d or "NULL"

Opera on List is the only func on in Front Office - PM that displays the flows whose status is not equal to “Treated”, that are posi ons that have not been merged in the fusion process.

The Opera on List func on also loads flows due to the presence of a PPS linked to the por olio.

Loading Ini al Stock and Final Stock

The Incl./Excl. Pos flag in the domain lets you retrieve the Ini al Stock and Final Stock of a posi on or balance posi on as well as the flows. The Ini al Stock are the posi ons or balance posi ons that have a begin_d <= from_d and an end_d >
from_d. The Final Stock are the posi ons or balance posi ons that have a begin_d <= ll_d and an end_d > ll_d:

Ini al Stock Final Stock

begin_d <= from_d begin_d <= ll_d

end_d > from_d end_d > ll_d

Opera ons with a status of “Cancelled” never generate Ini al Stock or Final Stock. They are only flows that are closed immediately (begin_d = end_d).

Genera ng Opera ons

From the Opera on List format, you can view, create, copy, modify, and delete opera ons by clicking the appropriate bu ons on the right of the screen. The View, Create, Copy, and Modify bu ons open a screen similar to the Create Opera on
screen (accessible from the menu bar) so that you can access the opera on directly.

Note: If the selected line has a reverse nature "reversed", you do not have rights to update, delete, and copy. Also, for reverse nature "reverse", you do not have rights to delete and copy. In all other cases, you have standard rights.

To view the modifica ons of an opera on in the Opera on List format, you must refresh the window with the Refresh bu on (top right of screen).

Using Opera on List func on

To run the Opera on List func on:

1. From the Front Office - PM menu bar, choose Opera on > Opera on List > Opera on List.

The Domain – Opera on List screen is displayed.

2. Complete the fields as follows:

Field Descrip on

Por olio These fields indicate which por olios are passed to the Opera on History
func on.
Por olio List

Customer

All Instruments These fields indicate if the posi ons retrieved are related to a single
instrument or a list of instruments.
Instrument

List

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Ini al Date The date from which the Opera on List starts.

Final Date The date un l which flows are retrieved.

Minimum Status These fields indicate the range of states the retrieved posi ons' statuses
must fall within.
Maximum Status

Incl./Excl. Indicates if Ini al Stock and Final Stock posi ons are loaded or not.
posi on
(on the
Parameters tab)

Note: The relevant fields in the extended posi on structure that is created are described in sec on Extended posi on structures.

3. Click OK or Apply to start the func on.

The Opera on List - Por olio screen is displayed.

4. (Op onal) You can access a context menu from the list. To do this, click the cell you are interested in to select it and then right click the mouse. The exact menu op ons depend on the cell data.

Extended posi on structures

As described in sec on Using Opera on List func on, the Opera on List generates the extended posi on structure. The relevant fields of this structure are described below. For a complete descrip on of these structures, refer to the WealthSuite
Front Office - Por olio Management - Data Model Reference Guide.

Structure Descrip on

Descriptors Por olio, Instrument, Deposit, Posi on currency, Instrument currency, Reference
of the currency, etc.
posi on

Details of Opening opera on nature, Execu on opera on code, Reversal nature, Status,
the opening Main flag, etc.
opera ons

Dates Accoun ng, Opera on, Value, etc.

Cost data Quan ty, All cost exchange rates, Price, Quote, All net and gross cost amounts
(Reference, instrument, and posi on currency), All fees and tax counters.

Interposi on Id: the iden fier of an occurrence in extended posi on.

links Main extended posi on: the iden fier of the main posi on. Allows
the user to reference the main posi on when s/he is on a cash
posi on, for example.
Account extended posi on: iden fier of the cash posi on. Allows the
user to reference the cash posi on when he or she is on a main
posi on for example.

Nature Indicates whether the extended posi on is an ini al stock, a final stock, or a flow.
As men oned above, ini al (or final) stocks are posi ons or balance posi ons
that are open at the Ini al (or Final) Date. Flows are the opera ons between the
Ini al Date and Final Date.

Opera ons History func on

The Opera ons History func on displays the flows inherent in the opera ons performed on a por olio or several por olios between two given dates. Each line contains informa on pertaining to a transac on (dates, cost prices, etc.).

Opera ons History retrieves the flows in accordance with the parameters entered in the domain. The most important parameters are the Por olio Dimension, Currency and the dates (Ini al Date and Final Date). With this informa on, the process
retrieves the flows between the dates and creates the extended posi on structure.

Detailed func onali es

Detailed func onali es include:

Retrieving Posi ons

Loading Ini al Stock and Final Stock
Opera ons History vs. Opera on List

Retrieving Posi ons

The process of retrieving flows depends on the Domain Ini al Date (calc_from_d) and Final Date (calc_ ll_d).

If the Ini al Date is earlier than the Final Date, the process retrieves a series of flows that arrived during the period; these are the posi ons and balance posi ons that meet the following condi ons:

from_d < begin_d <= ll_d and end_d = begin_d or "NULL"

Loading Ini al Stock and Final Stock

The Incl./Excl. Pos flag in the domain lets you retrieve the Ini al Stock and Final Stock of a posi on or balance posi on as well as the flows. The Ini al Stock are the posi ons or balance posi ons that have a begin_d <= from_d and an end_d >
from_d. The Final Stock are the posi ons or balance posi ons that have a begin_d <= ll_d and an end_d > ll_d:

Ini al Stock Final Stock

begin_d <= from_d begin_d <= ll_d

end_d > from_d end_d > ll_d

Opera ons with a status “Cancelled” never generate Ini al Stock or Final Stock. They are only flows that are closed immediately (begin_d = end_d).

Opera ons History vs. Opera on List

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Load Flows for posi ons and balance posi ons between the Ini al Date and Final Date. If the Incl. Pos checkbox is selected (in the Domain screen's Parameters tab), Ini al Stocks and Final Stocks (posi ons with status > cancelled) are also
displayed.

Opera on History Opera on List

/ Permits direct access to Opera ons (for super-users only).

Reference currency is the Reference currency is always the por olio currency.
currency specified in the domain.

Only the main por olio or the PPS PPSs cannot be loaded.
defined in the domain is loaded

Displays only Treated opera ons. Displays the Treated and Untreated opera ons (that is,
opera ons that have not gone through the fusion process).

Using Opera ons History func on

To run the Opera ons History func on:

1. From the Front Office - PM menu bar, choose Analysis > Opera ons History > Opera on History.

The Domain screen is displayed.

2. Complete the fields as follows:

Field Descrip on

Por olio These fields indicate which por olios are passed to the Opera on History
func on.
Por olio
List

Customer

All These fields determine if the posi ons retrieved are related to a single instrument
Instruments or a list of instruments.

Instrument

List

Currency Indicates the currency in which the Opera on History should be displayed (this is
the reference currency).

Ini al Date The date from which the Opera on History starts. Set by default to current date
minus a year.

Final Date The date un l which flows are retrieved. Set by default to the current date.

Minimum These fields define the range of states the retrieved posi ons' status must fall
Status within.

Maximum
Status

Loading To load a Por olio Posi on Set, select PPS or Default or Load PPS from the field's
Rule drop-down list. When you select one of these op ons, the Consolida on P field
is ac vated. Click Browse bu on beside the Consolida on P field to select a
consolida on por olio (PPS).

Incl./Excl. Indicates if Ini al Stock and Final Stock posi ons are loaded or not.
Posi on (on
the
Parameters
tab)

Note: The relevant fields in the extended posi on structure that is created are described in sec on Extended posi on structures.

3. Click OK or Apply to start the func on.

The Opera on History screen is displayed showing the details of all instruments of the selected por olio.

4. (Op onal) You can access a context menu from the list. To do this, click the cell you are interested in to select it and then right click the mouse. The exact menu op ons depend on the cell data.

Extended posi on structures

As indicated in sec on Using Opera ons History func on, the Opera ons History generates the extended posi on structure. The relevant fields of this structure are described below. For a complete descrip on of these structures, refer to the
WealthSuite Front Office - Por olio Management - Data Model Reference Guide.

Structure Descrip on

Posi on Por olio, Instrument, Deposit, Posi on currency, Instrument currency, Reference
descriptors currency, etc.

Opening Opening opera on Nature, Execu on opera on Code, Reversal Nature, Status,
opera ons' Main flag, etc.
details

Dates Accoun ng, Opera on, Value, etc.

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Structure Descrip on

Cost data Quan ty, All cost exchange rates, Price, Quote, All net and gross cost amounts
(Reference, instrument, and posi on currency), All fees and tax counters.

Interposi on Id: the iden fier of an occurrence in extended posi on.

links Main extended posi on: the iden fier of the main posi on. Allows
the user to reference the main posi on when s/he is on a cash
posi on, for example.
Account extended posi on: iden fier of the cash posi on. Allows the
user to reference the cash posi on when s/he is on a main posi on,
for example.

Nature Indicates whether the extended posi on is an ini al stock, a final stock or a flow.
As men oned above, ini al (or final) stocks are posi ons or balance posi ons
that are open at the Ini al (or Final) Date. The flows are the opera ons between
the Ini al Date and Final Date.

Restart profit and loss at flexible date for Opera on History func on
Posi on History func on with "Restart profit and loss at flexible date" displays flows calculated on cost prices and cost exchange at a specific date. The same func onality is also available for the Valua on func on (see sec on Restart profit and
loss at flexible date for Valua on func on).

Domain se ngs
To ac vate this behaviour, the domain needs the following specific se ngs:

Reference Date is used to define the specific date. Cost prices and exchange rates are retrieved at this date.
This date must be before the Ini al Date.
P&L Method is used to ac ve this behaviour.
P&L Method is set to Market Value Profit and Loss method.

Impact on flows
Posi ons opened before the Reference Date is updated:

Cost price and cost exchange rates are replaced by their value at Reference Date.
Cost amounts are calculated with the new cost price and exchange rate.
Fees and taxes are removed from the posi on.

All opera ons between the Reference Date and the Final Date are taken into account by a logical fusion to generate new flows based on updated posi ons.

Note that posi ons with instrument natures Forward or Futures are excluded from this func onality; their cost prices and exchange rates are never updated.

Example: Using historical cost price and exchange rates

A posi on is opened on 2010: 10 Nestle @ 50.00 CHF with 7.00 of fees and taxes:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

100.00 50.00 5000.00 5007.00 CHF 0.59 2950.00 2954.13 EUR

Opera on history is launched with:

Ini al Date on 31/12/2011

Final Date on 01/05/2012
Reference Date on 01/05/2012
P&L Method is set to Standard

Ini al posi on on Nestle is not updated:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

100.00 50.00 5000.00 5007.00 CHF 0.59 2950.00 2954.13 EUR

This posi on is closed on 25/03/2012 @ 52.00 CHF with 9.00 of fees and taxes:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

-100.00 52.00 5200.00 5191.00 CHF 0.61 3172.00 3166.51 EUR

The fusion process closes the posi on:

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Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

0.00 50.00 0.00 0.00 CHF 0.59 0.00 0.00 EUR

The fusion process generates capital & currency P&L (calcula on with PORT_PL_COMP_RULE = 2):

Reference

Quan ty Gross Amount Net Amount Currency

Currency Profit 102.00 101.98 EUR

Capital Profit 120.00 110.40 EUR

Example: Using cost price and exchange rates at a specific date

A posi on is opened on 2010: 10 Nestle @ 50.00 CHF with 7.00 of fees and taxes:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

100.00 50.00 5000.00 5007.00 CHF 0.59 2950.00 2954.13 EUR

Opera on history is launched with:

Ini al Date on 31/12/2011

Final Date on 01/05/2012
Reference Date on 31/12/2011, Nestle @55.00 CHF, exchange rate CHF/EUR =0.58
P&L Method is set to Market Value Profit and Loss method

Ini al posi on on Nestle is updated with price and exchange rate on 31/12/2011, fees and taxes are removed:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

100.00 55.00 5500.00 5500.00 CHF 0.58 3190.00 3190.00 EUR

This posi on is closed on 25/03/2012 @ 52.00 CHF with 9.00 of fees and taxes:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

-100.00 52.00 5200.00 5191.00 CHF 0.61 3172.00 3166.51 EUR

The fusion process closes the posi on:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

0.00 55.00 0.00 0.00 CHF 0.58 0.00 0.00 EUR

The fusion process generates capital & currency P&L (calcula on with PORT_PL_COMP_RULE = 2)

Reference

Quan ty Gross Amount Net Amount Currency

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Currency Profit 160.50 160.37 EUR

Capital Loss -178.50 -183.86 EUR

Order List func on

The Order List func on performs a mul -criteria search on opera ons. The search is not restricted to the domain fields but is possible on almost any a ribute of the extended opera on en ty.

It returns the extended opera on structure. The Order List displays informa on inherent in the opera ons performed in one or more por olios between two given dates. Each line contains informa on on the transac on (dates, quotes, prices,
etc.).

You can also have the func on return other members of a global order family even if not all the orders match the search criteria.

Detailed func onali es

Detailed func onali es include:

Retrieving extended opera ons

Global Orders and Por olio Hierarchies
Business func on system parameters
Reports
Parameterising search criteria
Search criteria and domain se ngs
Func on limits
Genera ng and removing Opera ons

Retrieving extended opera ons

The process of retrieving extended opera ons is a two phase process. The first phase is a database query while the second phase builds extended opera ons (on the Financial Server) and applies criteria to them.

The first phase basically depends on the following domain fields: Por olio and Instrument Dimensions, Ini al Date, Final Date, Min and Max Status, and Fusion Date Rule.

The Fusion Date Rule (fusion_date_rule_e) domain parameter, if different from <none>, op mises the search and indicates which date (Opera on, Accoun ng, or Value) should be used for the search during the loading phase. Where possible, the
func on resolves the Ini al Date, Final Date, and the Min and Max Status in the Opera on table. To do this, it uses the date specified by the Fusion Date Rule as the Reference Date. Note that you cannot enter the Fusion Date Rule domain
parameter as a value in the GUI. It must be set as a default value.

If the func on cannot resolve the Ini al Date, Final Date, and the states in the Opera on table, or if the Fusion Date Rule passed from the domain is set to <none> (0), it uses the Begin Date in the Posi on/Balance Posi on tables. This means that
the loading phase uses the Posi on/Balance Posi on tables first of all, which slows it down. The Begin Date, used as the Reference Date, is always the date set by the por olio's Fusion Date Rule.

The OP_SEARCH_METHOD system parameter defines when the search is op mised and conducted on the Opera on table (see sec on Business func on system parameters).

The process first iden fies the opera ons that meet the following condi ons:

Ini al Date <= Reference Date <= Final Date

and

Min Status <= Opera on Status <= Max Status.

The posi ons iden fied are then filtered according to Opera on table criteria.

Secondly, the extended opera ons are built and then filtered according to the remaining criteria.

Note: Moving to GIPS compliance requires the full disclosure of posi on merging. Accordingly, the Fusion Date Rule func onality has been adapted for full GIPS compliance without affec ng past transac ons. For more informa on, refer to the
WealthSuite Front Office - Por olio Management - Opera ons, Posi ons, and Fusions Reference Guide.

Global Orders and Por olio Hierarchies

The Order List func on specifies the behaviour when loading Global Orders and Por olio Hierarchies.

When working on Global Orders you can specify that other members of the same family must be returned using the Load Global Order field.

The permi ed values for this field are:

Value Descrip on

0 No Family (default)
Only returns the order matching the specified criteria.

1 Parent
If the criteria match a Child Order (parent_oper_nat_e=3) its parent order is returned as
well.

2 Children
If the criteria match a Parent Order (Block Order with parent_oper_nat_e=2) all its
children are returned as well.

3 Parent & Children

This nature combines the two previous rules (2. & 3.).

The func ons can also handle a whole por olio hierarchy when the Load Hierarchy from Parent is selected at the domain’s parameters level.

Business func on system parameters

The search in the Order List func on is regulated by three system parameters. The first specifies which date is used: the Ini al Date or the Final Date. The second and third parameters specify how the extended opera ons are built.

System Parameter Descrip on

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System Parameter Descrip on

OP_SEARCH_METHOD Specifies the behaviour of the business func on. If the Fusion
Date Rule domain parameter is different from <none>, the
search is op mised on the Opera on en ty, where possible.
The specified Opera on, Accoun ng, or Value date is used to
match the Domain Ini al Date and Final Date. However, the
op misa on is always performed when you choose All
Por olios and All Instruments in the Domain screen. It has
restric ons in the other cases. The permi ed values for this
parameter are:

0. The op misa on only works for All Por olios

and All Instruments and strictly adheres to the
search criteria.
1. The op misa on works as for the value 0 but
also when All Por olios is not specified. This
means that you only want to search in the
Por olio field in the opera on en ty. This also
means that with a Por olio Transfer Opera on
only the source por olio is targeted by the search
and not the des na on por olio.
2. The op misa on works as for the value 0 but
also when All Instruments is not specified. This
means that you want the search to be executed
exclusively on the Instrument field in the
Opera on en ty. It also means that the search
only targets the instrument of the main posi on.
For instance, you cannot search for a Buy
Opera on of a stock instrument by specifying its
associated cash instrument since in this case the
Main Instrument is the Stock Instrument.
3. The op misa on is performed as for the
previous values combined, 0, 1 and 2, with their
respec ve limita ons.

OP_SEARCH_NB_OP_BY_BATCH This parameter specifies the number of extended opera ons

in one batch, because the extended opera ons are built by
batch on the financial server.

OP_SEARCH_RET_ROW_COUNT This parameter sets the number of occurrences (extended

opera ons) returned by the func on.

The following image shows the full process that returns the matching extended opera ons:

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Process that returns the matching extended opera ons

Reports
The parameters of the Order List func on can be passed to a report when the report_id field is specified (<> NULL).

Parameterising search criteria

The quick_search_mask a ribute of the ext_operation en ty specifies which criteria are displayed in the GUI:

0: Not displayed

1: Displayed

This can easily be customised in the dict_a ribute_dat.usr.sql file.

Search criteria and domain se ngs

In the Order List func on, the por olio dimension and instrument dimension are used to define the search criteria applied to set a scope of analysis. The order list func on also includes the ability to set search criteria based on extended
opera on en ty (see sec on Parameterising search criteria).

For the instrument, there is a difference in behaviour when you define the search criteria through (1) Quick Search of the instrument dimension or (2) the Extended Opera on Search Criteria.

In the first case, the search criteria are applied to all a ributes of the extended opera on that references an instrument. This implies that it is applied to the a ribute instrument, but also to adjusted
instrument, account, account 2, and account 3 (because cash accounts are instruments) and all others that are defined within the data model.
In the second case, it is possible to define the search criteria applied to one a ribute of the extended opera on (e.g., for the a ribute instrument).

This means that you have to be aware that search criteria with a similar defini on could provide different results because they are not applied on the same set of a ributes.

Func on limits
Although the use of one indexed field is compulsory, it is strongly recommended that you use an index that is discrimina ng enough during the search to avoid performance degrada on.

If you intend to make frequent searches on non-indexed fields, you should consider indexing them.

Genera ng and removing Opera ons

From the Order List format, you can View, Create, Copy, Modify and Delete opera ons by clicking the appropriate bu ons on the right of the screen. The View, Create, Copy and Modify bu ons open a screen similar to the Create Opera on
screen (accessible from the Menu bar) so that you can access the opera on directly. You can select more than one opera on for dele on by holding the shi key pressed as you click the rows or use the Up or Down arrow key. You can directly

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access other func ons by right-clicking an opera on to display the associated context menu. For more details, refer to the sec ons regarding Order Administra on in the WealthSuite Front Office - Por olio Management - Orders and Produc vity
User Guide.

To view the modifica ons of an opera on in the Order List formats, you must click the Refresh bu on (top right of screen) to refresh the screen.

Using Order List func on

To run the Order List func on:

1. From the Front Office - PM menu bar, choose Produc vity > Order List.

The Domain – Order List screen is displayed.

2. Complete the following fields to suit your requirements:

Por olio
Instrument Dimensions
Ini al Date
Final Date
Min Status
Max Status
Other Op ons
Default Parameters
3. Select the search criteria you want to apply to the extended opera on en ty. If you are working on global orders, see sec on Global Orders and Por olio Hierarchies.
4. Click Apply to display the results screen.

Extended Posi on Structures

The Order List func on generates the extended opera on structure.

Valua on func on
The Valua on func on displays the details of the posi ons in one or more por olios at a given date. Each line contains informa on on the transac on(s) that opened the posi on (e.g., dates, cost price, etc.), as well as the pricing data of the
requested valua on date.

The most important fields in the domain are as follows:

Field Descrip on

Por olio Selec on of the por olios for which the func on should be run. Available op ons
Dimension are: All Por olios, List, Por olio, Quick Search, Third Party (Customer).

Currency The currency in which the valua on will be done. By default, it is set to the currency
of the por olio, por olio list or client, but can be changed.

Ini al Date The date on which the posi ons of the por olio are evaluated and the market
prices and exchange rates are retrieved.

Note that no prices in the future are retrieved even if the entered date (Ini al Date)
is greater than the current date.

Retrieving data
When it receives the domain parameters, the system retrieves all posi ons (but not balance posi ons) that are “open” on the Domain Ini al Date. An open posi on is a posi on that has passed its Begin Date and not reached its End Date. Begin
Dates and End Dates are defined at the system por olio or por olio posi on set level to correspond either to the trade date, the accoun ng date, or the value date.

Posi on pricing
Posi on pricing involves:

Instrument Valua on Rule

Default Price Retrieval Mechanism
Instrument Price Calcula on rule

Instrument Valua on Rule

The pricing mechanism depends first on the method used to value the instrument, which is defined in the instrument's master data. The following methods are available:

Rule Descrip on

Quoted The instrument has a price in the instrument price table.

Quote=0 The instrument is always priced at 0.

Quote=1 The instrument is always priced at 1 (e.g., a cash account).

Composite The instrument is a composite and its price is the weighted sum of its component
instruments.

Theore cal Front Office - PM computes a theore cal price. This currently applies to op ons
and forwards, money market and discount instruments, swaps and FOREX swaps.
For theore cal pricing to be used, other elements must be available (e.g., a zero
coupon curve).

Reference The price of the instrument is derived from the price of a reference instrument
Instrument (defined in the instrument table), plus a margin entered in the instrument
chronological data (click Chrono bu on).

Script A user-defined script (Base Value and Mul plier) is associated with the instrument
that computes the price (only available for debt instruments).

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Rule Descrip on

Parent The instrument is a component instrument and inherits the price of its parent.
price

Simple This valua on rule is a simplified form of the Script valua on rule described above.
Script The Script valua on rule ini ates a complete fund valua on to calculate the value.
This means that a complete fund valua on is also performed in the Journal and
Event Genera on func ons for this purpose (if there are debts in the por olio).
The Simple Script valua on rule simply evaluates the script as it stands but does
not start a fund valua on. This makes the Journal and Event Genera on func ons
more efficient.

Default Price Retrieval Mechanism

If the instrument has the valua on rule "Quoted", the valua on is done by using the market prices, which are defined in the instrument price table. This price table allows several prices per day for the same instrument, which might come from
different markets or providers, or have different types.

The default price retrieval mechanism determines the most appropriate price in a case where several prices are available.

This sec on describes the system-wide price search algorithm. It is possible to define more sophis cated rules, which can be linked to a por olio or enforced at the domain. These rules are described in Appendix A: Valua on rules.

Data
The following elements play a role in deciding the appropriate price to use:

System parameter
Instrument data
Por olio data
Type data
Posi on data
System parameters
The following table lists the most important system parameters:

System parameter Descrip on

Price Selec on Order Indicates the priority between the following price
selec on criteria:
PRICE_SEL_ORDER
Business en ty to which the end user is
connected. This criterion applies only when
the mul -en ty func onality is configured (B)
reference currency of the price defined at
instrument level (C)
price type (type rank) (T)
price provider (defined at instrument level) (P)
default market of the instrument (M)
term type (defined at posi on level, it
indicates the standardised se lement period
in term markets (F)

You can use different combina ons of these criteria (e.g.,

BCMTPF).

Price Date Priority Flag Indicates if the requested date takes priority for finding a
price (1) or if the price depends on the PRICE_SEL_ORDER
PRICE_DATE_PRIORITY_FLAG se ng (0).

Price Validity Period Indicates the normal period between two occurrences of
prices in the database (for example, 5 days).
PRICE_VAL_PERIOD
From a technical point of view, this parameter indicates
the number of days of prices that need to be retrieved
ini ally from the database. If no price is found during this
period, the system looks for a price in the Extended Price
Validity Period (see below).

If all the prices found have a price type rank equal zero,
the system could look for a price in the Extended Price
Validity Period according to Price Rank Zero Use Extended
Period parameter (see below).

Extended Price Validity Period Indicates the absolute validity period of a price. If no price
is found during this period, the instrument has a price of
EXTENDED_PRICE_VAL_PERIOD 0.

Note that the system performance is sensi ve to the

Extended Price Validity Period. If the value is too large (the
period is too long), too many prices can be loaded. If it is
too small (the period is too short), the valua on func on
makes mul ple calls to the database.

Price Rank Zero Use Extended Indicates if a er the first period of price searching
Period (PRICE_VAL_PERIOD), if all the prices found have a price
type rank equal zero,
PRICE_RANK_ZERO_USE_EXTD_PER
if the second search with the extended period
(EXTENDED_PRICE_VAL_PERIOD) is launched (1) or is not
launched (0)

Instrument data
The following data is found at instrument level:

Instrument
Descrip on
parameter

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Instrument
Descrip on
parameter

Market Default market in which the instrument is quoted.

Provider Default informa on provider from whom the price of the instrument is
obtained.

Currency Reference Currency of the instrument.

Por olio data

The following data is found at por olio level:

Instrument
Descrip on
parameter

Pos. Logical Indicates which criteria are used to iden fy a posi on. The Posi on Logical Rule
Rule field has five op ons in its drop-down list:

Default (0): uses the POS_LOGICAL_ID_RULE system parameter

se ng
Basic (1): Por olio and Instrument
PosCurr (2): posi on currency
Deposit (3): the custodian
PosCurr/Deposit (4): both posi on currency and custodian

If you do not set a rule at the por olio level (default), the Por olio Logical Id Rule
system parameter, which has the same possibili es, is used.

Type data
Each price type can be associated with a rank, which is evaluated in the price search process.
Posi on data
The following data is found at the posi on level:

Posi on data Descrip on

Term Type Indicates the se lement period for a term transac on.

Posi on currency The currency of the price of the opening opera on.

Algorithm
With the data and parameters described above, the system will perform the search for the best price according to the following algorithm:

Dates: The prices considered or those on or before the Valua on date. If the Price Date Priority Flag system parameter is set to 1 (Yes), the system works by date, then by criteria. Alterna vely, if
this parameter is set to 0 (No), then the system works first on the criteria, then on the date.
Criteria: the Price Selection Order system parameter indicates in which order the criteria must be used. If this is set to BCTMPF, for example, it means that the most important criteria is the business
en ty to which the end user is connected, then price currency (C), price type (T), market (M), provider (P), and finally term type (F).
Business En ty: The system looks first among prices that are specific to the end user’s connected business en ty. If no price is found, the search scope includes prices defined in the master en ty.
Currency: If the por olio posi on logical ID (or the posi on logical id system parameter if Default is chosen) includes the posi on currency, the first match that is a empted is with a price in the posi on
currency. If none is found, a search is made in the instrument reference currency. If the por olio posi on logical ID does not include the posi on currency, the match is only made against the instrument
reference currency.
Type: The matching on instrument price types is done using the lowest ranking type. Note that a type with a rank equal to 0 is never used in the default valua on (these could be "fiscal prices", for
example).
Market: The matching is done between the market defined at the instrument level and the market of the price. If no market is defined in the instrument record, the system gives priority to the price
with a market = NULL. If there are mul ple, possible prices with different markets, the system takes the first one on the list without applying any priority.
Provider: The matching is done between the provider defined at the instrument level and the provider of the price. If no provider is defined in the instrument record, the system gives priority to the
price with a provider = NULL. If there are mul ple, possible prices with different providers, the system takes the first one on the list without applying any priority.
Term type: The posi on Term Type is matched with the price Term Type. If no term type is defined in the posi on, all prices that are set with a specific term type are filtered.

Example:

Take a posi on in IBM stock bought in Euros. IBM is defined at instrument level with the default market NYSE and default price provider Reuters. In the Type table, we find Close with a rank of 1, Bid with a rank of 2, Ask with a rank of 3. The
Price Selection Order system parameter is set to BCMTPF.

The following prices are available:

Date Quote Bus. Ent. Currency Market Type Provider Term type

Price 1 16/02 99.5 SGP EUR BLOOMBERG Ask Reuters None

Price 2 16/02 98.5 MASTER USD NYSE Close Telekurs None

Price 3 16/02 146 MASTER CHF EBS Bid Telekurs None

Price 4 16/02 98.25 MASTER USD NYSE Ask Reuters None

Price 5 15/02 97.75 MASTER USD NYSE Bid Telekurs None

If the end user is connected to SGP, then Front Office - PM selects price 1 that matches the end user’s connected business en ty and the currency.
If the end user is connected to another business en ty:
If the Price Date Priority Flag is set to Yes (1), then price 4 in the absence of a Euro price (currency and market criteria are sa sfied) and the type are iden cal to that of price 1 but the
provider is also matched.
If the Price Date Priority Flag is set to No (0), then Front Office - PM chooses price 5 (currency and market criteria are sa sfied) and the type rank is the lowest.

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Instrument Price Calcula on rule
The Instrument Price Calcula on rule is used to convert the quote into a price, which is defined in the instrument’s master data. The rule for a Signature Por olio is:

Rule Descrip on

Por olio The system will not search for prices in instr_price but only in the en ty
Specific Price portfolio_instr_price.

All subscrip ons on a Signature Por olio are priced at 1.00. All redemp ons on a Signature Por olio are done at a price available in en ty portfolio_instr_price.

Accrued valua on
The accrued valua on is an accoun ng computa on method for valuing Fixed Incomes, Conver ble Bonds, Swaps, Op on Bonds, Cash Accounts, and Money-Market Instruments.

For Swaps, the accrued interest and the issued coupons need to be computed in both legs of the swap. As the swap can be amor sed, you must take the quan ty varia on into account when compu ng the accrued interest.

It is o en assumed that the posi ons in Swaps do not change during the life me of the instrument and that the quan ty does not vary. However, if you use Front Office - PM with por olios whose swap posi ons are not constant in me, the swap
nominal is amor sed and sell opera ons are executed for each amor sa on. This results in a reduc on in the number of posi ons.

This is not the case for the standard calcula on of accrued interest. There is no requirement for such processing since the accrued interest is paid by the buyer of a bond to the seller, for example.

In the case of a money market instrument, the amendment fusion sub-nature (in the opera on) stores the accrued interest amount in the newly created posi ons.

For Mortgage-Backed Securi es (MBS), if you manage por olios that contain posi ons in this instrument entered as Fixed Income, the no onal of the MBS is amor sed during the instrument life me. As the quan ty moves, the accrued interests
cannot be computed as a simple product of quan ty, flow rate, number of days and annual basis. The change in the quan ty must be taken into considera on. This means that all the opera ons in the instrument must be loaded in order to
compute the accrued interest on the correct quan ty during the correct period.

Accrued interest computa on

Gross accrued interest is computed up un l the date of the valua on for the following instruments:

fixed income
conver ble bonds
swap fixed legs
op on bonds
cash accounts
money market instruments

For more informa on on how gross accrued interest is computed, refer to the WealthSuite Front Office - Por olio Management - Financial Instruments Reference Guide.

If you want to compute other factors (such as the net accrued interest or the accrued interest up to the corresponding se lement date), you must create a default value for the accr_int_m field in the posi on valua on structure. Then, use the
ACCR_INTER() keyword to specify a different Final Date and/or tax rate.

The Accrued Valua on method only works in the accoun ng view for swaps and fixed income (including FRN) and in the risk view when the swap is split into two bond legs. It is computed between two dates and usually starts on 1st January of
the year for which the valua on is run. However, the begin date of the accrued valua on can vary.

The value of a bond is computed using the following method:

Where:

= Accrued value on me t

= Accrued Interest from accrued valua on Begin Date ll date t for posi on k

t = ACCR_INTER date1 (usually Valua on date)

n = number of posi ons loaded in the swap or the bond

is computed as follows:

Where:

q = quan ty of posi on k

rt = rate of flow t

dt = number of days between max (accrued valua on begin date, flow begin date) and flow end date computed according to accrual rule

w = number of complete or par al “flow” periods

basis = denominator of accrual rule

If the quan ty of the bond leg used in the computa on is nega ve, the accrued value is also nega ve.

The accrued value of a swap is simply the sum of the paid leg and the received leg that can be assimilated to bonds. The received leg has a posi ve value and the paid leg has a nega ve value.

Examples
To process French bonds whose accrued interest is computed to three days a er the valua on date, use the following script:

IF (ext_pos.instr.subtype.code = "French Bonds", ACCR_INTER(ext_pos.instr_id, ADD_BUSINESSDAYS( DOMAIN().calc_from_d, 3 , "FR-CALENDAR"),

"FRF", ext_pos.quantity_n), …)

To process Italian bonds whose accrued interest is computed a er tax, use the following script:

IF (ext_pos.instr.subtype.code = "Italian Bonds", ACCR_INTER(ext_pos.instr_id, DOMAIN().calcl_from_d, "ITL",

ext_pos.quantity_n),,,,,IF(ext_pos.portfolio.ud_fiscal_geo.code = "Italy", 12.5, 0) …)

Implementa on
A format element (for more informa on about format elements, refer to the WealthSuite Front Office - Por olio Management - Format and UDS Reference Guide) with the ACCR_INTER script keyword must be added to the relevant format with
the new argument set to the ACCR_VAL keyword and the accrued valua on Begin Date. For example, the following script could be used:

ACCR_INTER(instr_id, DOMAIN().calc_from_d, DOMAIN().currency_id, quantity_n * instr.contract_size_n, portfolio_id.fusion_rule_e, 1, 1, 0,

DATEPOSI(DOMAIN().calc_from_d, BEGIN_OF , YEAR) , , , ACCR_VAL)

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The accrued valua on is computed for all the posi ons in fixed income and swaps when a business func on is run (Valua on, Performance, etc.).

Examples

Received Floa ng Leg with ACT/360 Accrual Rule

Begin date End date Fixing Days Basis Rate Nominal Coupons

11/02/2000 15/03/2000 09/02/2000 33 360 3.4920 100 000 320 100,00

% 000,00

15/03/2000 15/06/2000 13/03/2000 92 360 3.7790 100 000 965 744,44

% 000,00

15/06/2000 15/09/2000 13/06/2000 92 360 4.5480 100 000 1 162

% 000,00 266,67

15/09/2000 15/12/2000 13/09/2000 91 360 4.8460 100 000 1 224

% 000,00 961,11

15/12/2000 15/03/2001 13/12/2000 90 360 4.9660 100 000 1 241

% 000,00 500,00

15/03/2001 15/06/2001 13/03/2001 92 360 4.7478 100 000 1 213

% 000,00 334,33

15/06/2001 17/09/2001 13/06/2001 94 360 4.5504 100 000 1 188

% 000,00 167,83

17/09/2001 17/12/2001 13/09/2001 91 360 4.4293 100 000 1 119

% 000,00 626,08

17/12/2001 15/03/2002 13/12/2001 88 360 4.5204 100 000 1 104

% 000,00 976,89

15/12/2004 15/03/2005 13/12/2004 90 360 5.2458 100 000 1 311

% 000,00 442,50

Floa ng leg Accrued Valua on on 31/12/2000 (from 01/01/2000)

Interests:

15/03/2000320 100.44

15/06/2000965 744.44

15/09/20001 162 266.67

15/12/20001 224 961.11

Accrued interests between 15/12/2000 and 31/12/2000 = 100 000 000 * 4.966% * 16/360 = 220 711.11

Value = Interests + accrued interests = 3 893 783.33

Floa ng leg Accrued Valua on on 15/03/2001 (from 01/01/2000)

Interest on 15/03/2001: 1 241 500

number of days between 15/12/2000 ll 31/12/2000: 16

accrued interests between 15/12/2000 and 31/12/2000 = 100 000 000 * 4.966% * 16/360 = 220 711.11

Value = Interest 15/03/2001 – Accrued interests = 1 020 788.89

Paid Fixed Leg with 30/360 Accrual Rule

Begin date End date Days Basis Rate Nominal Coupons

11/02/2000 15/03/2000 34 360 4.58 % 100,000,000 432,555.56

15/03/2000 15/03/2001 360 360 4.58 % 100,000,000 4,580,000,00

15/03/2001 15/03/2002 360 360 4.58 % 100,000,000 4,580,000,00

15/03/2002 15/03/2003 362 360 4.58 % 100,000,000 4,605,444,44

15/03/2003 15/03/2004 358 360 4.58 % 100,000,000 4,554,555,56

15/03/2004 15/03/2005 360 360 4.58 % 100,000,000 4,580,000,00

Fixed leg Accrued Valua on on 31/12/2000 (from 01/01/2000)

Value date of the swap 11/02/2000

Number of days between 15/03/2000 and 31/12/2000: 285

Value = interest 11/02/2000-15/03/2000 + accrued interest 15/03/2000-31/12/2000 = -432,555.56 – 100,000,000 * 4.58% * 285/360 = -432,555.56 – 3,625,833.33 = -4,058,388.89

Swap Accrued Valua on

The accrued value of the swap is simply the sum of the two legs:

On 31/12/2000 (from 01/01/2000):

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Value = Fixed leg value + Floa ng leg value = 3,893,783.33 – 4,058,388.89

= -164,605.56

Example with Swap Amor sa on

Imagine that 50,000,000 swaps are sold on 30/11/2000. We have two solu ons for compu ng the accrued valua on:

We need to compute the accrued interests directly on the correct quan ty. That means that the arrays are changed if we take back the above examples:

Floa ng leg Accrued Valua on on31/12/2000 (from 01/01/2000):

Begin date End date Fixing Days Basis Rate Nominal Coupons

11/02/2000 15/03/2000 09/02/2000 33 360 3,4920 100,000,000 320,100.00

15/03/2000 15/06/2000 13/03/2000 92 360 3,7790 100,000,000 965,744.44

15/06/2000 15/09/2000 13/06/2000 92 360 4,5480 100,000,000 1,162,266.67

15/09/2000 15/12/2000 13/09/2000 91 360 4,8460 50,000,000 612,480.55

15/12/2000 15/03/2001 13/12/2000 90 360 4,9660 50,000,000 620,750.00

15/03/2001 15/06/2001 13/03/2001 92 360 4,7478 50,000,000 606,667.17

15/06/2001 17/09/2001 13/06/2001 94 360 4,5504 50,000,000 594,083.92

17/09/2001 17/12/2001 13/09/2001 91 360 4,4293 50,000,000 559,813.04

17/12/2001 15/03/2002 13/12/2001 88 360 4,5204 50,000,000 552,488.45

15/12/2004 15/03/2005 13/12/2004 90 360 5,2458 50,000,000 655,721.25

Interests:

15/03/2000320.100.44

15/06/2000965.744.44

15/09/20001.162.266.67

15/12/2000612.480.55

Accrued interests on 50000000 that was sold between 15/09/2000 and 30/11/2000 = 50,000,000 * (-4.8460%) * 76/360 = 511,522.22

Accrued interests between 15/12/2000 and 31/12/2000 = 50,000,000 * 4.966% * 16/360 = 110,355.55

Value = Interests + accrued interests = 3,682,469.87

Paid Fixed leg Accrued Valua on on 31/12/2000 (from 01/01/2000):

Begin date End date Days Basis Rate Nominal Coupons

11/02/2000 15/03/2000 34 360 4.58 % 100,000,000 432,555.56

15/03/2000 15/03/2001 360 360 4.58 % 50,000,000 2,290,000,00

15/03/2001 15/03/2002 360 360 4.58 % 100,000,000 2,290,000,00

15/03/2002 15/03/2003 362 360 4.58 % 100,000,000 2,302,722.22

15/03/2003 15/03/2004 358 360 4.58 % 100,000,000 2,277,277.78

15/03/2004 15/03/2005 360 360 4.58 % 100,000,000 2,290,000,00

Value date of the swap 11/02/2000

Number of days between 15/03/2000 and 30/11/2000: 255 days

Number of days between 30/11/2000 and 31/12/2000: 30 days

Value = - interest 11/02/2000-15/03/2000 - accrued interests 15/03/2000-30/11/2000 - accrued interests 30/11/2000-31/12/2000 = -432,555.56 – 100,000,000 *4.58% * 255/360 - 50,000,000 * 4.58% * 30/360= - 432,555.56 – 3,244,166.67 –
190,833.33 = - 3,867,555.56

Swap Accrued Valua on on 31/12/2000 (from 01/01/2000)

Value = Fixed leg value + Floa ng leg value = 3,682,469.87 – 3,867,555.56 = - 185,085.69

We need to compute the accrued interests on the 2 posi ons and aggregate them:

Floa ng leg Accrued Valua on on 31/12/2000 (from 01/01/2000)

On the posi on of 100,000,000 (see above): 3,893,783.33

On the sell posi on of 50,000,000: accrued interests between 30/11/2000 and 15/12/2000 + accrued interests between 15/12/2000 and 31/12/2000 = 50,000,000 * 4.846% * 15/360 + 50,000,000 *
4.966% * 16/360 = 100,958.33 + 110,355.56 = 211,313.89

Aggrega on = Floa ng leg value = 3,893,783.33 + 211,313.89 = 3,682,469.44 (»3,682,469.87) => Rounding difference

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Fixed leg Accrued Valua on on 31/12/2000 (from 01/01/2000)

On the posi on of 100,000,000 (see above): -4,058,388.89

On the sell posi on of 50,000,000: accrued interests between 30/11/2000 and 31/12/2000 = 50,000,000 * 4.58% * 30/360 = 190,833.33
Aggrega on = Fixed leg Value = -4,058,388.89 + 190,833.33 = -3,867,555.56

Swap Accrued Valua on on 31/12/2000 (from 01/01/2000)

Value = Fixed leg value + Floa ng leg value = 3,682,469.44 – 3,867,555.56 = -185,086.12

Dividend accruals
Front Office - PM offers the possibility to include into financial func ons (e.g., Valua on func on) the dividend that has been exercised but not paid (as an income opera on).

Stocks and Fund Shares are the only concerned Instruments for Dividend Accruals.

The computa on of dividend accruals into financial func ons depends on the following se ngs:

the Cash Flow Management parameter into the domain

the Dividend Accruals a ribute at Por olio level
the INCLUDE_DIV_ACCRUAL, INCOME_FLOW_CHECK_DAYS and the INCOME_PAYMENT_RANGE system parameter.

Business principles
For the following explana ons, it is considered that there is only one instrument (or posi on) in one por olio that is concerned by a dividend payment.

This could be populated with many por olios and many instruments concerned by dividend payments.

Valua on before ex-Date

As dividend could be announced but not detached, the instrument’s price reflects the instrument’s valua on including the future dividend. In other words, the dividend is included into the instrument’s price.

There is no dividend accrual to calculate and to value.

Ex-Date equals Payment Date

As ex- and payment dates are the same, valua on considers both instrument’s price and income (dividend amount) at the same date. So, there is no need concerning an accrued dividend into por olio’s valua on.

There is no dividend accrual to calculate and to value.

Payment Date is greater than Ex-Date

On ex-date, the dividend is detached from instrument’s price. The instrument’s price is mechanically dropped-down with a value equal to the unitary dividend amount. This dividend amount will be paid – theore cally - at payment date.

Because payment date is greater than ex-date, there is a valua on gap between those two dates.
Valua on on or a er Ex-Date and prior to Payment Date
At ex-date, the instrument’s price was cut down by a value equals to unitary dividend amount but will be paid in the future. As the dividend’s payment is not effec ve, the dividend accrual could be calculated and valued.
Valua on on and a er Payment Date
Theore cally, at payment date, the dividend is effec vely paid and valued into por olio as an income. The por olio’s valua on reflects the instrument’s price and its associated dividend.

There is no accrual dividend to calculate and to value.

Difference between theore cal & effec ve Payment Date

Dividends could be paid at a date different than the theore cal one.

In order to have no valua on gaps coming from the difference between theore cal & effec ve payment date, the dividend accrual should be calculate un l an income opera on is input into por olio for the dedicated instrument.

Se ngs

Domain
To determine whether to value or not the Dividend Accruals in the financial func ons, the user must set the Cash Flow Management field in the Parameters tab of the Domain screen with one of the following values:

<None> - exercised, but not paid, dividends are never accrued in financial func ons, whatever the value set at the Por olio and System Parameters levels. This is also the parameter’s default value.
All - dividends are accrued from ex-Date un l Payment Date for Stocks and Fund Shares.
Default - dividend accruals treatment depends on Por olio’s a ribute Dividend Accruals.
Stocks - only stocks’ dividends are accrued.
Fund Shares - only fund shares’ dividends are accrued.

Por olio
At Por olio level, the Dividend Accruals a ribute permits to set if dividends are accrued or not for all posi ons held into the Por olio.

This a ribute is defined by the same permi ed values as the domain’s parameter:

<None>: means that exercised, but not paid, dividends are not accrued by default for this Por olio.
All: means that dividends are accrued by default for this Por olio for Stocks and Fund Shares.
Default: Dividend Accruals treatment depends on INCLUDE_DIV_ACCRUAL System Parameter.
Stocks: means that only Stocks’ dividends are accrued by default for this Por olio.
Fund Shares: means that only Fund Shares’ dividends are accrued by default for this Por olio.

System Parameters
INCLUDE_DIV_ACCRUAL
By se ng this System Parameter, the User could define the Instruments’ perimeter on which the Dividend Accrual computa on must – or not – be processed by default by the system.

The permi ed values are:

0 & 2: means that exercised, but not paid, dividends are not accrued by default into financial func ons.
1: means that dividends are accrued by default into financial func ons for Stocks and Fund Shares.
3: means that only Stocks’ dividends are accrued by default into financial func ons.
4: means that only Fund Shares’ dividends are accrued by default into financial func ons.
INCOME_FLOW_CHECK_DAYS
It defines a dates’ range that permits to determine if the valua on date is included into the interval [Instrument Dividend’s ex-Date; Instrument Dividend’s ex-Date + INCOME_FLOW_CHECK_DAYS].

If the Valua on Date is part of this interval, the Dividend could be accrued, depending of the condi ons described in the Process sec on.
INCOME_PAYMENT_RANGE
It defines a dates’ range that permits to retrieve - or not – a paid income into an interval where the number of days is applied prior to and posterior to the theore cal payment date.

The interval is defined as:

[Theore cal Payment Date – INCOME_PAYMENT_RANGE; Theore cal Payment Date + INCOME_PAYMENT_RANGE].

If an Income opera on is found there is no Dividend Accrual computa on.

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Process
The ac va on of Dividend Accruals depends on three en es that must be treated by priority:

When the Cash Flow Management is ac vated in the domain, the Dividend Accruals service is ac vated:
for all Instruments if set to All.
only for stocks if set to Stocks.
for Fund Shares if set to Fund Shares.
If the Cash Flow Management is set to Default, the Dividend Accruals computa on depends on the Por olio’s a ribute Dividend Accruals.
In the case of Default set at the Cash Flow Management level in the domain, and when the Por olio’s a ribute Dividend Accruals is set with one of the following values, the accrued dividend valua on must be
done:
for all Instruments if set to All.
only for stocks if set to Stocks.
for Fund Shares if set to Fund Shares.
If both Cash Flow Management at the domain level and Dividend Accruals at the por olio level are set to Default, the Dividend Accruals computa on depends on the system parameter’s value for
INCLUDE_DIV_ACCRUAL.
If the latest rule is respected and the INCLUDE_DIV_ACCRUAL is set with one of the following values, the dividend accrual must be computed:
for all Instruments if set to 1.
for only stocks if set to 3.
for Fund Shares if set to 4.

If one of the previous condi ons enables the Dividend Accrual computa on, the financial func ons take into account dividends that have been exercised (from ex-date) but not yet paid (un l effec ve payment date).

If a posi on is eligible to dividend (open posi on at ex-date minus 1 day), and if this posi on has been closed between ex- and payment dates, the dividend could be accrued (respec ng the previous rules).

A dividend is considered as paid when, for an Instrument, there is an Income Opera on input into por olio that represents the dividend amount.

A dividend is accrued as a cash posi on, with currency equals to the one set into income event descrip on.

Example
For a posi on of 500 EPR_INSTR_DIV, with the following dividend descrip on:

Income Event:

Announcement Date: 01/01/2005

ex-Date: 10/06/2005

Payment Date: 10/08/2005

Dividend: 5 CHF.

System Parameters:

INCOME_FLOW_CHECK_DAYS = 180

INCOME_PAYMENT_RANGE = 5

The accrued dividend should be generated from 10/06/2005 un l 10/08/2005 for an amount of 2,500 CHF.

Before ex-date, there is no dividend accrual to compute and the cash valua on on 09/06/2005 does not calculate any dividend accrual.

On or a er Ex-date, the dividend is accrued into Valua on.

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On accoun ng date as of 05/08/2005, the effec ve payment is made via an Income Opera on in the amount of 2,000 CHF. The accrued dividend is replaced by the Income Opera on into valua on.

Signature Por olio valua on

An instrument is a Signature Por olio if:

Instrument nature = Fund share (nature_e = 13)

Instrument sub nature = External Product (sub_nat_e = 113)
Instrument price calcula on rule = Por olio Specific Price (price_calc_rule_e = 27). For instruments with this se ng, the system will not search for prices in instr_price but only in the en ty
portfolio_instr_price.

Example
All subscrip ons on a Signature Por olio are at a price of 1 EUR. The posi ons held against the instrument is 20000. The posi on is valued at 20000 * 1 = 20000 EUR.
When the valua on amount is received by the external agency, the record is inserted into the en ty portfolio_instr_price as below. The price in this en ty is 3 EUR:
Instrument: Signature Por olio
Por olio: TCIB_PTF11
Quote Date: 15/112018
Quote: 3
Value: 60000
Quan ty: 20000
Price Calcula on Rule: Por olio Specific Price
Price: 3
Currency: EUR
The posi on of 20000 is valued at a price of 3 EUR. This price is chosen from the en ty portfolio_instr_price, not instr_price.
All redemp ons on a Signature Por olio are valued at a price available in en ty portfolio_instr_price.

Exchange rates
Exchange rates are handled in two steps. First, you must retrieve the exchange rate according to system-defined rules, as you would with instrument prices. Secondly, you have to handle cross rates, with the further complexity of Euro cross rates.
This sec on only describes the standard mechanism. You can define more complex rules by defining valua on rules, see Appendix A: Valua on rules.

Standing data
Exchange rates are stored in the exchange rate table. The following a ributes in this table are important:

Date
Currency
Underlying currency
Type (e.g. bid, ask, close)
Market (e.g. NYSE, LIFFE)
Provider (e.g. Telekurs, Reuters)

Note: You can enter several exchange rates per day and per currency pair.

The following elements play a role in deciding the appropriate price to use:

System parameters
Currency data
Type data
System parameters
To find the system parameters in the GUI menu, go to Administra on > Security > Parameter, and select Valua on/Risk in the Nature field:

System parameter Descrip on

Exchange Rate Selec on Order Sets the priority between the following selec on
criteria:
EXCHANGE_RATE_SEL_ORDER
business en ty to which the end user is
connected. This criterion applies only
when the mul -en ty func onality is
configured. (B)
types of prices (type rank) (T)
price provider (defined at instrument
level) (P)
instrument default market (M)

You can use different combina ons of these criteria

(e.g. BMTP).

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System parameter Descrip on

Exchange Rate Date Priority Flag Indicates the priority between the exchange rate for
the requested date and an exchange rate that
EXCHANGE_RATE_DATE_PRIORITY_FLAG depends on EXCHANGE_RATE_SEL_ORDER.

Exchange Rate Validity Period Indicates the absolute validity period of a price.

EXCHANGE_RATE_VAL_PERIOD

Missing Exchange Rate Indicates what is to be used as the exchange rate if

none is found (e.g., 0 or 1).
MISSING_EXCH_RATE

Currency data

Currency data Descrip on

Market Market in which the currency is quoted.

Provider Default informa on provider of the exchange rate.

Type data

Type data Descrip on

Rank At Type level, you can rank the various types in order of importance.

Exchange Rate Retrieval: Mechanism

Dates: The exchange rates considered or those on or before the valua on date. If the EXCHANGE RATE DATE PRIORITY FLAG system parameter is set to 1 (Yes), the system works by date, then by
criteria. Alterna vely, if this parameter is set to 0 (No), then the system works first on the criteria, then on the date.
Criteria: The Exchange Rate Selection Order system parameter indicates in which order the criteria must be used. If this is set to BTMP, for example, it means that the most important criterion is the
business en ty, then type (T), market (M), and finally provider (P).
Business En ty: The system looks first among exchange rates that are specific to the end user’s connected business en ty. If no exchange rate is found, the search scope includes exchange rates defined
in the master en ty.
Type: The matching on exchange rate types is done using the lowest ranking type. Note that a type with a rank equal to 0 is never used in the default valua on.
Market: The matching is done between the market defined at the currency level and the market of the exchange rate. If no market defined in the currency record, the system gives priority to the
exchange rates with a market = NULL. If there are mul ple, possible exchange rates with different markets, the system takes the first one on the list without applying any priority.
Provider: The matching is done between the provider defined at the currency level and the provider of the exchange rate. If no provider defined in the instrument record, the system gives priority to the
exchange rate with a provider = NULL. If there are mul ple, possible exchange rates with different providers, the system takes the first one on the list without applying any priority.

Example:
Say we want an exchange rate between USD and CHF. USD is defined at the currency level with the default market New York and default price provider Reuters. In the Type table, we find Close with a rank of 1, Bid with a rank of 2 and Ask with a
rank of 3. The Exchange Rate Selection Order system parameter is set to BTMP.

The following prices are available:

Date Quote Bus. Ent. Type Market Provider

Exch. rate 1 16/02 1.5425 SGP Bid Bloomberg Telekurs

Exch. rate 2 16/02 1.4825 MASTER Ask New York Telekurs

Exch. rate 3 16/02 1.4795 MASTER Bid Zurich Telekurs

Exch. rate 4 16/02 1.4810 MASTER Ask New York Reuters

Exch. rate 5 15/02 1.4815 MASTER Bid New York Telekurs

If the end user is connected to SGP, then Front Office - PM selects exchange rate 1.
If the end user is connected to another business en ty:
If the Exchange Rate Priority Flag is set to Yes, then the Valida on func on of Front Office - PM chooses exchange rate 4 in the absence of a guilder price. Exchange rate 3 meets the
market criterion, and the type is iden cal to that of exchange rate 1 but the provider is also matched.
If the Exchange Rate Priority Flag is set to No, then the Valida on func on of Front Office - PM chooses exchange rate 5 as it meets the market criterion and the type rank is the lowest.

Cross rates
This process depends on:

Exchange Underlying Currency (EXCH_UNDERL_CURRENCY)

If the EXCH_UNDERL_CURRENCY system parameter is set, the currency it is set to is the default underlying currency that is used for compu ng a cross exchange rate between two currencies. By default, this
parameter is set to the same value (currency) as the System Currency.

By default, the exchange rate between two currencies, neither of which is the Exchange Underlying Currency, is computed as the ra o between the two exchange rates against the underlying currency.

If one of the two currencies is the Exchange Underlying Currency, no cross rate is computed and the value stored in the database is used directly, or inversely, depending on the case.

If the two currencies are the same, the exchange rate is automa cally set to 1.

System Currency (SYS_CURRENCY)

If the Exchange Underlying Currency is not provided, the System Currency system parameter is taken as the default underlying currency that is used for compu ng cross exchange rates.

Note that the EXCH_UNDERL_CURRENCY and SYS_CURRENCY system parameters can be different. This is useful for dealing with the Euro, for example, where the Euro is the Exchange Underlying Currency
and an ‘in’ currency is the System Currency, at least during the transi on period from 01/01/1999 to 01/01/2002.

The Exchange Rate Inverse Flag (EXCH_INVERSE_FLAG)

If the Exchange Rate Inverse Flag is set to 0 (the default value), the exchange rates expressed against the Underlying Exchange Currency are stored in the database in indirect quota on mode. Indirect
quota on mode means that there is a varying number of units of the Exchange Underlying Currency per unit of the quoted currency).
If the flag is set to 1, the exchange rates expressed against the Underlying Exchange Currency are stored in the database in direct quota on mode. Direct quota on mode means that there is a varying
number of units of the quoted currency per unit of the Exchange Underlying Currency).

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Note that, irrespec ve of the flag's value, the exchange rates displayed in the GUI, or retrieved using the EXCH_RATE() keyword, are always in the indirect quota on mode.
The Exchange Rate Date Priority Flag (EXCH_RATE_DATE_PRIORITY_FLAG)

If the Exchange Rate Date Priority Flag is set to 1, the priority is to use the exchange rate for the date. If there is no other exchange rate for that date, the new exchange rate is deemed the default one.

Exchange rates and the Euro

As far as exchange rates are concerned, the implementa on of the Euro has entailed a number of changes to Front Office - PM. The main effects of the Euro on exchange rates are as follows:

From 01/01/99, the European currencies that are ‘in’ the Euro system are no longer quoted. Their exchange rates with the Euro were fixed on that date.
These fixed exchange rates are officially published in direct quota on mode (to 6 significant figures). In compu ng, the fixed rates must be used as published and not their inverse (to avoid rounding errors).
When applying a cross-exchange rate between 2 "in" currencies to an amount, you must use the triangula on method. This means that you go through an amount expressed in euros instead of applying the
implicit cross-exchange rate, computed as the ra o of the two fixed exchange rates.

The triangula on method as defined by the European authori es means that you must:

Convert the amount in the first ‘in’ currency into an amount in euros (rounded minimum to three decimals as per the values of the next two parameters) using the fixed exchange rate,
Convert the Euro amount obtained as above into the second ‘in’ currency using its fixed exchange rate.
From 01/01/99, the exchange rates between the ‘in’ currencies and ‘out’ currencies are no longer quoted. You can s ll calculate these exchange rates, however, as the ra o of the ‘out currency’/Euro and ‘in
currency’/Euro exchange rates.
This process of conver ng a European currency into euros can be repeated over me for new joiners. The conversion of the Bri sh Pound, for example, could take place at a later stage.

Front Office - PM has a number of parameters for implemen ng the previous Euro rules.

At the currency level, these parameters are the following:

Euro Conversion Date (Euro_conv_d): this a ribute in the Currency table indicates the date of entry of a currency into the Euro. From that date, the exchange rate of this currency is considered as fixed
against the Euro. So the Exchange Rate table will no longer be used to compute a ‘cross rate’ against any currency. Note the following two points:
If that date is set to NULL (which is the default), it implies that the currency is considered as an ‘out’ currency. The content of the ‘Exchange Rate’ table is used according to the rules described into the
previous sec on.
That date is not necessarily equal to the ‘01/01/1999’. This allows to deal with the case of currencies which will be ‘in’ the Euro at a later stage (e.g. case of the GBP). In that case, the currency will be
considered as an ‘out’ currency ll that date.
Euro Exchange Rate (Euro_exch_rate): this informa on in the Currency table allows to set the fixed exchange rate between an "in" currency and the Euro. Two points must be men oned:
If the Euro Conversion Date of the currency is different from NULL, this date has to be provided, and it has to be posterior to the Euro Conversion Date defined at the system level.
This fixed exchange rate as to be set in the direct way (i.e. the amount of the ‘in’ currency required for one unit of Euro).

At the system level, these parameters are the following:

Euro Currency (EURO_CURRENCY): This system parameter specifies which currency is the Euro. By default, this parameter is set to EUR, the ISO code of the Euro.
Euro Conversion Date (EURO_EXCH_CONV_DATE): this system parameter specifies the date of the introduc on of the Euro (normally, ‘01/01/1999’).
Three points must be noted about this parameter:
If the date is set to NULL, it means that none of the par cular processes described in this sec on will occur. The methods used to retrieve the exchange rates are then based only on the parameters
specified in the previous sec on.
That date may also be set before or a er 01/01/1999. This can be useful for tes ng purposes.
If the date is later than the system date of the database server, this is the same as the date being equal to NULL. All the Euro processing described in this sec on takes place only from the moment the
Euro Conversion Date is prior or equal to the system date.
The Old Exchange Underlying Currency (OLD_EXCH_UNDERL_CURRENCY): This system parameter, if provided, indicates the ‘old’ Exchange Underlying Currency before the Euro Conversion Date. This
informa on is useful for systems which are in produc on before this date and for which the exchange rates have been introduced against the System Currency.
The Old Exchange Inverse Flag (OLD_EXCH_INVERSE_FLAG): This system parameter, if provided, indicates the ‘old’ Exchange Inverse Flag before the Euro Conversion Date. This informa on is useful for
systems which are in produc on before this date and for which the exchange rates have been introduced the "indirect" way against the System Currency. The last two parameters change the ‘Exchange
Underlying Currency’ to Euro and the ‘Exchange Inverse Flag’ to ‘1’, while keeping the exchange rates stored into the system before that date.
The Euro Cross Currency Flag (EURO_CROSS_CURRENCY_FLAG): this system parameter indicates if, when conver ng amounts from one 'in' currency into another 'in' currency either the implicit cross rate
method (0) or the triangula on method (1) is used.
The Euro Cross Rounding Rule (EURO_CROSS_ROUND_RULE) This system parameter indicates, when the triangula on method has to be used to convert from one 'in' currency into another 'in' currency, what
rounding rule has to be used. The following values are valid: '0' = ‘Default’ (= 'Nearest'), '1' = 'Nearest’, '2' = 'Down', ‘3’ = ‘Up’.
The Euro Cross Rounding Unit (EURO_CROSS_ROUND_UNIT): This system parameter indicates, when the triangula on method has to be used to convert from one 'in' currency into another 'in' currency, what
rounding unit has to be used. The permi ed values are the following:
'11' = 0.001 (rounding to the third decimal)
'12' = 0.00001 (rounding to the fi h decimal)
'13' = 0.0001 (rounding to the fourth decimal)

Taking into account the above parameters, in par cular, the standard rules for exchange rate retrieval, the rules for exchange rate retrieval from the date of introduc on of the Euro (that is, the Euro Conversion Date is different from NULL and
prior or equal to the system date) also depend on if the Euro is the Exchange Underlying Currency or not.

Case 1:
Euro is the Exchange Underlying Currency:

With the Euro Conversion Date at system level and "in" currencies level set to 01/01/99, then:

For dates a er 01/01/99, the exchange rate of an "out" currency against the Euro is the most recent exchange rate of the ‘out’ currency against the Euro, as stored in the Exchange Rate table.
For dates a er 01/01/99, the exchange rate of an "in" currency against the Euro is the fixed rate of the ‘in’ currency and the Euro, as stored in the Currency table.
For dates a er 01/01/99, the exchange rate of an "out" currency against another ‘out’ currency is the ra o of the most recent exchange rates of the two ‘out’ currencies against the Euro, as stored in the
Exchange Rate table.
For dates a er 01/01/99, the exchange rate of an "out" currency against an "in" currency is the ra o of the most recent exchange rate of the ‘out’ currency against the Euro, as stored in the Exchange Rate table,
and the fixed exchange rate of the ‘in’ currency against the Euro, as stored in the Currency table.
For dates a er 01/01/99, the conversion of an "in" currency against another ‘in’ currency requires the fixed rates stored in the Currency table, whether the triangula on method (compulsory for "in" countries)
or implicit cross calcula on method is used.
For dates prior to 01/01/99, the exchange rate of an "out" currency against ‘the Euro’ is the exchange rate against the Euro at the date of the introduc on of the Euro stored in the Exchange Rate table.
For dates prior to 01/01/99, the exchange rate of an "in" currency against the Euro is the fixed rate as stored in the Currency table.
For dates prior to 01/01/99, the exchange rate between two currencies other than the Euro is the implicit cross exchange rate calculated from the historical exchange rates against the ‘Old Exchange Underlying
Currency’ as stored in the Exchange Rate table.

Case 2:
An ‘out’ currency is the Exchange Underlying currency:

Considering ‘01/01/1999’ as the Euro Conversion Date and assuming that the same ‘out’ currency (e.g., CHF) remains the Exchange Underlying Currency before and a er the introduc on of the Euro, then:

For dates a er 01/01/99, the exchange rate of an "out" currency against ‘the Euro’ is the ra o of the most recent exchange rate of both the ‘out’ currency and the Euro against CHF, as stored in the Exchange
Rate table.
For dates a er 01/01/99, the exchange rate of an "in" currency against the Euro is the fixed exchange rate of the ‘in’ currency against the Euro stored in the Currency table.
For dates a er 01/01/99, the exchange rate of an "out" currency against another ‘out’ currency is the ra o of the most recent exchange rates against CHF, as stored in the Exchange Rate table.
For dates a er 01/01/99, the exchange rate of an "out" currency against an "in" currency is the ra o of the most recent exchange rates of the ‘out’ currency and the Euro against CHF as stored in the Exchange
Rate table, divided by the fixed exchange rate of the ‘in’ currency against the Euro, as stored in the Currency table.
For dates a er 01/01/99, the exchange rate of an ‘in’ currency against another ‘in’ currency is the ra o of the fixed rates against the Euro in the Currency table. Depending on whether the triangula on is chosen
or not, the conversion of an amount from the first ‘in’ currency to the second ‘in’ currency is performed by passing through a Euro amount (triangula on required), or by applying the implicit cross rate resul ng
from the ra o of the two fixed rates (triangula on not required).

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For dates prior to 01/01/99, the exchange rate of an ‘out’ currency against the Euro is the ra o of the exchange rate of the ‘out’ currency against CHF and the exchange rate of the Euro against CHF at the date of
the introduc on of the Euro, as stored in the Exchange Rate table.
For dates prior to 01/01/99, the exchange rate of an ‘in’ currency against the Euro is the fixed rate of the ‘in’ currency against the Euro, as stored in the Currency table.
For dates prior to 01/01/99, the exchange rate between two currencies different from the Euro is the result of the cross rates computa on between the historical exchange rates against CHF.

The following points that apply to both cases are worth no ng:

A currency for which an exchange rate is retrieved before it becomes an ‘in’ currency (e.g., case of the GBP between the 01/01/1999 and the 01/01/2002) is treated as an ‘out’ currency.
You may have to retrieve exchange rates against the Euro before the date of the introduc on of the Euro in some cases (historic Valua on against the Euro, Modify Currency into Euro, Performance
measurement in Euro for a period beginning before the Euro Conversion Date).

Future, forward, and term posi ons specific treatment

The quan ty in the posi on is mul plied by the price and converted into the valua on currency. To this amount, the amount of the accrued interest can be added.

Some instruments, however, do not always follow this rule. This is the case of Futures and Forward contracts, as well as Term posi ons. In these cases, these instruments or posi ons are valued according to the Futures accoun ng flag
(FUT_ACC_FLAG), the Forward accoun ng flag (FWD_ACC_FLAG) and Term accoun ng flag (TERM_ACC_FLAG) system parameters:

If the ***_ACC_FLAG is set to 0

There are two posi ons, the instrument posi on (valued as the price mes the quan ty) and the cash posi on.

Instrument Quan ty Cost price Current price Market value

Future 1 1000 1500 1500

Cash -1000 1 1 -1000

If the ***_ACC_FLAG is set to 1: the cash posi on is not shown and the instrument posi on is valued as the difference between the current price and the cost price, with no offse ng cash.

Instrument Quan ty Cost price Current price Market value

Future 1 1000 1500 500

Fund spli ng
Fund spli ng is the process by which a mutual fund share is split into its components. This process gives a more accurate view of the exposures of the share.

Details of how these components can be set up are found in the WealthSuite Front Office - Por olio Management - Financial Instruments Reference Guide.

When the fund share is split, new extended posi ons are created. These posi ons show the exposure in the component instruments. To display the components or the original fund share posi on, you create a filter for the Fund-split field in the
Extended Posi on structure. The filter values are:

0. Not a fund

1. Original fund share posi on

2. Fund share component

Risk view valua on

Unlike other processes, the risk view valua on does not present an accoun ng view of the posi ons of a por olio. Instead, the risk view valua on process involves the measurement of the economic exposure or risk of a por olio. At the domain
level, you can specify the crea on of risk-adjusted posi ons.

To display the accoun ng and risk posi ons, you can create filters on the Accoun ng flag (indica ng whether the posi on is an accoun ng posi on) and on the Risk Nature (indica ng whether the posi on is a risk posi on) in the Extended
Posi ons structure. Some posi ons can be both accoun ng and risk posi ons (e.g., equity).

The general processing of this func onality involves:

Risk Nature field

Hybrid instrument
Deriva ves

Risk Nature field

This field, part of Financial Instrument, lets you assign an instrument to a specific risk source:

None
Equity
Interest
Commodity
Currency
Hybrid

Hybrid instrument
If the instrument is a hybrid, the process a empts to decompose this instrument into component parts. The new quan es are weighted according to data found in the instrument composi on table. The sum of the values of the component
instruments is equal to the value of the parent. The quan ty specified in the instrument composi on table can represent either the quan ty of the component instrument or a percentage of the value of the composite in the component. The
decomposi on con nues un l no more composite hybrid instruments are found.

Deriva ves
The ini al instruments, or those that have been found in the hybrid instrument decomposi on described above, are tested to see if they are deriva ves. Risk posi ons for each deriva ve contract are described in the WealthSuite Front Office -
Por olio Management - Financial Instruments Reference Guide. The basic process is to show the exposure to underlying risk factors. If the underlying instrument is also a hybrid instrument, it too is subject to the same process.

An example of this mechanism is an op on bond (hybrid risk) composed of an ex-bond (interest rate risk) and an op on (deriva ve) in a basket (hybrid risk) of stocks (equity risk). In the accoun ng view, the posi on in the op on bond is
displayed; in the risk view, the exposure to the ex-bond and the individual stocks that make up the basket are displayed.

To see examples on the treatment of the different instrument natures, refer to the WealthSuite Front Office - Por olio Management - Financial Instruments Reference Guide.

Links between posi ons

The Valua on func on creates new links between posi ons. In par cular, the following fields are important:

Main_ext_pos_id: references the main posi on counterpart of the current posi on

Acct_ext_pos_id: references the cash account counterpart of the main posi on
Risk_ext_pos_id: references the original accoun ng posi on of a risk posi on

Example 1
To display the quan ty of the original accoun ng posi on when the exposure in the underlying instrument is displayed, define a format element with the defini on Risk_ext_pos_id.quan ty_n.

Example 2

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In the risk view, Futures are shown as two cash posi ons. To display the original accoun ng posi on along with the exposure in the underlying instrument, define a format element with the defini on Risk_ext_pos_id.quan ty_n.

Restart profit and loss at flexible date for Valua on func on

Valua on func on with "Restart profit and loss at flexible date" displays cost prices, cost amounts, cost exchange rates, and unrealised profit and loss calculated from cost prices and exchange rates at a specific date. The same func onality is also
available for the Opera on History func on (see sec on Restart profit and loss at flexible date for Opera on History func on).

Domain se ngs
To ac vate this behaviour, the domain needs the following specific se ngs:

Reference Date is used to define the specific date. Cost prices and exchange rates are retrieved at this date.
This date must be before the Ini al Date.
P&L Method is used to ac ve this behaviour.
P&L Method is set to Market Value Profit and Loss method.

Note that posi on valua on rule cannot be loaded when “Restart profit and loss at flexible date” is ac vated.

Impact on posi ons

Posi ons opened before the Reference Date is updated:

Cost price and cost exchange rates are replaced by their value at Reference Date.
Cost amounts are calculated with the new cost price and exchange rate.
Fees and taxes are removed from the posi on.

All opera ons between the Reference Date and the Ini al Date are taken into account by a logical fusion to generate new posi ons based on updated posi ons.

Note that posi ons with instrument nature Forward or Futures are excluded from this func onality; their cost prices and exchange rates are never updated.

Example: Using historical cost price and exchange rates

A posi on is opened on 2010: 10 Nestle @ 50.00 CHF with 7.00 of fees and taxes:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

100.00 50.00 5000.00 5007.00 CHF 0.59 2950.00 2954.13 EUR

This posi on is valuated as follows:

Ini al Date on 25/03/2012 @ 52.00 CHF, exchange rate CHF/EUR = 0.61

Reference Date on 25/03/2012
P&L Method is set to Standard

No update on Extended posi on table:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

100.00 50.00 5000.00 5007.00 CHF 0.59 2950.00 2954.13 EUR

No impact on Valua on posi on table:

Quan ty Current Price Market value Currency

100.00 52.00 3172.00 EUR

Unrealised profit and loss calculated by script key word UNREALISED_PL (calcula on with PORT_PL_COMP_RULE = 2):

Reference

Quan ty Gross Amount Net Amount Currency

Currency Profit 102.00 102.07 EUR

Capital Profit 120.00 115.80 EUR

Example: Using cost price and exchange rates at a specific date

A posi on is opened on 2010: 10 Nestle @ 50.00 CHF with 7.00 of fees and taxes:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

100.00 50.00 5000.00 5007.00 CHF 0.59 2950.00 2954.13 EUR

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This posi on is valuated as follows:

Ini al Date on 25/03/2012 @ 52.00 CHF, exchange rate CHF/EUR = 0.61

Reference Date on 31/12/2011 @55.00 CHF, exchange rate CHF/EUR =0.58
P&L Method is set to Market Value Profit and Loss method

Extended posi on table is updated:

Posi on Reference

Quan ty Price Gross Net Currency Exch. Gross Net Currency

Amount Amount rate Amount Amount

100.00 55.00 5500.00 5500.00 CHF 0.58 3190.00 3190.00 EUR

No impact on Valua on posi on table:

Quan ty Current Price Market value Currency

100.00 52.00 3172.00 EUR

Impact on unrealised profit and loss calculated by script key word UNREALISED_PL (calcula on with PORT_PL_COMP_RULE = 2):

Reference

Quan ty Gross Amount Net Amount Currency

Currency Profit 160.50 160.50 EUR

Capital Loss -178.50 -178.50 EUR

Using the Valua on func on

The Valua on Func on is started from the Domain screen. This sec on describes the fields in the Domain or Applica on Parameter tables that determine the valua on process. Relevant fields in the extended posi on and posi on valua on
structures are also described. For more details, refer to the WealthSuite Front Office - Por olio Management - Data Model Reference Guide.

Domain
On the Domain screen (by choosing Analysis > Valua on), the following fields define the valua on process:

Loading Data
Parameters

Loading Data

Field Descrip on

Por olio All Por olios/List/Por olio/Third Party: enter (or browse for) the por olios you
Dimension want to include in the valua on.

Instrument All Instruments/Instrument/List: defines if the posi ons retrieved are restricted to
Dimension a single instrument or a list of instruments.

Currency Enter (or browse for) the currency in which you want the valua on to be made.

Ini al Date Enter the date at which the valua on is made.

Minimum Select the minimum and maximum statuses of the retrieved posi ons. Lets you
Status evaluate a por olio with or without orders, for example.

Maximum
Status

Loading To load a por olio Posi on Set, select PPS or Default or Load PPS from the field's
Rule drop-down list. When you select one of these op ons, the Consolida on P field is
ac vated. Click Browse bu on beside the Consolida on P field to select a
consolida on por olio (PPS).

Parameters

Field Descrip on

Consolida on Select Merged if you want to consolidate several por olios, which are then
considered as one por olio. Select Detailed to keep the posi ons separated. If
the Por olio Dimension is based on a third party used for household (for
informa on about household, refer to the WealthSuite Front Office - Por olio
Management - User Guide, select Merged Hierarchy if you want to consolidate
por olios of each por olio hierarchy into their corresponding head por olio. (*)

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Field Descrip on

Fund Spli ng Select Spli ng to break down fund shares into component parts. Select None to
view consolidated fund shares. (*)

Accoun ng Select the checkbox if you require a risk valua on. Leave it clear for an
View accoun ng valua on. Note that access to a Risk View is enabled in the Func on
Security Profile. (*)
Risk View

Op on Risk Defines if op ons must be le as op ons, replaced by underlying instruments in

a one to one ra o (Full Exposure), or if the quan ty of the underlying must be
weighted by the delta of the op on (Delta Exposure).

Cash Flow It permits – when set - to include dividend amounts that have been exercised
Management from Stocks and / or Fund Shares but not paid (as Income Opera on).

Exclude / Select the checkbox to retrieve (Include) posi ons with a quan ty of 0.
Include Zero
Posi ons

Keep / Merge Select the checkbox if you want to merge posi ons that have different statuses.
Status When you choose the Merge Status op on, the posi ons are merged according
to the MERGE_STATUS_RULE system parameter se ng.

Keep / Close Select the checkbox to merge nega ve and posi ve posi ons. Note that if you
Posi ons merge the posi ons, they realise a profit and loss that will no longer appear in
the unrealised profit and loss.

Load Permits to value the por olio’s hierarchy. To do so, the user must set this
Hierarchy parameter at From Parent. In this context, the parent por olio and its child
components will be valued.

Posi on The Posi on Logical Id rule indicates which business fields iden fy a posi on
Logical Id (Basic, PosCurr, Deposit, PosCurr/Deposit).

Fusion Rule The Fusion Rule specifies which logical fusion is to be performed.

Loading Rule Determines if pos_val records are loaded or not (Nothing to load). To load
pos_val records, choose from Load at Ini al Date, Load at Final Date, and Load at
Ini al Date and Final Date.

(*) Note that for a logical fusion at the Front Office - PM level, a “Risk” posi on (derived from a fund spli ng or a risk view) cannot merge with an “Accoun ng” posi on.

Applica on parameters
The following applica on parameters directly affect the valua on process.

Parameter Descrip on

ACCR_INTEREST_VAL_PERIOD
Accrued Interest Validity Period Flag

Set to 1 for bonds, this flag keeps the

accrued interest calcula on on coupon
payment day (allows coupon payments
to be transferred in batch process the
following night). Otherwise, the bond
would show 0 on coupon payment day.
This flag takes precedence over
FULL_COUPON_FLAG.

EXCH_RATE_DATE_PRIORITY_FLAG
Exchange Rate Date Priority Flag

It indicates the priority of the date.

EXCH_RATE_SEL_ORDER
Exchange Rate Selec on Order

It indicates the criterion’s priority used

to determine the default exchange rate.

EXCH_RATE_VAL_PERIOD
Exchange Rate Validity Period

It indicates the number of days for

which an exchange rate is valid.

EXECUTION_STATUS
Execu on Status

The default value is -1, which is the

usual behaviour: When limit orders are
not executed and the limit date is
expired, the orders are not included in
the valua on.

If the parameter is set, and when the

limit order has reached the status
referenced by this parameter, a
corresponding posi on is shown in the
valua on independent of its limit date.

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Parameter Descrip on

FULL_COUPON_FLAG
Full Coupon Flag

It indicates that accrued interest on a

coupon payment day is the full coupon
for the period and not 0. Has lower
priority than the Accrued Interest
Validity Date flag
(ACCR_INTEREST_VAL_DATE).

FUND_SPLIT_CALC_RULE
Fund Spli ng Calcula on Rule

It indicates how quan es are

computed in the fund spli ng process.

FUT_ACC_FLAGFWD_ACC_FLAGTERM_ACC_FLAG
Future Accoun ng Flag

Forward Accoun ng Flag

Term Accoun ng Flag

They indicate how Futures, Forwards,

and Term Contracts are valued.

INCOME_FLOW_CHECK_DAYS
Income Flow Check Days

It defines a dates’ range that permits to

determine if the Valua on Date is
included into the interval [Ex-Date –
Payment Date].

INCOME_PAYMENT_RANGE
Income Payment Range

It defines a dates’ range that permits to

retrieve or not an Income paid – or not
– into this interval. The number of days
is applied prior to and posterior to the
theore cal dividend’s Payment Date.

MISSING_EXCH_RATE
Missing Exchange Rate

It indicates which rate is to be used in

the absence of an exchange rate
(suggested values are 0 or 1).

POS_LOGICAL_ID_RULE
Posi on Logical Iden fier Rule

It indicates what business fields iden fy

a posi on (currency, deposit).

PRICE_DATE_PRIORITY_FLAG
Price Date Priority Flag

It indicates the priority of the date.

PRICE_SEL_ORDER
Price Selec on Order

It indicates the priority between the

criteria used in the determina on of a
default instrument price.

PRICE_VAL_PERIOD
Price Validity Period

It indicates the number of days for

which an instrument price is valid.

RISK_OPT_COST_RULE
Risk Op on Cost Rule

In the case of the risk view of an

op on, indicates how the cost price of
the underlying instrument is
determined.

RISK_OPT_VAL_RULE
Risk Op on Valua on Rule

In the case of the risk view of an

op on, indicates how the current price
of the underlying instrument is
determined.

Structures
The valua on process generates the extended posi on and posi on valua on structures. The per nent fields in these structures are described below. For a complete descrip on of these structures, refer to the WealthSuite Front Office - Por olio
Management - Data Model Reference Guide.

Extended Posi on structure

Field Descrip on

Descriptors of Por olio, Instrument, Deposit, Posi on currency, Instrument currency,

the posi on Reference currency, etc.

Details from Opening opera on nature, Execu on opera on code, Reversal nature, Status,
the opening Main flag, etc.
opera ons

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Field Descrip on

Dates Accoun ng, Opera on, Value, etc.

Cost data Quan ty, All cost exchange rates, Price, Quote, All net and gross cost amounts
(Reference, instrument and posi on currency), All fees and tax counters.

Interposi on id: the iden fier of an occurrence in extended posi on.

links
main extended posi on: the iden fier of the main posi on.
Allows the user to reference the main posi on when he or she is
on a cash posi on for example.
account extended posi on: iden fier of the cash posi on. Allows
the user to reference the cash posi on when he or she is on a
main posi on for example.

Risk Accoun ng flag: indicates that the posi on is an "accoun ng

adjustment view".
Risk nature: indicates that the posi on is a risk view.
Risk instrument: indicates the deriva ve instrument that has
generated a risk posi on.
Risk posi on: indicates the accoun ng posi on that generated the
current risk posi on.
Fund spli ng: indicates that the posi ons result from a fund
spli ng process.

Posi on Valua on structure

This structure is an extension of the extended posi on structure.

Field Descrip on

Price Term type, price provider, price currency, quote, etc.

informa on

Exchange Price, posi on and instrument exchange rates.

rates

Accrued Currency, number of days, exchange rate.

interest

Amounts Net, accrued interest and market value amounts in posi on, reference and
instrument currencies.

Remarks
The Por olio table includes the following non-physical fields:

Field Value

risk_mkt_val_m risk market value

risk_net_val_m risk market value without accrued interests

mkt_val_m market value

net_asset_val_m net asset value of a fund

net_val_m market value without accrued interests

Posi ons History func on

The Posi ons History func on (formerly Performance) is similar to an Opera on History with two Valua ons; one at the Ini al Date and one at the Final Date.

The Posi ons History func on is the process that displays:

Flows inherent in the opera ons performed in a por olio or several por olios between two given dates
Posi ons that are open at the Ini al Date and Final Date.

Each line in the Posi ons History screen contains informa on on the transac on (e.g., dates, cost prices, etc.) and, for posi ons that are valued, the pricing data available at the Ini al Date and Final Date.

The Posi ons History process retrieves the posi ons in accordance with parameters entered into the domain. The most important parameters are the por olio Dimension and the Dates (from_d and ll_d). These and other fields are described
later. With this informa on, the process retrieves the flows between the dates and creates the extended posi on structure.

The second part of the process involves the valua on of the posi on at the Ini al Date and Final Date. The mechanism is the same as for a Valua on. The process creates an extension to the extended posi on structure called posi on valua on.
For more details on the valua on of posi ons, see sec on Valua on func on.

Detailed func onali es

Detailed func onali es include:

Retrieving posi ons

Posi on valua on
Opera on History, Valua on, Posi ons History
Posi ons History func on versus Return func on

Retrieving posi ons

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When you click OK bu on or Apply bu on in the Domain screen, Front Office - PM retrieves all the posi ons and balance posi ons open at the Ini al Date (Ini al stock) and the Final Date (Final stock); that is, the posi ons that meet the following
condi ons:

begin_d <= from_d and end_d > from_d (begin_d <= ll_d and end_d > ll_d for Final stock).

The flows that occur between the two dates are also loaded, that is posi ons with:

from_d < begin_d <= ll_d and end_d = begin_d or "NULL".

Opera ons with a status of Cancelled never generate Ini al Stock or Final Stock. They are only flows that are closed immediately (begin_d = end_d).

Posi on valua on
In the Posi ons History func on, a valua on is performed on the Ini al stock and Final stock posi ons. The general mechanism to evaluate the price and the exchange rate of a posi on is fully described in sec on Valua on func on.

Opera on History, Valua on, Posi ons History

The table below describes the par culari es of the three func ons in Front Office - PM that use the extended posi on structure:

Opera on History Valua on Posi ons History

Load Flows for posi ons and Load opens posi ons (with Load Flows for posi ons and
balance posi ons between the status > cancelled) at Ini al balance posi ons between
Ini al Date and the Final Date. Date; this is similar to the the Ini al Date and Final
Ini al Stock from Opera on Date.
With Incl. Posi on, load also History.
open posi ons (with status > Load also opens posi ons
cancelled) at Ini al Date and No balance posi ons are (with status > cancelled) at
Final Date, called Ini al Stock, loaded. Ini al Date and Final Date,
Final Stock. called Ini al Stock and Final
No Flows are loaded. Stock.

Create the extension Posi on Create the extension Posi on

valua on for the posi ons. valua on for the posi ons
Ini al Stock and Final Stock.

Posi ons History func on versus Return func on

With the Posi ons History func on, all elements required to calculate a performance between the Ini al Date and Final Date are available in the format:

Cost value of the posi on

Market value at Ini al Date
Market value at Final Date
Flows (posi ons and balance posi ons) between Ini al Date and Final Date

You can use the UNREALISED_PL script keyword in the Posi ons History format (on the posi on valua on extension just like in the Valua on func on) to calculate the unrealised profit and loss. However, you cannot use the MEAN_CAP and
RETURN script keywords in the Posi ons History format because they use the port_synthe c structure.

The limita ons of the Posi ons History func on compared to the Return func on are described in the following table:

Posi ons History func on Return func on

Only one period of return defined between The period of return defined by the Ini al Date
the Ini al Date and Final Date and Final Date is divided into sub-periods based
on the Return Frequency Unit (defined in the
por olio)

The counters that calculate the difference in The difference in the por olio value between the
the por olio value between the Ini al Date Ini al Date and Final Date is stored in the
and Final Date are implemented in script port_synthe c table counters
language

The calcula on of the mean capital and the The MEAN_CAP and RETURN script keywords
return have to be done by user’s script calculate different mean capital and return data
formula

Not possible to store results Storage of port_synthe c

Using Posi ons History func on

To run the Posi ons History func on,

5. From the Front Office - PM menu bar, choose Analysis > Posi ons History.

The Domain screen is displayed.

6. Complete the fields as follows:

Field Descrip on

Por olio Indicates which por olios are passed to the Posi ons History func on.
Dimension

Instrument Determines if the posi ons retrieved are related to a single instrument or a list of
Dimension instruments.

Currency Indicates the currency in which the Posi ons History should be made (this is the
reference currency).

Ini al Date The date from which the Posi ons History List starts. Set by default to current date
minus a year.

Final Date The date un l which flows are retrieved. Set by default to the current date.

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Field Descrip on

Minimum Define the range of statuses the retrieved posi ons' statuses must fall within.
Status

Maximum
Status

Loading To load a por olio Posi on Set, select PPS or Default or Load PPS from the field's
Rule drop-down list. When you select one of these op ons, the Consolida on P field is
ac vated. Click Browse bu on beside the Consolida on P field to select a
consolida on por olio (PPS).

The relevant fields in the extended posi on and posi on valua on structures are described in sec on Structures. For informa on about the applica on parameters used in the valua on process, refer to sec on
Valua on func on.

7. Click OK or Apply in the Domain screen to start the func on.

Structures
As men oned previously, the Posi ons History func on generates the extended posi on and posi on valua on structures. The relevant fields in these structures are described below. For a complete descrip on of these structures, refer to the
WealthSuite Front Office - Por olio Management - Data Model Reference Guide.

Extended Posi on Structure

Field Descrip on

Descriptors Por olio, Instrument, Deposit, Posi on currency, Instrument currency, Reference
of the currency, etc.
posi on

Details from Opening opera on nature, Execu on opera on code, Reversal nature, Status,
the opening Main flag, etc.
opera ons

Dates Accoun ng, Opera on, Value, etc.

Cost data Quan ty, All cost exchange rates, Price, Quote, All net and gross cost amounts
(Reference, instrument and posi on currency), All fees and tax counters.

Interposi on id: the iden fier of an occurrence in extended posi on.

links main extended posi on: the iden fier of the main posi on. Allows
the user to reference the main posi on when he or she is on a cash
posi on for example.
account extended posi on: iden fier of the cash posi on. Allows the
user to reference the cash posi on when he or she is on a main
posi on for example.

Nature Indicates whether the extended posi on is an ini al stock, a final stock, or a flow.
As men oned above, ini al (final) stocks are posi ons or balance posi ons that
are open at the Ini al Date. The flows are the opera ons between the Ini al Date
and Final Date.

Posi on Valua on Structure

This structure is an extension of the extended posi on structure. It contains the following a ributes:

A ribute Descrip on

Price term type, price provider, price currency, quote, etc.

informa on

Exchange price, posi on and instrument exchange rates

rates

Accrued currency, number of days, exchange rate

interest

Amounts net, accrued interest and market value amounts in posi on, reference and
instrument currencies

Journal of Liquidity func on

The Journal of Liquidity func on displays the poten al flows inherent in the posi ons held in a por olio or several por olios at a given date. It can be used to check forthcoming events or examine cash projec ons. Addi onally, opera ons that
occurred before a given date can also be displayed, if requested.

The process retrieves all the posi ons requested and generates flows for each instrument held. It uses the default values set up at the opera on level to generate extended posi ons. Cash is assigned to accounts as specified in the payment
instruc ons of the por olio. It also takes into account the cash derived from Standing Instruc ons. For more informa on about Standing Instruc ons, see sec on Event Genera on func on.

Detailed func onali es

Detailed func onali es include:

Retrieving posi ons

Genera ng instrument flows
Genera ng posi on flows
Genera ng the Discount Factors for Interest Rate Swap (IRS)
Spli ng the net amount in the Journal of Liquidi es

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Retrieving posi ons
The process of retrieving posi ons depends on the Domain Ini al Date and Reference Date.

If these two dates are equal, the posi ons are retrieved at one date (final stocks)
If the Ini al Date is earlier than the Reference Date, the process retrieves a series of "ini al stocks" (i.e., the posi ons at the Ini al Date), a series of "final stocks" (i.e., the posi ons at the Reference Date), and
all intervening opera ons.

All cash account posi ons are shown as of value dates.

Genera ng instrument flows

Once a series of "final stock" posi ons have been built, the process generates future flows for all instruments between the Domain Reference Date and Final Date. The possible flows depend on the "nature" of the instrument. They range from
coupon and dividend payments to capital call or capital return or total issue of private equity instruments, redemp ons or exercise of deriva ve contracts. For detailed informa on, refer to the WealthSuite Front Office - Por olio Management -
Financial Instruments Reference Guide.

Genera ng posi on flows

The flows that appear in the Journal are found in the "extended posi on" structure. To obtain this structure, the process has used all the default values applicable to the input of a standard opera on. In par cular the following default values are
used:

Fees and/or taxes applied are those that should have occurred.
All amounts can be seen net and gross.
Cash is paid into the account designated by the payment instruc ons associated to the por olio.
The value date is computed using the calendar key words.

Note that before genera ng a flow in Journal, the process checks whether this flow has not already been generated as an opera on. This comparison uses the Event check days system parameter. The basic mechanism is to check during the
number of days defined in this period, if the cash flow has not already been passed as an opera on. The checking is done on the Event code, Event number, instrument, opera on type.

Genera ng the Discount Factors for Interest Rate Swap (IRS)

Front Office - PM provides an addi onal field Discount Factor in the Journal of Liquidity func on that is designed with special reference to Interest Rate Swap.

Discount Factors are generated using the Yield-Curves present in the IRS.

Typically, IRS consists of two legs (Receiving and Paid) and each of the leg uses the yield-curve specified at the IRS level to compute/display the discount factors. Note that if the yield-curves are not men oned in the IRS, the ‘default yield-curve’ of
the Reference Currency will be used to compute/display the discount factors in the Journal func on.

Format Element Name: Disc_factor_n

Discount Factor Script Example: instr_flow.disc_factor_n

Note:
Front Office - PM generates the ‘discount factor’ for single-currency IRS (i.e., IRS with same currency for Receiving and Paid Legs).

Spli ng the net amount in the Journal of Liquidi es

Net amount in the Journal of Liquidi es is split into Received Leg and Paid Leg based on Interest Rate Condi ons specified in the IRS. In the illustra on below, you can see there are Fixed Coupon Received annually and Floa ng Coupon Paid by
semester.

Net amount = Receiving Leg Amount - Paid Leg Amount

net_amount = received_price_n - paid_price_n

Received-Leg-Script-Example:
(instr_flow.received_price_n*(quan ty_n/instr_id.contract_size_n))

Paid-Leg-Script-Example:
(instr_flow.paid_price_n * (quan ty_n/instr_id.contract_size_n) )

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Using Journal of Liquidity func on

The Journal of Liquidity func on is started from the domain. This sec on indicates which fields in the Domain or in the Applica on parameter table have an influence on the journal process. Furthermore a list of per nent fields in the "extended
posi on" structure is described. For detailed informa on, refer to the WealthSuite Front Office - Por olio Management - Data Model Reference Guide.

Domain
In the Domain screen, the following fields have an influence on the journal process:

Field Descrip on

Por olio/Por olio Indicates on which por olios the journal should be made.
list/Customer

Instrument/Instrument Indicates whether the posi ons retrieved should be restricted to a

list/All instruments single instrument or a list of instruments.

Currency Indicates the currency in which the journal should be made.

Ini al Date The date from which the journal starts. As men oned above, if the
Ini al Date is before the Reference Date, the journal will display
opera ons that have occurred between the Ini al Date and the
Reference Date and projected flows between the Reference Date and
the Final Date. If the Ini al Date is equal to the Reference Date, the
journal only shows projected flows between the Reference Date and
the Final Date.

Final Date The date un l which cash flow projec on of the journal should go.

Reference Date The date at which cash flow projec on of the journal should start.
Note that flows are generated from "Reference Date +1".

Minimum Status Indicates what status the retrieved posi ons must have. Allows the
projec on on a por olio with or without orders for example.
Maximum Status

Consolida on Indicates in a mul -por olio context whether consolida on should

occur across por olios.

Include/exclude zero Indicates that posi ons with a quan ty of 0 should be retrieved.
posi ons

Keep/merge status Indicates whether posi ons that differ by their status should be
merged. When you choose the Merge Status op on, the posi ons are
merged according to the MERGE_STATUS_RULE system parameter
se ng.

Keep/close posi ons Indicates that posi ons with quan es of opposite sign do not merge.

Posi on logical Indicates which business fields iden fy a posi on (currency, deposit).
iden fier rule

On the Flow tab of the Domain screen, the items are selected (shown by a ck or check mark) by default. Click the check mark to the le of the item to clear the item and exclude it from processing.

Fusion Rule: The Fusion Rule specifies which logical fusion is to be performed
Event Date Rule: indicates if op onal exchanges and American op ons are to be generated at the term date or the earliest possible date. Select Term Date or Earliest Date from the field's drop-down list. Term
Date is the final contract date. Earliest Date means the first possible date so if, for example, an event genera on starts a er the Begin Date of an American op on, the earliest date is the Ini al Date in the Event
Genera on domain. However, in the case of a special op on whose Begin Date occurs a er the Ini al Date of the Event Genera on domain, the earliest date is the Begin Date (begin_d) of the op on.
Flow Nature: selects the event natures to process:
All
Income
Issue

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Redemp on
Debt
Term Contract
Exchange
Standing Instruc on (*)
Flow Sub-Natures: refines the previous selec on (Flow Nature). The proposed Sub-Natures correspond to the selected Event Nature. For example, the corresponding Flow Sub-Natures for Flow Nature “Income”
are:
Fixed Rate Income
Floa ng Rate Income
Paid Dividend
Projected Dividend

(*) It is possible to hide this flow nature (see sec on Event Genera on func on).

Applica on parameters
The following applica on parameters have a direct influence on the journal process.

Posi on logical iden fier rule: indicates what business fields iden fy a posi on (currency, deposit).
Journal flow status: indicates the status of the opera ons generated.

Extended posi on structures

The journal generates the extended posi on structure. The per nent fields of this structure are described below. For a complete descrip on of these structures, refer to the WealthSuite Front Office - Por olio Management - Data Model
Reference Guide.

Field Descrip on

Descriptors Por olio, Instrument, Deposit, Posi on currency, Instrument currency, Reference
of the currency, etc.
posi on

Details from Opening opera on nature, Execu on opera on code, Reversal nature, Status,
the opening Main flag, etc.
opera ons

Dates Accoun ng, Opera on, Value, etc.

Cost data Quan ty, All cost exchange rates, Price, Quote, All net and gross cost amounts
(Reference, instrument and posi on currency), All fees and tax counters.

Interposi on id: the iden fier of an occurrence in extended posi on.

links main extended posi on: the iden fier of the main posi on. Allows
the user to reference the main posi on when he or she is on a cash
posi on for example.
account extended posi on: iden fier of the cash posi on. Allows the
user to reference the cash posi on when he or she is on a main
posi on for example.

Nature Indicates whether the extended posi on is an ini al stock, a final stock or a flow.
As men oned above, ini al stocks are generated at the Ini al Date when the
Ini al Date is set before the Reference Date. Final stocks are generated on the
Reference Date. Flows may either be the opera ons between the Ini al Date and
Reference Date (in which case their forecast flag is set to false) or actual
projected flows (in which case their forecast flag is set to true).

Default values in opera ons

In the Journal and Event Genera on processes, opera ons (or posi ons derived from the opera ons for the Journal) are generated for each event. Some fields of these opera ons (such as por olio, instrument, type, code, quan ty, opera on and
accoun ng dates, status, deposit, etc.) are set by the process but the others depend on default values.

To define (in the opera on) specific default values for the Journal and Event Genera on func ons, test against instr_flow_id <> NULL. As instr_flow_id references the flow behind the opera on, the test is posi ve if the opera on is due to an
event and nega ve for normal opera ons.

To define default values that depend on the posi on behind the opera on, you can use init_ext_pos_id.

Example:

If the opera on inherits the sub_pos_nat_e field from the original posi on in the case of an Adjustment P&L following the Event Genera on, implement the following default value in the adjust_opera on:

IF (instr_flow_id <> NULL,

IF (adjustment_nat_e = 2 {P&L}, init_ext_pos_id.sub_pos_nat_e))

Event Genera on func on

The Event Genera on func on automa cally generates orders or opera ons based on either various types of events (e.g., income, issue/redemp on, exchange, term, plan instruc ons, etc.) linked to instruments or standing instruc ons linked to
por olios or plans.

Using Event Genera on func on

To run the Event Genera on func on to generate events automa cally:

1. From the main Front Office - PM menu bar, choose Opera on > Event Genera on.

The Domain – Event Genera on screen is displayed.

2. You can specify the following parameters on the screen:

Parameter Descrip on

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Parameter Descrip on

Por olio Por olio / Por olio List / All Por olios
Dimension
Indicates the por olio(s) passed to the func on. If you choose Por olio or Por olio
List, you can enter the name directly or browse for a list or a par cular por olio.
Note, however, that for logical reasons you cannot choose All Por olios with All
Instruments and vice-versa. The All Por olios or All Instruments op on is greyed in
this case and the Browse bu on disabled.

Instrument Fin. Instrument / Fin. Instrument List / All Instruments

Dimension
Indicates the instrument(s) passed to the func on. When you process events, you
normally choose to do so for a single instrument and all por olios but, if you want
to simulate the effect of events on por olios, it is be er to choose a single
por olio and all events.

Instrument Dimension is not used for Standing Instruc on flow nature.

Posi on Indicates the star ng date for the event genera on.
Date

Final Date Indicates the end date for the event genera on.

Opera on Status of the generated orders or opera ons. This will be the status given to orders
Status or opera ons created by this func on.

Genera on Indicates if confirma on is required. Select one of the following:

Nature
Automa c: No confirma on is required. Front Office - PM generates
the events automa cally in accordance with the event detail
parameters.
Events to be confirmed: Front Office - PM displays all the events before
it saves the corresponding opera ons to the database. You can then
accept all the events, accept individual events or close the screen
without saving any of the generated events. If you use the standard
Front Office - PM format, this op on also lists the opera ons
associated with the events and, therefore, returns the same results as
the “Events/opera ons to be confirmed” op on described next.
Events/Opera ons to be confirmed: This op on is the same as the
“Events to be confirmed” op on above, except that an addi onal
standard format is displayed which lets you view or modify all the
opera ons generated by the events, as well as the original events. If
you save an individual event, all the related opera ons are
automa cally saved. If you modify a generated opera on, it is
automa cally saved.
Gen. events with instrument: This op on produces a list of all the
events associated with a given instrument. No opera ons are
generated. This op on is less me-consuming than the previous
op ons. You can use it, for example, to view all the events associated
with instrument A over the next week.
Gen. events with instr+por : This op on produces a list of all the
events associated with a given por olio and instrument dimension. No
opera ons are generated. This op on is less me-consuming than the
other op ons and can be used, for example, to view all the (financial)
op on expira ons in por olio A over the next week.
Create Session: This op on is the same as the “Events/ opera ons to
be confirmed” op on above, except that a session is used. This session
can be retrieve by other financial func ons like Order Entry. This
op on is useful for Standing Instruc ons to apply a compliance check
on session orders. Compute Date, Func on Result and Display Result
Flag can be only used with a session.
Check, Split & Publish: This is the same as "Create Session" with the
addi on of having:
The created session checked.
Session orders split between valid and invalid orders. Valid orders
are those with either no associated cases or cases that do not
require clarifica on. Otherwise, orders are considered invalid.
Valid orders kept in the session and saved (published).
Invalid orders kept in another session and not saved. The session
is kept for informa on purposes.
Both sessions are linked together via the parent session
a ribute.
Create Session & Check: This is the same as "Create Session" with the
addi on of having the created session checked. This must be used in
conjunc on with the plan defini on to be able to launch an Event
Genera on func on in simula on mode with a working plan defini on
set as parameter. For more informa on about plan simula on, see
sec on Plan check.

Event P&L Indicates if the profit and losses generated are applied to the underlying
Rule instrument at the origin of the event or not.

Event Date Indicates if op onal exchanges and American op ons are to be generated at the
Rule term date or the earliest possible date. Select Term Date or Earliest Date from the
field's drop-down list. Term Date is the final contract date. Earliest Date means the
first possible date so if, for example, an event genera on starts a er the Begin Date
of an American op on, the earliest date is the Ini al Date in the Event Genera on
domain. However, in the case of a special op on with a Begin Date that occurs
a er the Ini al Date of the Event Genera on domain, the earliest date is the Begin
Date (begin_d) of the op on.

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Parameter Descrip on

Flow Selects the event natures to process:

Nature
All
Income
Issue
Redemp on
Debt
Term Contract
Exchange
Standing Instruc on

Flow Sub- Refines the previous selec on (Flow Nature). The proposed Sub-Natures
Natures correspond to the selected Event Nature. For example, the corresponding Flow
Sub-Natures for Flow Nature “Income” are:

Fixed Rate Income

Floa ng Rate Income
Paid Dividend
Projected Dividend

Plan Indicates the plan to use in conjunc on with the Genera on Nature "Create
Defini on Session & Check". This allows the launch of an Event Genera on func on in
simula on mode with a working plan defini on set as parameter. The goal is to
simulate the genera on of the first order cycle of a specific Mutual Fund
Systema c Plan, and only for this plan.

The results of the event genera on simula on mode (i.e., a set of buy orders) are
included in a session where a PTCC is run with poten al cases raised. For more
informa on about plan simula on, see sec on Plan check.

Note that the Plan Defini on field is not displayed in the default domain GUI
screen. The reason is that it is currently only used in the Mutual Fund Systema c
Plan module of WealthSuite Channels.

3. Items are selected (shown by a ck or check mark) by default. Click the check mark to the le of the item to clear the item and exclude it from processing.

The complete correla on of Flow natures and Flow subnatures is shown in the following table:

Flow nature Flow sub-nature

All All

Income Fixed Rate Income

Floa ng Rate Income

Paid Dividend

Projected Dividend

Issue Total Issue

Par al Issue

Redemp on Final Redemp on

Call Redemp on

Put Redemp on

Amor sa on

Capital Reduc on

Capital To Receive

Capital to Pay

Capital Return

Debt Debt Provision

Debt Amor sa on

Term_contract Term Expira on

Exchange Conversion/Exchange

Split

Reverse Split

A ribu on/Stock Dividend

Op onal conv. (issuer)

Op onal conv. (holder)

Propor onal A rib.

A rib. (theore cal price)

Other Exchange

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Flow nature Flow sub-nature

Standing Instruc on Standing Instruc on Buy

Standing Instruc on Sell

The Event Genera on func on is called from a Domain screen where the Genera on Nature field indicates whether confirma on of events is required.

4. The results are shown in the Event Genera on screen where you can accept individual events or all the events, or cancel the en re opera on without crea ng the events.

The following points must be taken into account when you use the Event Genera on func on:

The events created using this func on are derived from the Income Event and Exchange Event logical tables accessible at Instrument level. (To view these logical tables, choose Administra on > Main En es >
Instrument and select an instrument to view or modify. The bu ons Income Event and Exchange Event appear at the bo om of the default screen.)
For an event to be generated by Event Genera on, the Validity Date of the event must be less than or equal to the current date. Also, the Begin Date of the event must fall between the Posi on Date and Final
Date specified in the Domain - Event Genera on screen.

More informa on on the detailed processing of different event types and how they relate to different instrument types is given in the WealthSuite Front Office - Por olio Management - Financial Instruments Reference Guide.

System parameters
The following system parameters determine if the generated opera ons must be confirmed before they are saved:

Parameter Opera on

EVT_GEN_DEBT_CONF Debts

EVT_GEN_EXCH_CONF Exchanges

EVT_GEN_INC_CONF Incomes

EVT_GEN_ISS_CONF Issues

EVT_GEN_RED_CONF Redemp ons

EVT_GEN_TERM_CONF Terms

EVT_GEN_STAND_INST_CONF Standing Instruc on

As the parameters are flags, the two possible values for each are as follows:

0 if you do not want to mark the opera on

1 to mark the opera on

A seventh parameter, EVT_GEN_CHECK_DAYS, defines the number of days to take into account for Event Genera on.

An eighth parameter, EVT_GEN_MIN_STATUS, defines the minimum status of the posi ons that can be selected by the Event Genera on func on for the genera on of incomes.

For further details about the system parameters and their use, refer to the WealthSuite Front Office - Por olio Management - System Management Guide.

Event Genera on restric ons

Some instrument natures are not yet implemented. Consequently, the Event Genera on func on cannot create events for them. These natures are:

Commodity
Deliverables
Index
Rate
Yield Curve

Note that the reference nature (ref_nat_e) of the ini al opera on can affect the behaviour of Event Genera on. For example, if you buy an instrument whose nature is Forward and you do not select Fwd Open as the reference nature (ref_nat_e)
of the Buy opera on, Event Genera on will NOT propose a Term Expira on opera on.
Selected posi ons
In the Event Genera on func on’s default domain, minimum and maximum status of posi on are not shown. The default values of these statuses take the value of accoun ng status (system parameter ACCOUNTING_STATUS).
Generated opera ons:
A check is done so that an opera on with the same characteris cs is not generated twice.

The system parameter EVT_GEN_CHECK_DAYS specifies the number of days in the period before the Reference Date in which the posi on history is checked to see if the event has already been generated or not. This parameter is used when
the Domain Ini al Date and Reference Date are the same.

The check is done on several fields:

Even number
Even code
Opera on type, only for redemp on opera on
Opera on date

Default values in opera ons

In the Journal and Event Genera on func ons, opera ons (or posi ons derived from the opera ons for the Journal) are generated for each event. Some fields of these opera ons (such as por olio, instrument, type, code, quan ty, opera on and
accoun ng dates, status, deposit, etc.) are set by the process but the others depend on default values.

To define (in the opera on) specific default values for the Journal and Event Genera on func ons, test against instr_flow_id <> NULL. As instr_flow_id references the flow behind the opera on, the test is posi ve if the opera on is due to an
event and nega ve for normal opera ons.

To define default values that depend on the posi on behind the opera on, you can use init_ext_pos_id.

Example:

If the opera on inherits the sub_pos_nat_e field from the original posi on for an Adjustment P&L following the Event Genera on, implement the following default value in the adjust_opera on:

IF (instr_flow_id <> NULL,

IF (adjustment_nat_e = 2 {P&L}, init_ext_pos_id.sub_pos_nat_e))

Forward closing
The Event Genera on func on is able to – manually or via batch processing - generate Opera on and Accoun ng dates prior to the Expira on Date with a number of Business Days defined at the Se lement Day Cycle level in the Instrument table.

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To allow the genera on of Opera on and Accoun ng dates prior to n Business Days from the Expira on Date, the user must set the Se lement Day Cycle field in the Forward descrip on.

This field must be an integer. By default, the field is empty, which means that:

Se lement Day Cycle = 0

Opera on Date = Accoun ng Date = Expira on Date.

A default value should also be implemented in the Accoun ng and Opera on dates with the script:

IF(instr_id = NULL, SYSDATE(), IF(instr_id.se le_day_n, ADD_BUSINESSDAYS(account_d, instr_id.se le_day_n,),account_d))

If the Se lement Day Cycle field is set - with a value different than 0 or <Blank> and the default value is scripted, both Opera on and Accoun ng dates will be shi ed to the prior Business Day available for both Reference Currency and Underlying
Currency.

Example

If the Se lement Day Cycle field is set to:

Then, for the generated Sell Opera on that closes the Forward, the dates are computed as:

In this example, only the Accoun ng date is scripted to take into account the Se lement Day Cycle; the same rule should be applied to the Opera on date.

Standing instruc ons

A standing instruc on is an order that can be regularly generated by the Event Genera on func on in batch mode or online. Because of the expected volume, batch mode is recommended.

To apply a compliance check on generated orders, the genera on nature of Domain has to be set to "create a session". This session can be used again in another business func on such as Order Entry.

Standing instruc ons are stored at the por olio level. This means that in Domain, only the por olio dimension is required; instrument dimension is not used.

Standing instruc ons are also used by the Journal func on.

In the following sec ons, you will learn about:

Standing instruc ons in the GUI and batch

Ac ve standing instruc ons

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Frequency of standing instruc on
Standing instruc ons for genera ng future orders

Standing instruc ons in the GUI and batch

If the system parameter DISPLAY_STANDING_INSTRUCTION is set to "Yes":

The flow nature Standing Instruc on is shown in the GUI (online mode).
If the flow nature selected is All, then the standing instruc ons will be executed.
If the flow nature selected is Standing Instruc on, then the standing instruc ons will be executed.
No difference between online mode and batch mode.

If the system parameter DISPLAY_STANDING_INSTRUCTION is set to "No":

The flow nature Standing Instruc on is not shown in the GUI.

If the flow nature selected is All, any standing instruc ons will be executed (online mode and batch mode).
The flow nature Standing Instruc on cannot be selected in online mode but can be selected in batch mode.
If flow nature selected is Standing Instruc ons, the standing instruc ons will be executed (batch mode).

This system parameter is used by the Event Genera on func on and the Journal func on.

Ac ve standing instruc ons

The Event Genera on func on only takes into account ac ve standing instruc ons. An ac ve standing instruc on is defined by:

A status (*) greater than or equal to the system parameter STANDING_INSTRUCTION_EXEC. The status of the standing instruc on has the same behaviour as the opera on status.
A period of validity that is described by a begin date and an end date. (The end date is not mandatory.) The posi on date of the Event Genera on func on’s domain is compared to this period. The standing
instruc on is taken into account if its begin date is less than or equal to the posi on date and, if its end date exists, this end date is less than or equal to the posi on date.

Frequency of standing instruc on

The frequency of a standing instruc on is defined by the following fields:

Frequency Unit field is a period; the system accepts the values "Day", "Month", and "Year".
Frequency field, which is a number that defines the frequency of the unit.

Examples:

If the " Frequency Unit field has the value “Month” and the Frequency field has the value “2", then the standing instruc on will be generated every two months.
If the " Frequency Unit field has the value "Day" and the Frequency field has the value "7", then the standing instruc on will be generated every seven days.

Note: For a frequency unit set to "Month", the value of the begin date defines the opera on date (i.e., the begin date is the last day of a month) therefore, the standing instruc on will only be generated on the last day of a month.

Examples:

Begin date = 30.04.2009, unit = Month and frequency = 1: dates of genera on will be 30.04.2009, 31.05.2009, 30.06.2009, 31.07.2009,…
Begin date = 15.04.2009, unit = Month and frequency = 1: dates of genera on will be 15.04.2009, 15.05.2009, 15.06.2009, 15.07.2009,…

Standing instruc ons for genera ng future orders

The following fields are used in the standing instruc ons for future orders:

Field Descrip on

Nature Permi ed values are:

Buy
Sell
Invest
Withdrawal

Instrument All natures of instrument are permi ed.

code

Amount The amount of orders generated must not be greater than this amount. The
calcula on of the order quan ty is based on this amount.

Currency Indicates the currency of the amount.

Weight Only in the context of a financial plan, the weight of the standing instruc on that is
used to calculate the amount of the order to generate (in terms of the amount to
invest).

Minimum Only in the context of a financial plan, the minimum amount to be invested for the
invest current instruc on.
amount
If the calculated amount to invest is greater than or equal to this minimum amount
to invest, the system creates an opera on using the calculated amount to invest.

Fee set-up Fields to manage a nego ated fee set-up for Mutual Fund Systema c Plans. For
more informa on, see sec on Fee set-up.

Calendar Indicates the calendar to take into considera on when se ng the opera on date.
For more informa on, see sec on Opera on date management.

For all other fields of the order, the default values of the opera on are used.

The fields of Opera on Event for standing instruc ons are set as follows:

Number field is set to the generated occurrence of the standing instruc on (e.g., if the value is 5, the order is generated for the fi h me).
Code field is set to the Standing Instruc on Code.

The check to not generate the same order (same date) twice is based on these two fields. This check can be effec ve only if orders are stored in the extended_opera on table in the Front Office – PM database.

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Private equity fund events
Private equity (PE) funds mobilizes capital from private investors, which will be used to fund unquoted companies. The PE fund first collects money and then looks to find suitable investments, and only at that point is when fund shares will be
issued. Therefore, the PE fund is split into four components based on the following instrument sub-natures:

PE-Ini al Commitment
PE-Drawdown
PE-Capital Call
PE-Actual PE Security

These four are linked together as a single PE instrument through the common reference and parent instrument id defined at the instrument level.

A PE investment has the following events in its lifecycle:

Ini al Commitment
Capital Call
Capital Return before Allotment
Allotment
Capital Return a er Allotment
Reduc on in Commitment
Maturity

While the ini al commitment subscrip on is a customer-ini ated event, all other events are ini ated by the PE fund issuer. The Event Genera on func on, which can run in both batch mode or online, is available to evaluate the data in the table
issue / redemp on event for PE funds and to create the corresponding opera ons.

The various events of a PE fund are only filled for the component of a private equity fund, which has the sub nature PE-Ini al Commitment, but opera ons are created for other components. Only the income event from the instrument of sub-
nature PE-Actual PE Security has to be linked directly to the instrument.

To apply a compliance check on generated opera ons, the genera on nature of Domain has to be set to "create a session". This session can be used again in another business func on such as Order Entry.

In Domain, the por olio dimension and instrument dimension are required. Instrument dimension can have the PE fund, which has sub-nature PE-Ini al Commitment or it can have an instrument list, which contains all four components of the PE
fund.

PE fund events in the GUI and batch

The Issue/Redemp on flow nature is shown in the GUI (online mode). There is no difference between online mode and batch mode.

If the flow nature selected is All, then the necessary PE opera ons/cash flows will be generated.
If the flow nature selected is Issue, then the PE fund share allotment (Total Issue) will be executed if the event is set within the domain dates.
If the flow nature selected is Redemp on, then the PE Capital Call, Capital Return, Capital to Receive, Capital Reduc on, and Final Redemp on opera ons/cash flows will be generated if the relevant event is set
within the domain dates.

Specific behaviours of Event Genera on func on for financial plans

In Front Office - PM, a Plan Defini on includes plan objec ves, plan investment parameters, and investment instruc ons (i.e., standing instruc ons) linked to specific instruments in which the client wishes to invest. Based on this informa on, the
system calculates the amount to invest and automa cally generates orders.

The following sec ons provides informa on used by the Event Genera on func on to compute the correct amounts to invest and based on this amount, the func on generates the relevant order for each standing instruc on:

Financial plan crea on

Objec ves and investment parameters crea on
Standing instruc ons crea on
Free deposit crea on

Note that some specific treatments are available to cope with the management of Mutual Fund Systema c Plans. For more informa on, see sec on Mutual Fund Systema c Plans.

Financial plan crea on

At the Plan Defini on level, it is mandatory to specify the objec ves of the financial plan as this is the main informa on that is used by the system to compute the amount to invest. Once the plan is validated, it can no longer be updated. There
are different ways to define the plan objec ves:

Defini on of an objec ve in terms of amount. Each investment has the same amount, and no calcula on is done on this amount. Only the rule associated to the plan is checked.
Defini on of an objec ve in terms of period. You specify the amount to invest during a period. The periodic amount to invest is revaluated for each investment and takes into account free deposits or missing
payments.
Defini on of an objec ve in terms of amount. You specify the amount to reach at the end of the period. The periodic amount to invest is revaluated for each investment and takes into account free deposits or
missing payments.
No objec ve is defined. Only free investments will be realised by the user. In this case, there is no amount to calculate and all available cash is used in the investment.

Objec ves and investment parameters crea on

Plan objec ves correspond to the objec ves of the client in terms of amount and me horizon. These objec ves are used by the system to calculate the periodic plan amount and to generate orders linked to the plan. The main a ributes of plan
objec ves used by the system to compute the amount to invest are:

Period Frequency, which is used to specify the me-lapse to achieve the objec ve
Minimum or Maximum Amount to achieve the objec ve
Minimum or Maximum Amount Indexa on Rule and Value.

Investment parameters define how and when cash flows and investments are executed by the system for the financial plan. The main a ributes of plan investment parameters used by the system to compute the amount to invest are:

Investment Frequency, which is used to determine the investment dates

First Investment date
The debited por olio and debited cash account
Update Amount to Objec ve, which is used to specify if the invested amount can be updated to reach the minimum or maximum amount defined at the plan objec ve level or at the Plan Rule level.
Update Amount to Cash, which is used to specify if the amount can be updated depending on the available cash present in the linked account.
Generate Cash Opera on Flag, which is used to determine whether the cash transfer opera on can be generated or not from a specific debited account to the cash account of the por olio linked to the plan.
The cash transfer generated is a withdrawal from the Transfer from Cash Account coupled with an investment on the Investment Cash Account.

Standing instruc ons crea on

For standing instruc ons defined in the context of a financial plan, the plan defini on iden fier as well as the weight (in percentage) have to be defined. Refer to Standing instruc ons.

Free deposit crea on

Free deposits allow you to freely invest in a financial plan regardless of the objec ves of the plan and planned investments. Nevertheless, these free deposits are taken into account during the computa on of the future amounts to invest.

Note: The ini al payment is considered as a free deposit and treated as such by the system.

Mutual Fund Systema c Plans

A Mutual Fund Systema c Plan is an investment vehicle that allows clients to invest a certain amount of money into one or more mutual funds on a regular basis instead of a lump sum investment. This helps them to average out the cost of the
investment and therefore, overcome short-term fluctua ons in the market.

The plan offers a disciplined, flexible, and hassle-free way to invest in mutual funds to help build wealth for the future. It is a good choice for those who do not possess a good understanding of financial markets. For banks, this type of plan is an
important func onality in the advisory services for retail and mass affluent clients.

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Since Release 17.11, the back-end func onality required to manage Systema c Investment plans is available to manage client’s financial needs (e.g., specifying a pre-determined amount/units and desired frequency (weekly, monthly, quarterly, or
annually) into preferred mutual funds).

Note that the front-end used for Mutual Fund Systema c Plans is Channels; the GUI does not cover all use cases and therefore, is not meant to be used for implementa on. For more informa on about Mutual Fund Systema c Plans offered in
Channels, refer to the WealthSuite Channels - Por olio Management and CRM - Desktop User Guide and the WealthSuite Channels - Por olio Management and CRM - Packaging Reference Guide.

Datamodel overview

Plan check
When crea ng Mutual Fund Systema c Plans, a plan check is required to check the impact of the new plan before valida ng it.

Since Release 17.11, the Event Genera on func on provides a simula on mode where the plan defini on is set as domain parameter. The goal is to perform a plan check by simula ng the genera on of the first order cycle of a specific Mutual
Fund Systema c Plan, and only for this plan.

The result of the event genera on in simula on mode is an order session with the set of buy orders ini ated by the plan’s standing instruc ons on which a Pre-trade Compliance Check (PTCC) is run with poten al cases raised.

Note that in simula on mode, the Event Genera on func on creates orders even when the plan status is not Validated.

To check a plan in simula on mode, set the following characteris cs in the Event Genera on domain:

Genera on Nature (event_gen_nat_e) as 10 - Create Session & Check

Plan defini on (plan_defini on_id) with the id of the plan to check
Compute data (comp_data_e) as 1 - Compute New or 2 - Replace Old. If you set it as 2 - Replace Old, you can define a func on result (func_result_code)
Flow nature (event_flow_nat_e) as 7 - Standing Instruction
Flow sub-nature (event_flow_sub_nat_e) as 28 - Stand Instruction Buy since only investment plans (buy orders) are currently covered

Order management
Once Mutual Fund Systema c Plans are created and validated, orders can be automa cally generated through a standard order management func onality without any manual interven on.

To do so, you can run the Event Genera on func on in batch mode that will create orders on all por olios with valid Mutual Fund Systema c Plans. The following process then applies:

1. The Event Genera on func on is used (in GUI or by batch) to generate the orders on all por olios with valid Mutual Fund Systema c Plans. The func on must run with the following domain characteris cs:
Func on (func on_dict_id) as 12 - Event generation (event_gen)
Por olio dimension (por olio_dimension_e) as 2 - Portfolio List
Por olio object (port_object_id) as the por olio list defined in the system parameter PCK_GL_SP_PORTFOLIO_LIST. The default value of this parameter is set as PCK_GL_SP, which corresponds
to por olio lists that contains all por olios with valid Mutual Fund Systema c Plans. These por olio lists are delivered in the standard packaging.
Genera on Nature (event_gen_nat_e) as 9 - Check, Split & Publish. This allows for the generated orders to be checked and then split between valid and invalid, and finally, publish the
valid ones (see step Based on the outcome of the PTCC, the system automa cally splits the valid and failed orders as follow:)
Compute data (comp_data_e) as 1 - Compute New
Flow nature as (event_flow_nat_e) as 7 - Standing Instruction
Flow sub-nature as (event_flow_sub_nat_e) as 28 - Stand Instruction Buy since only investment plans (buy orders) are currently covered
From date (calc_from_d) as the current day and the Till date (calc_ ll_d) as the From date plus 1 day
Minimum status (min_status_e) as the status defined in the parameter ORDER_STATUS, which corresponds by default as 35 - To Send. This is important in the management of retry mechanism
(see sec on Retry mechanism)
Maximum status (max_status_e) as the status defined in the parameter ACCOUNTING_STATUS, which corresponds by default as 90 - Accounted
Order status (event_oper_status_e) as the status defined in the parameter ORDER_STATUS, which corresponds by default as 35 - To Send
2. The result of step 1 is an order session with the set of buy orders ini ated by the plan’s standing instruc ons on which a Pre-trade Compliance Check (PTCC) is run with poten al cases raised.
3. Based on the outcome of the PTCC, the system automa cally splits the valid and failed orders as follow:
Valid orders are kept in the original session and are published. The order session status is consequently moved to Final. In the standard package, the orders are saved with status 35 - To Send,
which triggers an event in TTI (also known as the interface between Core Banking and Front Office – PM) to send them to the back-office (Core Banking). The standard order workflow then applies
(execu on and booking). Note that valid orders are those with either no associated cases or cases that do not require clarifica on. Otherwise, orders are considered invalid.
Invalid orders are saved into a new session but are not published. Their session status is Checked. This session keeps a link to the original link via its Parent Session ID (parent_session_id). This order
session is kept for informa on purposes only to keep track of the reasons (cases) why the orders were rejected. Note that invalid orders are those with either blocking cases or cases that required
clarifica on. Should an order be rejected for a por olio, all other orders in this por olio will also be rejected so that a coherent approach is kept per por olio.
4. Step 1 is repeated based on the batch frequency.

Screen
Since Release 17.11, the Event Genera on func on is able to associate a screen with this func on to apply a set of business rules (default values and input controls) defined in packaged or customized screens.

In the standard packaging, the screen called through Channels is PCK_TCIB_SECURITY_BUY. This screen is used to set-up the following a ributes for Mutual Fund Systema c Plans:

BP 4 amount (bp4_amount_m) and currency (bp4_currency_id). For more informa on, see sec on Fee set-up.
Type (type_id) is set as the one defined in parameter PCK_TCIB_SP_OPE_TYPE. This allows for the iden fica on of orders that originated from Mutual Fund Systema c Plans.

Opera on date management

The opera on date (opera on_d) set in orders created by the Event Genera on func on is defined as the next business date of the plan investment date.

The calendar used to set the next business day is the one defined in the standing instruc on that originated the order. If this calendar is not defined, than the Event Genera on func on considers the system calendar as defined in parameter
SYS_CALENDAR.

Retry mechanism

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As described in sec on Order management, orders could poten ally be rejected during the automated order crea on.

Since Release 17.11, the retry mechanism can regenerate orders that have been rejected. To do so, the Event Genera on func on is enhanced to manage the retry mechanism based on:

Retry set-up defined in the en ty Plan Invest Param Histo (plan_invest_param_histo) where you need to define:
Retry frequency unit (retry_frequency_unit_e) set in the standard as the value defined in parameter PCK_TCIB_SP_RETRY_FREQ_U, which is delivered by default with value 1 - Day. To avoid
any mismatch between both frequencies, ensure that the retry frequency unit is in line with the plan frequency. It is, therefore, recommended that this parameter is kept at 1 - Day.
Retry frequency (retry_frequency_n) set in the standard as the value defined in parameter PCK_TCIB_SP_RETRY_FREQ_N, which is delivered by default with value 2.
Maximum number of retries (max_retry_n) set in the standard as the value defined in parameter PCK_TCIB_SP_MAX_RETRY_N, which is delivered by default with value 3
Improvement on the en ty Plan Invest Date (plan_invest_date) with:
New status (status_e) permi ed values for the retry mechanism: Retry candidate, Retry treated, Retry cancelled, Retry success, and Retry failed
New a ribute that defines the retry number (retry_n)
Example
The plan has the following characteris cs:

Begin Date: October 3rd 2017

Por olio: PTF1
Mutual Fund: Mid Cap Europe
Amount: 1’000.- EUR
Frequency: every month
Calendar: EUROPE
Day in Month: 8th
First Investment Day: 8th October 2017
Number of cycles: 6
Last Investment Day: 8th March 2018
Retry frequency: every 2 days
Maximum number of retries: 3
Standing Instruc on code: STANDING1

A er the plan check, we have the following Plan Invest Dates:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Untreated N/A 20171008 Instruc on generated as

2017 untreated

2 8th Nov Instruc on Untreated N/A 20171108 Instruc on generated as

2017 untreated

3 8th Dec Instruc on Untreated N/A 20171208 Instruc on generated as

2017 untreated

4 8th Jan Instruc on Untreated N/A 20180108 Instruc on generated as

2018 untreated

5 8th Feb Instruc on Untreated N/A 20180208 Instruc on generated as

2018 untreated

6 8th Mar Instruc on Untreated N/A 20180308 Instruc on generated as

2018 untreated

On 8th October 2017, the first event genera on batch is launched and the following order is generated into an order session based on plan investment #1:

Opera on Date: October 8th 2017

Por olio: PTF1
Mutual Fund: Mid Cap Europe
Quan ty (units): 500
Price: 2
Amount: 1’000.- EUR
Event Code: STANDING1
Event Number: 20171008

The informa on for Plan Invest Date 8th Oct 2017 is updated:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Treated N/A 20171008 Status changed to Treated

2017 because the Event Genera on
func on has generated the order

Assume, for illustra on purposes, that the order has failed. On 9th October 2017, the event genera on batch is launched, but no order is generated for the plan because we do not have any untreated Plan Invest Date on 9th October 2017
(instruc on or retry).

The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 Status changed to Failed

2017 because the event genera on
func on has not found an
order with the event code
STANDING1 and event
number 20171008

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Retry
# Investment Type Status Event # System ac on
#

1.1 10th Oct Retry Retry 1 20171008 Once the instruc on is failed,
2017 candidate the event genera on func on
creates all retry candidates (3
retry in our example)
1.2 12th Oct Retry Retry 2 20171008
2017 candidate

1.3 14th Oct Retry Retry 3 20171008

2017 candidate

2 8th Nov Instruc on Untreated N/A 20171108 No change

2017

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

On 10th October 2017, the event genera on batch is launched and the following order is generated into an order session based on plan investment #1.1 (first retry of plan investment #1):

Opera on Date: October 10th 2017

Por olio: PTF1
Mutual Fund: Mid Cap Europe
Quan ty (units): 497
Price: 2.01
Amount: 998.97 EUR
Event Code: STANDING1
Event Number: 20171008

The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

1.1 10th Oct Retry Retry 1 20171008 Status changed to Retry

2017 treated treated because the event
genera on func on has re-
generated the order

1.2 12th Oct Retry Retry 2 20171008 No change

2017 candidate

1.3 14th Oct Retry Retry 3 20171008 No change

2017 candidate

2 8th Nov Instruc on Untreated N/A 20171108 No change

2017

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

Assume, for illustra on purposes, that the order is OK. On 11th October 2017, the event genera on batch is launched but no order is generated for the plan because we do not have any untreated Plan Invest Date on 9th October 2017
(instruc on or retry).

The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

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Retry
# Investment Type Status Event # System ac on
#

1.1 10th Oct Retry Retry 1 20171008 Status changed to Retry

2017 success success because the event
genera on func on has
found an order with the
event code STANDING1 and
event number 20171008

All other unnecessary retry

candidates are deleted.

2 8th Nov Instruc on Untreated N/A 20171108 No change

2017

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

From 12th October 2017 un l 7th November 2017, event genera on batches generate no order for this plan because we do not have any untreated Plan Invest Date un l 8th November 2017 (instruc on or retry).

On 8th November 2017, the event genera on batch is launched and the following order is generated into an order session based on plan investment #2:

Opera on Date: November 8th 2017

Por olio: PTF1
Mutual Fund: Mid Cap Europe
Quan ty (units): 507
Price: 1.97
Amount: 998.79 EUR
Event Code: STANDING1
Event Number: 20171108

The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

1.1 10th Oct Retry Retry 1 20171008 No change

2017 success

2 8th Nov Instruc on Treated N/A 20171108 Status changed to Treated

2017 because the event genera on
func on has generated the
order

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

Assume, for illustra on purposes, that the order has failed. On the 9th November 2017, the event genera on batch is launched but no order is generated for the plan because we do not have any untreated Plan Invest Date on 9th November 2017
(instruc on or retry).

The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

1.1 10th Oct Retry Retry 1 20171008 No change

2017 success

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Retry
# Investment Type Status Event # System ac on
#

2 8th Nov Instruc on Failed N/A 20171108 Status changed to Failed

2017 because the event genera on
func on has not found an
order with the event code
STANDING1 and event
number 20171108

2.1 10th Nov Retry Retry 1 20171108 Once the instruc on is failed,
2017 candidate the event genera on func on
creates all retry candidates (3
retry in our example)
2.2 12th Nov Retry Retry 2 20171108
2017 candidate

2.3 14th Nov Retry Retry 3 20171108

2017 candidate

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

On 10th November 2017, the event genera on batch is launched and the following order is generated into an order session based on plan investment #2.1 (first retry of plan investment #2):

Opera on Date: November 10th 2017

Por olio: PTF1
Mutual Fund: Mid Cap Europe
Quan ty (units): 502
Price: 1.99
Amount: 998.98 EUR
Event Code: STANDING1
Event Number: 20171108

The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

1.1 10th Oct Retry Retry 1 20171008 No change

2017 success

2 8th Nov Instruc on Failed N/A 20171108 No change

2017

2.1 10th Nov Retry Retry 1 20171108 Status changed to Retry

2017 treated treated because the event
genera on func on has re-
generated the order

2.2 12th Nov Retry Retry 2 20171108 No change

2017 candidate

2.3 14th Nov Retry Retry 3 20171108 No change

2017 candidate

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

Assume, for illustra on purposes, that the retry order has failed again. On 11th November 2017, the event genera on batch is launched but no order is generated for the plan because we do not have any untreated Plan Invest Date on 11th
November 2017 (instruc on or retry).

The updated Plan Invest Dates are now:

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Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

1.1 10th Oct Retry Retry 1 20171008 No change

2017 success

2 8th Nov Instruc on Failed N/A 20171108 No change

2017

2.1 10th Nov Retry Retry 1 20171108 Status changed to Retry failed
2017 failed because the event genera on
func on has not found an
order with the event code
STANDING1 and event
number 20171108

2.2 12th Nov Retry Retry 2 20171108 No change

2017 candidate

2.3 14th Nov Retry Retry 3 20171108 No change

2017 candidate

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

On 12th November 2017, the event genera on batch is launched and the following order is generated into an order session based on plan investment #2.2 (Second retry of plan investment #2):

Opera on Date: November 13th 2017 (November 12th 2017 is a Holiday for the calendar EUROPE, the next business day is the November 13th 2017)
Por olio: PTF1
Mutual Fund: Mid Cap Europe
Quan ty (units): 492
Price: 2.03
Amount: 998.76 EUR
Event Code: STANDING1
Event Number: 20171108

The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

1.1 10th Oct Retry Retry 1 20171008 No change

2017 success

2 8th Nov Instruc on Failed N/A 20171108 No change

2017

2.1 10th Nov Retry Retry 1 20171108 No change

2017 failed

2.2 12th Nov Retry Retry 2 20171108 Status changed to Retry

2017 treated treated because the event
genera on func on has re-
generated the order

2.3 14th Nov Retry Retry 3 20171108 No change

2017 candidate

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

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Retry
# Investment Type Status Event # System ac on
#

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

Assume, for illustra on purposes, that the retry order has failed again. On 13th November 2017, the event genera on batch is launched but no order is generated for the plan because we do not have any untreated Plan Invest Date on 13th
November 2017 (instruc on or retry).

The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

1.1 10th Oct Retry Retry 1 20171008 No change

2017 success

2 8th Nov Instruc on Failed N/A 20171108 No change

2017

2.1 10th Nov Retry Retry 1 20171108 No change

2017 failed

2.2 12th Nov Retry Retry 2 20171108 Status changed to Retry failed
2017 failed because the event genera on
func on has not found an
order with the event code
STANDING1 and event
number 20171108

2.3 14th Nov Retry Retry 3 20171108 No change

2017 candidate

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

On 14th November 2017, the event genera on batch is launched and the following order is generated into an order session based on plan investment #2.3 (Third retry of plan investment #2):

Opera on Date: November 14th 2017

Por olio: PTF1
Mutual Fund: Mid Cap Europe
Quan ty (units): 502
Price: 1.99
Amount: 998.98 EUR
Event Code: STANDING1
Event Number: 20171108

The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

1.1 10th Oct Retry Retry 1 20171008 No change

2017 success

2 8th Nov Instruc on Failed N/A 20171108 No change

2017

2.1 10th Nov Retry Retry 1 20171108 No change

2017 failed

2.2 12th Nov Retry Retry 2 20171108 No change

2017 failed

2.3 14th Nov Retry Retry 3 20171108 Status changed to Retry

2017 treated treated because the event
genera on func on has re-
generated the order

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Retry
# Investment Type Status Event # System ac on
#

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

Assume, for illustra on purposes, that the retry order has failed again. On 15th November 2017, the event genera on batch is launched but no order is generated for the plan since we do not have any untreated Plan Invest Date on 15th
November 2017 (instruc on or retry). The updated Plan Invest Dates are now:

Retry
# Investment Type Status Event # System ac on
#

1 8th Oct Instruc on Failed N/A 20171008 No change

2017

1.1 10th Oct Retry Retry 1 20171008 No change

2017 success

2 8th Nov Instruc on Failed N/A 20171108 No change

2017

2.1 10th Nov Retry Retry 1 20171108 No change

2017 failed

2.2 12th Nov Retry Retry 2 20171108 No change

2017 failed

2.3 14th Nov Retry Retry 3 20171108 Status changed to Retry failed
2017 failed because the event genera on
func on has not found an
order with the event code
STANDING1 and event
number 20171108.

No more order will be

generated for this month
because we reached the
maximum number of retries
(3 in our example)

3 8th Dec Instruc on Untreated N/A 20171208 No change

2017

4 8th Jan Instruc on Untreated N/A 20180108 No change

2018

5 8th Feb Instruc on Untreated N/A 20180208 No change

2018

6 8th Mar Instruc on Untreated N/A 20180308 No change

2018

The order cycle has reached the maximum number of retries, no further retry is done and the order cycle is skipped.

Now, let us say that for the remainder of the plan life, all remaining orders have been successful and saved at the first instruc on.

The final Plan Invest Dates would be:

# Investment Type Status Retry # Event #

1 8th Oct 2017 Instruc on Failed N/A 20171008

1.1 10th Oct 2017 Retry Retry success 1 20171008

2 8th Nov 2017 Instruc on Failed N/A 20171108

2.1 10th Nov 2017 Retry Retry failed 1 20171108

2.2 12th Nov 2017 Retry Retry failed 2 20171108

2.3 14th Nov 2017 Retry Retry failed 3 20171108

3 8th Dec 2017 Instruc on Success N/A 20171208

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# Investment Type Status Retry # Event #

4 8th Jan 2018 Instruc on Success N/A 20180108

5 8th Feb 2018 Instruc on Success N/A 20180208

6 8th Mar 2018 Instruc on Success N/A 20180308

Note that in this example, we assume that batches are launched every day, including holidays. The same approach would work when batches run only on business days. The only difference would be that for Monday batches, the days to consider
would include Invest Plan dates of previous Saturday and Sunday.

Fee set-up
The objec ve is to allow a user to define a nego ated fee set-up at the plan level. This set-up will then be used to default it for all orders generated for the plan.

The fee set-up is possible only for one-fee amount (balance posi on) and its corresponding currency (balance posi on currency). Within the standard Core Banking and Front Office - PM interface (known as TTI), the one chosen is balance posi on
4 (bp_4_amount_m and bp_4_currency_id).

The nego ated fee set-up is defined at the plan level in the Standing Instruc on (en ty standing_instruc on) where you can set:

Fee set-up (order_fee_e) to define if the fee is 0 - Not negotiated, 1 - Negotiated in amount, or 2 - Negotiated in percent.
Fee percent (order_fee_p) when the set-up is defined as 2 - In Percent
Fee amount (order_fee_amt_m) and currency (order_fee_curr_id) when the set-up is defined as 1 - In Amount

Values entered at the plan level and then, used during order crea on to set the corresponding order a ributes via scrip ng,:

order_fee_e
order_fee_p to define the nego ated fee discount in percent in case of percent nego a on
bp_4_amount_m and bp_4_currency_id in case of amount nego a on

Return Analysis func on

The Return func on supports three computa on methods namely:

Time-Weighted Rate of Return (TWR)

Money-Weighted Rate of return (MWR)
Internal Rate of Return (IRR)

All three methods need to know the market values of posi ons and the state of the various performance counters (balance posi ons) at given mes as well as the size and ming of flows in or out of the por olio. This data is found in the por olio
synthe c structure.

In the MWR method, the market values at the beginning and the end of the return period are used. Addi onally, the size and ming of flows are used to compute the "mean invested capital" using the "modified Dietz" method.

The TWR method is theore cally computed as the geometrically chained returns of sub-periods. A sub-period return is calculated using the market values before and a er each flow. The system computes TWR by compu ng these market values
at a predefined frequency, calcula ng the return and chaining. Obviously, if the frequency is set to "daily", the result is exactly the same as the theore cal method. Using a longer frequency on por olios with few flows, gives a good approxima on
of TWR and is less data intensive.

The IRR method uses the same periodicity as the TWR method. In each sub-period, average flow ming is computed. IRR is then the rate that equates the ini al market value to the sum of the discounted cash flows, including the final market
value.

The Return func on can compute the return on a por olio or the por olios of a client or a list of por olios. The level of detail is may be set to:

a por olio level (GLOBAL)

an instrument level (INSTRUMENT) - depending on licence keys
market segment levels (GRID) - depending on licence Keys

Detailed func onali es

Detailed func onali es include:

Genera ng the basic structure

Spli ng between currency and capital profit and loss
Global and detailed differences
Compu ng the mean invested capital
Compu ng return
Limita ons

Genera ng the basic structure

The basic structure is the por olio synthe c structure.

Periodicity
The periodicity of occurrences is defined in the por olio:

Return Frequency and Return Frequency Unit: Permi ed values are currently:
1 day
1 month
Monthly TWR
Monthly Global TWR
1 quarter

Use the Monthly TWR and the Monthly Global TWR frequencies to compute the real TWR. Each me an opera on is detected on a given por olio synthe c data is computed, allowing Front Office - PM to compute the return with a maximum of
precision. The difference between the Monthly TWR and the Monthly Global TWR frequencies consists in the opera on nature that is used to compute the new synthe c data:

Monthly TWR: all the opera ons are taken into account
Monthy Global TWR: Investment, Withdrawal, Fees and Taxes, Transfer and Por olio Transfer opera ons are detected.

Note that the use of the new Monthly TWR and Monthly Global TWR frequencies require the use of the following filter in addi on to the exis ng filter:

IF (portfolio_id.ret_freq_unit_e IN (1{Day}, 4{Month}, 5{Quarter}, 6{Semester}, 7{Year}),

{then} 1,

{else Monthly Global TWR, Monthly TWR}

IF (NUMMASK(level_n,STD_PERF)=1 OR NUMMASK(level_n,PERF_ATTRIB) =1 , 1,0))

For more informa on on this script, refer to the WealthSuite Front Office - Por olio Management - Script Language Reference Guide.

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For returns on a list of por olios where there is a mismatch between frequencies, all the results are shown at the level of the lowest frequency, e.g. if por olio A is daily and por olio B is monthly, a list containing A and B is displayed with a
monthly frequency. However, the intermediate dates of monthly por olios are retained.

In a monthly calcula on, the periods are defined as star ng at the beginning of the calendar month and ending at the end of each calendar month. If the return is requested from a date that is not at the beginning of a month, an ini al period is
created between the requested begin date and the end of the month. Similarly, if the end date is not the end of a calendar month a period is created between the end of the previous month and the requested Final Date.

Example:

A return calcula on between the 15 of January and the 3rd of March will generate the following three periods: 15/01 - 31/01; 01/02 - 28/02; 01/03 - 03/03.

Level of detail
The level of detail is specified at the por olio and domain level. The possibili es are:

Value Descrip on

Global The data is shown at the por olio level.

Grid The data is shown according to a specified grid or to grids defined as defaults at the
por olio, customer or por olio list level. To compute returns:

The grid selected in the domain must be a standard grill.

If you are working with stored synthe c data, the link nature of
the return grid (defined at por olio or list level) must be set to
Port Synthe c.

Instrument Indicates that the results are shown at the instrument level.

Note that the level specified at the por olio level can be overridden at the domain
level.

Por olio Synthe c structure

An occurrence in the structure contains instantaneous informa on (e.g., the ini al market value, the Ini al Date, etc.) and data reflec ng the difference in the counters between the Ini al Date and Final Date of the period (e.g., unrealised and
realised profit and loss, income, etc.). It also contains informa on about the ming of the various flows.

For more details about the por olio synthe c structure, refer to the WealthSuite Front Office - Por olio Management - Data Model Reference Guide.

Spli ng between currency and capital profit and loss

Spli ng the profit and loss between capital and currency profit and loss raises a problem that can be best shown by the following example: Which counter the currency profit realised on the capital profit is posted.

Standard method
1. The total profit and loss in the por olio reference currency is computed using the cost amounts in the por olio currency (that were stored when the opera on was saved) and the current market value at today’s
price and exchange rate.
2. The capital profit and loss in the instrument reference currency is computed using the cost amounts in the instrument currency (that were stored when the opera on was saved) and the current market value at
today’s price.
3. This capital profit and loss is converted into the por olio reference currency. The exchange rate to be applied follows the parameter P&L computation rule, which has the following values:
"ini al": the exchange rate applicable at the opening of the posi on is used. This in effect posts the cross effect to the currency counter.
"final": the exchange rate applicable on the valua on date is used. This in effect posts the cross effect to the currency counter.
"middle": the exchange rate is the average of the two exchange rates men oned above. This splits the cross effect between the currency and capital counters.
4. The currency profit and loss is calculated as the difference between the total and capital profit and loss.

Market Value Profit and Loss method

With this method, the profit and loss counters are computed online as against the market value at the Ini al Date of the domain. With this method, the cost price of the posi on is no longer used to compute the profit and loss counters. Instead,
the market price and the market exchange rate at the Ini al Date are used for the calcula on of the total profit and loss and the split into capital and currency profit and loss.

This kind of return cannot be stored in the synthe c data table. This func onality only works online. It takes me because there is a refusion of the por olio so that the market value at the Ini al Date is copied to the net cost value of the posi on.

Example

Opera on on por olio X

Opera on Ref. amount
Instrument Date Quan ty Quote Exchange rate
nature (in CHF)

CHF Investment 01/03/2003 100,000 1 CHF 1 100,000

Boeing Buy 01/04/2003 1,000 50 USD 1.36 68,000

Exchange rate USD/CHF

31/03/2003 1.36

30/04/2003 1.38

31/05/2003 1.39

30/06/2003 1.4

31/07/2003 1.2

31/08/2003 1.25

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Boeing price

31/03/2003 50

30/04/2003 57

31/05/2003 63

30/06/2003 70

31/07/2003 50

31/08/2003 55

Hypothesis: PORT_PL_COMP_RULE=3

Indicates where the interac on effect of capital and currency profit and losses are posted.

The value 3 ("Ini al") means that

CapP&L = (Ps -Pb) *Rb *Qty

Where

Ps = Price at sell date

Pb = Price at buy date and

Rb = Exchange rate at buy date

With the Market Value Profit and Loss method, the buy date is the Ini al Date of the domain.

If you run a return computed monthly at different periods, the different results are:

Computa on from 31/05/2003 ll 30/06/2003

1. Computa on of the profit and loss with the Standard method

Net cost value: 68,000 = 50 * 1,000 * 1.36

Ini al market value: 87,570 = 63 * 1,000 * 1.39

Final market value: 98,000 = 70 * 1000 * 1.4

Net/Gross unreal capital profit: 9,520 = (70-50) * 1.36 *1000

- (63 – 50) * 1.36 * 1,000

Net/Gross unreal currency profit: 910 = 98,000 – 87,570 – 9,520

2. Computa on of the profit and loss with the Market Value Profit and Loss method

Net cost value: 87,570 = 1,000 * 63 * 1.39

Ini al market value: 87,570 = 1,000 * 63 * 1.39

Final market value: 98,000 = 1,000 * 70 * 1.4

Net/Gross unreal capital profit: 9,730 = (70 – 63) * 1.39 * 1,000

Net/Gross unreal currency profit: 700 = (1.4 - 1.39) * 70 * 1,000

Computa on from 30/06/2003 ll 31/07/2003

1. Computa on of the profit and loss with the Standard method

Net cost value: 68,000 = 50 * 1,000 * 1.36

Ini al market value: 98,000 = 1,000 * 70 * 1.4

Final market value: 60,000 = 1,000 * 50 * 1.2

Net/Gross unreal capital loss: - 27,200 = (50 – 70) * 1000 * 1.36

- (50 - 50) * 1000 * 1.36

Net/Gross unreal currency profit and loss: - 10,800 = 60,000 – 98,000 – (-27,200)

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Net/Gross unreal currency profit: - 2,800 = (1.36 – 1.4) * 70 * 1,000

Net/Gross unreal currency loss: - 8,000 = - 10,800 – (-2,800)

2. Computa on of the profit and loss with the Market Value Profit and Loss method

Net cost value: 98,000 = 1,000 * 70 * 1.4

Ini al market value: 98,000 = 1,000 * 70 * 1.4

Final market value: 60,000 = 1,000 * 50 * 1.2

Net/Gross unreal capital loss: - 28,000 = (50 – 70) * 1.4 * 1,000

Net/Gross unreal currency loss: - 10,000 = (1.2 – 1.4) * 50 * 1,000

= 60,000 – 98,000 – (-28,000)

Global and detailed differences

At the detailed level all opera ons that increase or decrease the quan ty in an instrument (with the excep on of investment or withdrawal opera ons which are treated separately) are included in purchase or sale counters. These purchases and
sales, as well as paid and received income, fees and taxes are considered as flows into or out of the instrument. The reason these counters are not considered as flows in the case of a global return measurement is that their effects exactly cancel
out when summed at the por olio level. For example, a coupon paid on bond A is considered as a “withdrawal" from bond A and an "investment" in cash.

Note that as is shown in the previous example, the sum of "purchases" and "sales" does not equal zero. It is the sum of the purchases, sales, paid and received income (incl. accrued interest), fees and taxes that equals zero.

Compu ng the mean invested capital

The mean invested capital over a period and for a por olio, a market segment or an instrument is computed when calcula ng return. It is also available using the MEAN_CAP script func on.

The computa on of mean invested capital follows the day weigh ng approach also known as "Modified Dietz". At the system level, one can indicate whether flows occur at the beginning, the middle or the end of a day.

Note that using "Modified Dietz" on a daily frequency is equivalent to using the ini al market value, adjusted by the intraday ming of investments.

The result may be requested before or a er management fees, including or excluding tax credits, gross or net of commissions and taxes.

The Modified Dietz formula specifies that:

Where

is the ini al market value and

is the sum of the me-weighted flows.

Note that in the system, the weigh ng of flows is done from a fixed Reference Date. This enables to store data without having to consider the period over which the return is to be computed.

Compu ng return
The rates of return of a por olio, a market segment or an instrument are computed using the RETURN keyword. The output of this func on is the "por olio return" structure. As can be seen from this structure, the total return can be calculated
as well as the various effects that compose this return. In par cular, you can compute the effects due to individual counters (e.g. unrealised currency loss effect) as well as intermediate counters (e.g. unrealised currency effect, currency effect,
etc.).

The various methods proposed are briefly described below:

Money-Weighted Return (MWR)

This is division of the change in value by the average capital. More formally:

Time-Weighted Return (TWR)

This is a chaining of periodic MWR rates. More formally:

Internal Rate of Return (IRR)

This is the discount rate that equals the ini al value to the sum of the discounted cash flows including the final value. More formally:

Arithme cal Return Chaining (ARC)

This is a method of chaining periodic return contribu ons. This method distributes the cross-effect over the different returns’ contributors, chaining the Return Contribu on of market segment m, over n periods. This method is suitable to hide
the cross effects, which arrive when chaining the returns at market segment or instrument level geometrically over several me periods.

Limita ons
The func on has some limita ons:

If the mean invested capital is 0, the return is set to 0.

The IRR func on may have no solu on. The IRR func on can have several mathema cal solu ons. (The ini al es mate is set to 10%).

Using Return Analysis func on

The Return Analysis func on is started from the domain. This sec on describes the fields in the domain, the por olio, or the applica on parameter table that influence the return process. Addi onally, a list of per nent fields in the por olio
synthe c and por olio return structures are described.

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Domain
To display the Domain - Return Analysis screen, choose Analysis > Return Analysis from the main Front Office - PM menu bar. On this screen, the following tabs have an influence on the return process:

Loading Data tab

Parameters tab

Loading Data tab

Complete the following fields in the Loading Data tab to define the data a ributes:

Field Descrip on

Por olio All Por olios/List/Por olio/Quick Search/Third Party: indicate on which por olios
Dimension the valua on should be made. If you choose Quick Search and click Browse
bu on ( ), the Por olio Quick Search screen opens to let you perform a
search.

Currency Indicates in which currency the return should be computed. The only currency for
which exact performance data is found is the por olio reference currency. All other
currencies are based on exchange rates valid at the “final date" of the periods.

Dates Ini al Date: Indicates the date from which the return counters are computed.

Final Date: Indicates the date un l which the return counters are computed.

Minimum These indicate the status of the retrieved posi ons. Allows the return to be
Status calculated including simulated posi ons.

Maximum Note that if these states are different from those of the stored "por olio synthe c"
Status structure, the process calculates return online.

Parameters tab
Complete the following fields in the Parameters tab to define the data a ributes:

Field Descrip on

Consolida on Indicates in a mul -por olio context whether consolida on should occur across
por olios.

Merged: All por olios are merged together.

Detailed: The consolida on occurs at the hierarchy head (parent por olio).

Detailed children: Each por olio, parent or child por olio, is evaluated
separately.

Load Determines whether the posi ons of child por olios are also loaded ("From
Hierarchy Parent") or not ("No"), when the por olio is a head of a hierarchy.

Return Detail Indicates whether the return counters are shown at the por olio level, the grid
level, or the instrument level. In the case of grid level, one may either specify a
grid, or leave blank, in which case the process will use the grid(s) defined at the
por olio, third party, or list level, depending on the por olio dimension
specified above.

P&L Method Choose between Standard method and Market Value Profit and Loss method
(see sec on Spli ng between currency and capital profit and loss).

Por olio data

The following data at the por olio level impacts the Return calcula on:

Field Descrip on

Return Together they indicate the length of the period between two occurrences of
Frequency "por olio synthe c". Currently the permi ed values are: 1 day, 1 month, Monthly
TWR, Monthly Global TWR, 1 quarter, 1 semester, 1 year.
Return
Frequency
Unit

Return It indicates the l default level of detail for this por olio. The permi ed values are
Detail Global, Grid and Instrument. These default levels are used when the "por olio
Level synthe c" data is physically stored. In the Domain screen, however, you can
override these.

Return In this associated table, you describe the grids, i.e. the market segmenta on used
Grid Link by default. Although you can associate several grids, these must be primary grids.
This informa on is used to store por olio synthe c data, if the return detail level is
set to grid. Furthermore, at the domain level the grids specified here are used as
default grids. You can override these however, in the domain. These Return Grid
Links can be defined at the por olio, third party or por olio list level. These grids
are only used as default at the domain level. Storage is only done with the grids
associated with the por olio.

System parameters
The Return func on depends heavily on the Valua on func on. All parameters related to Valua on obviously influence Returns. The following system parameters are those that have a direct influence on the return process:

Field Descrip on

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Field Descrip on

PORT_PL_COMP_RULE It indicates where the interac on effect of capital and currency

profit and loss are posted. This applies to realised and unrealised
results

CURR_PL_COMP_RULE It indicates whether the capital effect is computed in the

instrument or the posi on currency.

RET_INVEST_TIMING_RULE It indicates whether investments and withdrawals are deemed as

occurring at the beginning, the middle or the end of a day.

SYNTHETIC_MIN_STATUS These two parameters indicate the maximum and minimum status
of posi ons to be included in the genera on and storage of
SYNTHETIC_MAX_STATUS por olio synthe c structures.

Structure
As described above, the return process generates the por olio synthe c structure. A detailed descrip on of the a ributes of this structure is provided in the WealthSuite Front Office - Por olio Management - Data Model Reference Guide. The
content of this structure is as follows:

Structure
Descrip on
element

Instantaneous This includes the market values and accrued interest at the ini al date and the
data final date, as well as the cost value at the final date.

Realised These counters are computed as the difference between the amounts stored in
amounts the appropriate balance posi ons at the Ini al Date and Final Date of a period.
They include gross and net investment and withdrawals, gross and net capital
and currency profit and loss, gross and net paid and received income, paid and
received accrued interest, por olio fees and taxes, tax credits.

Gross and net When compu ng a detailed return, these are the sum of all opera ons that
purchases increase or decrease the quan ty of an instrument (excluding investment and
and sales withdrawals that are treated separately).

Unrealised These counters contain the change of unrealised capital and currency profit and
net and gross loss between the Ini al Date and Final Date of a period.
profit and loss

Unrealised They are computed as the difference between the accrued interest at the Ini al
received or Date and Final Date of the period.
paid accrued
interest

Weighted These are the sums of the product of the amount of each flow mul plied by the
amounts number of days elapsed from a Reference Date. These counters are used to
compute the Mean invested capital.

Synthe c Synthe c Data is given a mask that makes it possible to dis nguish between
Data several characteris cs of the port synth, as described below.
defini on
mask The synthe c data mask is a 6-digit binary number. As well as the Return
Analysis and the Synthe c Administra on func ons, this mask is also used in
the Performance A ribu on module.

Digit 1: The first digit of the synthe c data mask is set to 1 if the End Date
depends on the por olio frequency (otherwise, it is set to 0).

Digit 2: The second digit is set to 1 if its End Date depends on a benchmark
rebalancing (used in the performance a ribu on module only).

Digit 3: Set to 1 if the synthe c data is primary. A primary port synthe c is data
that has not yet been through a temporal consolida on process. To summarise,
a port synthe c is primary if there is no change in the por olio frequency or
opera on between the ini al date and the end date of this data.

Digit 4: Set to 1 if the synthe c data is secondary data that will be stored in the
ext_return_analysis structure.

Digit 5: Set to 1 if the synthe c data is secondary data that will be stored in the
ext_return_analysis structure.

Digit 6: This digit is used for the por olio storage / parallel storage func on. For
more details, refer to the WealthSuite Front Office - Por olio Management -
Performance Analysis Reference Guide.

Example: 0 1 1 1 0 1 = 29 means that the synthe c data is Primary and that its
final_d value is due to a change in the frequency.

This mask is a filter which is useful for viewing only a certain type of data. For
example, for the return analysis func on it is interes ng to display only the
secondary data (data due to a change in the por olio frequency), while
compu ng the return on the primary data which is more precise.

The RETURN script keyword allows calcula ng the return of the por olio based on the data, which is provided in the port_synthe cs structure, according to the various methods (MWR, TWR, gross/net of fees, taxes, etc.). Refer to the
WealthSuite Front Office - Por olio Management - Script Language Reference Guide for further informa on. The script keywords BENCH_RETURN and BENCH_WEIGHT can be used to calculate the return of a strategy, which is linked to the
por olio.

TWR calcula on on Por olio Hierarchies

Global Investment Performance Standards (GIPS) require that the return on a composite (list of por olios) is computed as the weighted average of the cons tuent returns (weighted by the capital of cons tuents: e.g., market value or mean cap).
This is currently supported by Front Office - PM through the merge rules. There is no specific requirement for por olio hierarchies (which is a Front Office - PM concept).

Therefore, there are generally two possibili es to treat a por olio hierarchy:

Treat the hierarchy as a list of por olios. That is, the returns of the member por olios are calculated individually and aggregated according to the merge rules.
Treat the hierarchy as if it was a single por olio. This is done by temporarily crea ng a synthe c por olio, which contains all posi ons of the parent por olio and all its child por olios, and calcula ng a TWR on
this data.

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The users have also the possibility to not recalculate previous computed TWR Return by se ng the system parameter RETURN_IN_PARENT_PTF_RULE accordingly.

Por olio se ngs and domain parameters

The following se ngs impact the system behaviour.

Por olio structure

The por olio hierarchy must be built with a Parent / Child rela onship; that is, the code of the parent por olio must be referenced in the child por olios.

Return frequency (in por olio)

Only the Return Frequency Units "Monthly TWR" or "Monthly Global TWR" in the parent por olio will lead to a difference in the result. For all other Return Frequency Units, the merge rules will be used.

Consolida on (in domain)

The method "Merged" calculates by using the merge rules.

The method "Merged TWR" calculates as if all opera ons had taken place in the parent por olio.

Load opera ons (in domain)

Load Hierarchy must be set to From Parent for the posi ons of the child por olios to be loaded.

System parameter
The system parameter RETURN_IN_PARENT_PTF_RULE determines which method is used in each context.

This system parameter’s value can be set at:

Value Descrip on

0 Computes the Monthly TWR or Monthly Global TWR in Return Analysis as well as
Performance A ribu on and Analysis as usual.

1 Give the possibility to compute at Parent por olio level:

an online Monthly TWR or Monthly Global TWR, with the hierarchical TWR
method.
new synthe c data or new PSP with the hierarchical TWR method.
a standard TWR on PSP set with standard perf a rib.

2 Online computa on, all synthe c data and all PSP are computed using the hierarchical
method (whatever the Perf. Return descrip on set at por olio level).

Online and Performance Storage Parameters

RETURN_IN_PARENT_PTF_RULE

Perf Return
0 1 2
Descrip on

No old Hierarchical TWR for online Hierarchical TWR for online

Performance method
Storage
Parameter

standard perf old Standard TWR Hierarchical TWR for online and all PSP
a rib method

hierarchical old Hierarchical TWR for online Hierarchical TWR for online and all PSP
perf a rib method and new PSP set with
hierarchical perf a rib

Synthe c Administra on

RETURN_IN_PARENT_PTF_RULE

Compute
0 1 2
Data

New old Hierarchical TWR computa on for online Hierarchical TWR

method and new synthe c data computa on for online
and new synthe c data

Replace old Hierarchical TWR computa on for online Hierarchical TWR

method and all synthe c data computa on for online
and all synthe c data

Synthe c Administra on func on

The term Synthe c Data refers to data that describes por olios or posi ons at a par cular moment in me. Front Office - PM is able to calculate such data and store it in specific tables in the database. The table used to store the data is called
por olio_synthe c and the data stored there is referred to below as por olio synthe c data.

This Synthe c Administra on func on is useful because the computa on of returns is a resource intensive process. By pre-calcula ng the por olio synthe c structure and using it when you run a Return Analysis, you reduce the demand on
resources. Typically, Return Analysis is two or three mes faster if you use synthe c data.

When you insert, modify or delete backdated transac ons, the stored data is updated. This ensures the integrity of the por olio synthe c data, that is, it makes sure that the stored data reflects the actual state of the por olio (see sec on
Upda ng process for details).

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Storing and retrieving por olio_synthe c data
The storage func on is called via the domain. The following table lists the most important se ngs:

Field Descrip on

Por olio If one or more por olios are selected, the func on generates entries for each
Dimension por olio in its reference currency.

No consolidated data is stored for Por olio Lists.

Ini al Date Entries in the synthe c data table are generated for the period between these two
dates. The frequency and level of detail of these entries depend on the se ngs
Final Date specified at por olio level (Administra on > Main En es > Por olio) in the
Return Frequency Unit and Return Detail Level fields, as indicated below:

If the Ini al Date is not an end of period date (as for a monthly frequency, for
example), the date is forced to the end of the previous period.

Note that if the Ini al Date is the same as the Final Date, the func on computes
new synthe c data from the most recently saved synthe c data un l the Final Date
of the domain.

Por olio If the por olio contains Por olio Posi on Sets (PPS) with the Por olio Synthe c
Posi on flag set to Yes, the por olio synthe c data is generated at the same me as the
Set main por olio. If the flag is set to No, the PPS does not have stored synthe c data.

Calcula on See the following sec on.

Method

Calcula on methods
The difference between Permanent and Non-Permanent data is as follows:

Synthe c data is generally stored for a period corresponding to the Return Frequency Unit of the Por olio. If the unit is a month, the period begins or ends at the end of a month. For a period that ends within
the Return Frequency Unit, you can choose if you want to stock the data permanently or not.
Non-Permanent data that does not correspond to an "end of period" date is deleted when the synthe c administra on is computed with a later Final Date. Permanent data, or data with an "end of period" date
persists, that is, it is not deleted when the synthe c administra on is computed with a later Final Date.

This means that the Non-Permanent period can only be the more recent period. The other periods all have Permanent status.

The following sec ons provide examples and further notes about calcula on methods.

Example 1
Take a Por olio with the Return Frequency Unit set to 1 month.

A Synthe c Administra on from 31.12.97 to 15.03.98 computes the synthe c data for the periods:

31.12.97-31.01.98 (Permanent)

31.01.98-28.02.98 (Permanent)

28.02.98-15.03.98 (A or B below)

If the last period (28.02.98-15.03.98) has Permanent status, launching a "synthe c administra on" with Ini al Date = Final Date = 25.04.98 computes the following periods:

15.03.98-31.03.98 (Permanent)

31.03.98-25.04.98

If this same period (28.02.98-15.03.98) has Non-Permanent status, launching a synthe c administra on with Ini al Date = Final Date = 25.04.98 replaces the last period 28.02.98-15.03.98 with the period
28.02.98-31.03.98 and adds the period 31.03.98-25.04.98.

If the Display Flag is set to Yes, this gives:

28.02.98-31.03.98 (Permanent)

31.03.98-25.04.98

The Permanent or Non-Permanent nature of the last period is defined when the data is created.

Front Office - PM also lets you choose between compu ng only new synthe c data or replacing the exis ng data.

If you choose the New op on in the Compute Data field, Front Office - PM completes the missing data in the period defined by the Ini al Date and Final Date fields. The Replace op on deletes all stored por olio synthe c table data for the period
defined by the Ini al Date and Final Date fields and computes new por olio synthe c data for the en re period. The Replace op on keeps the dates so the intermediate Permanent stored dates are not lost.

Example 2
Take a Por olio with the Return Frequency Unit set to 1 month and with stored synthe c data for the following periods:

31.12.97-31.01.98 (Permanent)

31.01.98-28.02.98 (Permanent)

28.02.98-15.03.98 (Permanent)

Missing

31.03.98-25.04.98 (Permanent)

If you run the Synthe c Administra on func on with the Compute Data field set to New, the Ini al Date set to 31.12.97, and the Final Date set to 30.04.98, Front Office - PM computes synthe c data for the
following periods:

15.03.98-31.03.98 (Permanent)

25.04.98-30.04.98

If you run the Synthe c Administra on func on with the Compute Data field set to Replace, the Ini al Date set to 31.12.97, and the Final Date set to 30.04.98, Front Office - PM computes synthe c data for the
following periods:

31.12.97-31.01.98 (Permanent)

31.01.98-28.02.98 (Permanent)

28.02.98-15.03.98 (Permanent)

15.03.98-31.03.98 (Permanent)

31.03.98-25.04.98 (Permanent)

25.04.98-30.04.98

If you run the Synthe c Administra on func on with the Compute Data field set to New or Replace, the Ini al Date and the Final Date set to 30.04.98, Front Office - PM computes synthe c data for the
following period:

25.04.98-30.04.98.

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The Compute Data parameter, then, with its combina on of Permanent/Non-Permanent and New/Replace lets you store data in four different ways:

Value
Descrip on
combina on

New, If the Ini al Date is earlier than the Final Date (Ini al Date < Final Date), the New,
Permanent Permanent op on completes the missing data in the period. Otherwise, if the
Ini al Date is the same as the Final Date (Ini al Date = Final Date), the New,
Permanent op on computes new synthe c data from the last saved synthe c
data un l the Final Date. The last data has the nature Permanent.

New, Non- The New, Non-Permanent op on behaves the same as the New, Permanent
Permanent op on except that the last data has the nature Non-Permanent.

Replace, If the Ini al Date is earlier than the Final Date (Ini al Date < Final Date), the
Permanent Replace, Permanent op on re-computes all por olio synthe c data in the period
while preserving the dates. Otherwise, if the Ini al Date is the same as the Final
Date (Ini al Date = Final Date), the Replace, Permanent op on behaves the same
as the New, Permanent op on. The last data has the nature Permanent.

Replace, The Replace, Non-Permanent op on behaves the same as the Replace,

Non- Permanent op on except that the last data has the nature Non-Permanent.
permanent

The first two op ons in the Compute Data drop-down list are:

Delete - Front Office - PM deletes the data between the Ini al Date and the Final Date. If the Ini al Date is not the date of an occurrence, the occurrence containing this date is not deleted.
View - The data between the Ini al Date and the Final Date is displayed (either for the por olio or for the PPS).

Notes
The Replace, Permanent op on is not equivalent to choosing the Delete op on followed by the New, Permanent op on. The Replace, Permanent op on preserves the date of the synthe c data which is replaced. The Delete op on deletes all the
data and the New, Permanent op on computes new data for the period.

If you select Delete or View, the Display Result Flag checkbox is disabled.

Also, to avoid unnecessary format evalua on in batch processing, make sure the Display Result Flag checkbox is cleared (the disp_result_f flag is set to 0):

Hints:

Storage in "Risk View" is not possible.

As for all financial func ons, the synth_admin func on can be executed in batch mode using the exec_fin_analysis_all_domain stored procedure. This procedure takes the domain arguments.
If there is a Fusion nature event in the event scheduler table, Front Office - PM will not run the synthe c administra on func on.

Upda ng process
The Synthe c Administra on procedure stores the data of the current por olio for specified past periods. However, if you create an opera on that occurred in the past (in a period for which por olio synthe c data is already stored), the synthe c
data will no longer correctly reflect the por olio. Un l now the only way to update the synthe c data was to delete the exis ng data and compute the new data. This process is automated to ensure the correct calcula on of the return.

Func on Descrip on

Event The ac on of inser ng/modifying/dele ng backdated transac ons generates

Scheduler an event in the Event_Scheduler table, with the date of the opera on. This
event is stored un l you run the Synthe c Administra on func on on the
por olio. To view the event stored in this table, choose Opera on->Special
Func ons->Event Scheduler from the main menu bar to start Event Scheduler
or use the EVENT_SCHEDUL keyword in a format (refer to the WealthSuite
Front Office - Por olio Management - Script Language Reference Guide).

Synthe c If you run the Synthe c Administra on func on on a por olio which has an
Administra on event in the Event_Scheduler table, the domain's Ini al Date is used only if it is
earlier than the date of the event. If the Ini al Date is later than the date of the
event, Front Office - PM treats the date of the event as the Ini al Date. The
synthe c data created a er the event date is recalculated.

Return The return func on automa cally seeks stored por olio synthe c records. If it
Analysis does not find these, or they are incomplete or do not correspond to the
requested level of detail, these records are recomputed online.

If you run a Return Analysis on a por olio that has an event in the
Event_Scheduler table, the por olio synthe c data is calculated online from
the period containing the event.

Modify If you modify the currency (Opera on->Special Func ons->Modify Currency),
Reference / the synthe c data is changed to the new currency using the exchange rate from
System the end of the period (same method as for the return calcula on in another
Currency currency).

Notes
The por olio return frequency is defined for each por olio (at por olio level) using the "Return frequency unit" parameter. This parameter is generally set to monthly or daily. Compared to monthly, daily takes 30 mes more space in the
port_synthe c table.

The por olio return level is also defined for each por olio (at por olio level) using the parameter "Return detail level". It can be set to Global, Grid or Instrument. If you choose Global, there is only one entry per por olio per frequency unit. If you
choose Grid, you obtain one entry per por olio per frequency unit and per market segment combina on. If you choose Instrument, there is one entry per por olio per frequency unit for each instrument (posi ons with the same instrument are
merged), which takes up a lot of space! The choice not only depends on the space the data takes; the most important factor is the detail level required by users. The detail level allows the high quality rendering of reports and formats. With the
Grid/Instrument value, there is also the entry linked to the Global value.

Another important parameter is the frequency at which we compute the synthe c data. It can be every Saturday or, for important por olios, every day. This is very important as the computa on is long and resource-consuming. It is cumbersome
to compute a large number of por olios every day. Obviously, the only problem with weekly computa on is that the data is not up-to-date in-between. However, everything is brought up to date once the weekly computa on is carried out. It is
also worth no ng that it is not recommended to perform the computa on of the synthe c data in parallel.

When you insert, modify or delete backdated transac ons, the stored data is updated. But if you modify an instrument price or exchange rate, the stored data is not updated. You can decide to compute synthe c data up to the week before and
not the day before, enabling you to modify the instrument prices for the previous week without affec ng the return results.

Impact on the database

As synthe c data is stored in database table por olio_synthe c, the size of this table may be very large. This depends on the way the por olios are configured so you may need to review the size of the database.

Each entry in the por olio_synthe c table requires approximately 600 bytes. You can accurately es mate the size of the table if you know:

number of por olios

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how they are configured for the return analysis (in the por olio return frequency and por olio return level parameters)
history to keep
number of PPSs with the Por olio Synthe c flag set to Yes

Impact on the batch window

The Synthe c Administra on func on can be executed in batch mode using the exec_fin_analysis_all_domain stored procedure. The scripts that compute synthe c data during the night typically process lists of por olios.
Note that for a return on a list of por olios with different return frequencies, the results are computed for the lowest frequency (for example, if some por olios are set to a daily frequency and others to monthly, all the por olios in the list are
treated as if the return frequency is monthly). It is the por olio frequency that has priority.

Depending on the por olio configura on (por olio return frequency and por olio return level parameters), the scripts may take a long me to execute. Evaluate this me by performing intensive tests on your Front Office - PM test environment.

Implemen ng Synthe c Data

To implement the Synthe c Data func onality, you must first ascertain how the por olios are configured for return analysis (por olio return frequency and por olio return level parameters) and define the historical data you want to keep.

If there is no effect on business issues, you can take the parameters into account when you analyse performance.

Consequently, the implementa on steps are as follows:

1. Es mate the size of the port_synthe c table.

2. Review the database sizing parameters, if necessary.
3. Check and, if necessary, update the Front Office - PM applica on parameters linked to synthe c data administra on (CURR_PL_COMP_RULE and PORT_PL_COMP_RULE for the Opera on/Fusion func ons and
all the parameters for the Return/A ribu on func ons). As CURR_PL_COMP_RULE and PORT_PL_COMP_RULE are not only used for synthe c data, a fusion must be run on all the por olios if these
parameters are modified.
4. Create the night- me batch scripts (make sure you compute the synthe c data as Non-Permanent: comp_data_e=8 for New or 11 for Replace).
5. Test the batch scripts to es mate the me required to compute the synthe c data.
6. Depending on the compu ng me taken, decide when exactly you should compute the data and for which por olio lists.
7. Decide if the batch scripts will compute synthe c data up un l the day before or the week before.
8. Test and implement the validated solu on.

Composite Manager func on

The Composite Manager func on is a tool used for performance standards presenta on (e.g. GIPS, AIMR or SPPS). One of the key concepts of these standards is the composite. A composite is a group of por olios that follow the same investment
strategy. The standards require publishing a track record of historical performance and are submi ed to a series of constraints and recommenda ons.

A composite is defined in Front Office - PM as a list of por olios. As the contents of this list can change over me, it is essen al to create historical lists.

The Composite Manager func on retrieves the por olios belonging to a composite over me. From each por olio and period, you can access pre-stored performance data. This performance data must be stored in the related por olio
chronological data.

The Composite Manager is run from the main toolbar. You must enter the name of the Por olio list (Composite), the period over which the data must be presented, and the frequency at which the por olio returns are calculated (e.g. Monthly).
Front Office - PM generates a por olio_freq structure. A line of this structure is displayed for each por olio and each period, and contains informa on stored in the chronological data of the por olio.

Detailed func onali es

Detailed func onali es include:

Frequency
Status
Historical versus present list

Frequency
The Composite Manager retrieves the components of a list at different dates. These dates are defined in the Domain screen.

The dates are the Ini al Date, intermediate dates based on a given frequency and the Final Date. This means that if you run the Composite Manager with 15/01/99 as the Ini al Date and 25/03/99 as the Final Date and a frequency of 1 month, it
retrieves the list’s components for the 15/01/99, 31/01/99, 28/02/99, and 25/03/99. These dates are the Frequency Dates.

Status
The composite manager allows the user to determine from the status_e a ribute if a por olio is Entering, Remaining, Exi ng or Transi ng from a composite.

Historical versus present list

The process of storing lists makes it possible to store historical lists and present lists, i.e. lists with components that have a historical date or not. For more informa on, refer to the sec on on lists in the WealthSuite Front Office - Por olio
Management - User Guide.

All the func ons, except the Composite Manager, only work with "present" lists (i.e. with components that do not have a validity date). The Composite Manager func on lets you work with the present list or the historical components of the list.
It does this by using a Historical List flag.

When the Composite Manager uses the Present List se ng, it displays the present components at all dates.

When the Composite Manager uses the Historical List se ng, it displays the historical components that are valid at the frequency date. If the list has no historical components, the present components are loaded.

If the Historical Flag is set, all the lists used in the format (for example, with the WHERE_IN_GRID(), CLASSIFY() and IS_IN_LIST() keywords or used by valua on rules) are also based on historical lists.

Using Composite Manager func on

To run the Composite Manager func on:

1. From the main menu, choose Opera on > Composite Manager.

The Domain – Composite Manager screen is displayed.

2. Complete the relevant fields in the Loading Data tab as follows:

Loading data
Descrip on
tab

Por olio Level passed to the Composite Manager func on. You can choose from All
Dimension /List/Por olio/Quick Search. If you select Quick Search and click Browse
panel
bu on ( ), the Quick Search screen opens to let you select criteria and
perform the search you want.

All/List/Por olio Name of the por olio or list that is displayed. All displays all the por olios and
lists.

Ini al Date The date from which the Composite Manager starts. Set by default to current
date minus a year.

Final Date The date un l which the por olio(s) are retrieved. Set by default to the
current date.

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Loading data
Descrip on
tab

Frequency The frequency is set using two fields: Frequency and Frequency Unit. Enter a
number in the Frequency field and select a period in the Frequency Unit field.
For example, you can enter 1 in the Frequency field and select Month in the
Frequency Unit field drop-down list for monthly returns. The Frequency Unit
field lets you select a period from Day, Week, Month, Quarter, Semester and
Year.

Historical List Select the checkbox to load historical list components. Clear it to load Present
checkbox List components.

Load Hierarchy Select the Load Hierarchy From Parent if you want to load a Por olio’s
hierarchy, otherwise let it to No.

The relevant fields that are created in the por olio_freq structure are described in the sec on Por olio Frequency structure.

Por olio Frequency structure

The Composite Manager generates the por olio frequency structure (por olio_freq). This structure only contains the the following fields:

Field Descrip on

Freq_d Returns the frequency date.

Por olio_id Returns the iden fier of the por olio.

Status_e The status_e a ribute of the por olio_freq en ty defines the status of the
por olio:

Entering the composite (status_e = 0)

Remaining (status_e = 1)
Exi ng (status_e = 2)
Transi ng (status_e = 3)

A lot of informa on can be displayed using only these three fields. The informa on can be retrieved directly from the por olio or by using script keywords like PORT_CHRONO(), BENCH_WEIGHT(), BENCH_RETURN(), etc.

Display Chrono func on

The Display Chrono func on displays the values stored chronologically, for example, instrument price, instrument chrono, exchange rates. Single objects or lists of objects can be displayed. For example, Display Chrono lets you display historical
prices, exchange rates, or any stored chronological data graphically.

The Display Chrono process retrieves instrument, currencies or third par es according to the parameters entered in the Domain screen. The most important parameters are the Por olio Dimension, the Ini al Date, the Final Date, the Frequency,
and the Historical List checkbox. With this informa on, the process retrieves the objects between the dates specified and creates the instrument_freq, currency_freq or third_freq structures.

Detailed func onali es

Detailed func onali es include:

Frequency
Historical versus present list

Frequency
The Display Chrono func on retrieves the components of a list of instruments, currencies or third par es at the different dates defined in the Domain screen.

These dates are the Ini al Date, the Frequency dates, and the Final Date. This means that the Display Chrono func on, run from 15/01/99 un l 25/03/99 with a frequency of 1 month, retrieves the list’s components at the 15/01/99, 31/01/99,
28/02/99, and 25/03/99. These dates are the Frequency dates.

Historical versus present list

The process of storing lists lets you store historical lists and present lists, i.e. lists with components that have a historical date and those that do not. For more informa on, refer to the sec on on lists in the WealthSuite Front Office - Por olio
Management - User Guide. All func ons, except Composite Manager and Display Chrono, only work with present lists (i.e., those with components that do not have a Validity Date).

Depending on the Historical List checkbox se ng, the Display Chrono func on works with the present list or the historical components of the list. If the checkbox is cleared; that is, if it is set to Present List, Display Chrono shows the present
components at all dates.

If the checkbox is selected (set to Historical List), Display Chrono shows the historical components valid at the frequency date. If the list has no historical components, the present components are loaded.

If the Historical List flag is set, all lists used in the format (with the keywords WHERE_IN_GRID(), CLASSIFY(), IS_IN_LIST(), for example, or used by the valua on rules) are also based on historical lists.

Using Display Chrono func on

To run the Display Chrono func on:

1. From the Front Office - PM menu bar, choose Administra on > Chrono > Display Chrono.

The Domain – Display Chrono screen is displayed.

2. Complete the relevant fields in the Loading Data tab as follows:

Field Descrip on

Por olio It contains the following op ons in the drop-down list: Currency, Instrument, List,
Dimension Third Party, and All. Indicates which level is passed to the Composite Manager
func on.

Instrument The drop-down list op ons displayed depend on the op on selected in the
Dimension En ty/List field. The possible op ons are: Instrument, Currency, Third Party, and
All. The choice determines the name of the object or list that is displayed.

Ini al Date The date from which the Display Chrono starts. Set by default to current date
minus a year.

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Field Descrip on

Final Date The date up to which the por olio(s) are retrieved. Set by default to the current
date.

Report Lets you choose a report (clear the field to display the results in the GUI).

Language Select the language used in the Report.

Frequency The frequency is supplied using two fields. Enter a number in the Frequency field
and select a period in the Frequency Unit field. For example, you can enter 1 in the
Frequency field and select Month in the Frequency Unit field drop-down list for
monthly returns. The Frequency Unit field lets you select a period from Day, Week,
Month, Quarter, Semester, and Year.

3. Complete the relevant fields in the Parameters tab as follows:

Field Descrip on

Historical Select the checkbox to load historical list components. Clear it to load present list
List components.

Load Select From Parent to load a Por olio’s hierarchy, otherwise let it to No.
Hierarchy

The relevant fields that are created in the instrument_freq, currency_freq, and third_freq structures are described in sec ons Instrument Frequency Structure, Currency Frequency Structure, and Third (Party)
Frequency Structure.

4. Click OK or Apply to start the func on.

Structures
The Display Chrono generates the instrument frequency, currency frequency or third frequency structure. The relevant fields in these structures are described below. For a complete descrip on of these structures, refer to the WealthSuite Front
Office - Por olio Management - Data Model Reference Guide.

Instrument Frequency Structure

Field Descrip on

Freq_d Returns the frequency date.

Instrument_id Returns the instrument iden fier.

Currency Frequency Structure

Field Descrip on

Freq_d Returns the frequency date.

currency_id Returns the currency iden fier.

Third (Party) Frequency Structure

Field Descrip on

Freq_d Returns the frequency date.

Third_id Returns the third party iden fier.

A lot of informa on can be displayed using only two fields per structure. The informa on can be displayed either directly from the en ty or by using script keywords such as CURR_CHRONO(), THIRD_CHRONO(), INSTR_CHRONO(), INSTR_PRICE(),
EXCH_RATE(), etc.

Display Compliance Chrono func on

The Display Compliance Chrono func on displays the risk measure values stored chronologically. Single objects or lists of objects can be displayed. For example, Display Compliance Chrono displays risk measures, or any stored chronological data
graphically.

The Display Compliance Chrono process retrieves risk measures according to the parameters entered in the Domain screen. The most important parameters are the En ty dimension (Por olio Dimension), the Objects (Por olio and Strategy), the
Ini al Date, the Final Date, and the Frequency. Currently, risk computa on is not supported for strategy. Although Strategy is used as a dimension to be consistent with ‘Compute Compliance Chrono’, it will not fetch any results. With this
informa on, the process retrieves the objects between the dates specified and creates the risk measure structures.

Detailed func onali es

Detailed func onali es include:

Frequency

Frequency
The Display Compliance Chrono func on retrieves the components of a por olio at the different dates defined in the Domain screen.

These dates are the Ini al Date, the Frequency dates, and the Final Date. This means that the Display Compliance Chrono func on, run from 15/01/16 un l 25/03/16 with a frequency of 1 month, retrieves the list’s components at the 15/01/16,
31/01/16, 29/02/16, and 25/03/16. These dates are the Frequency dates.

Using Display Compliance Chrono func on

To run the Display Compliance Chrono func on:

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1. From the Front Office - PM menu bar, choose Administra on > Chrono > Display Compliance Chrono.

The Domain – Display Compliance Chrono screen is displayed.

2. Complete the relevant fields in the Loading Data tab as follows:

Field Descrip on

Por olio It contains the following op ons in the drop-down list: All, List, Por olio, and
Dimension Strategy. Indicates which level is passed to the Composite Manager func on.

Instrument The drop-down list op ons displayed depend on the op on selected in the
Dimension En ty/List field. The possible op ons are: All, Por olio, and Strategy. The choice
determines the name of the object or list that is displayed.

Ini al Date The date from which the Display Compliance Chrono starts. Set by default to
current date minus a year.

Final Date The date up to which the por olio(s) are retrieved. Set by default to the current
date.

Frequency The frequency is supplied using two fields. Enter a number in the Frequency field
and select a period in the Frequency Unit field. For example, you can enter 1 in the
Frequency field and select Month in the Frequency Unit field drop-down list for
monthly returns. The Frequency Unit field lets you select a period from Day, Week,
Month, Quarter, Semester, and Year.

3. Click OK or Apply to start the func on.

Note: The fields in the Parameters tab have no impact on the func on results.

Structures
The Display Compliance Chrono generates the risk measure structure. The relevant fields in the structure are described below. For a complete descrip on of these structures, refer to the WealthSuite Front Office - Por olio Management - Data
Model Reference Guide.

Risk Measure Frequency Structure

Field Descrip on

Freq_d Returns the frequency date.

Por olio_id Returns the por olio iden fier.

confidence_level_n Returns the confidence level set for the por olio

me_horizon_n Returns the me horizon set for the por olio

me_horizon_unit_e Returns the me horizon unit

The informa on is displayed directly from the en ty.

Yield Curve func on

Yield Curves are instruments composed of rates. The prices and the corresponding dura on of the various component rates define the points on the curve.

The Yield Curve func on displays different coloured yield curves for each selected Yield Curve instrument.

Using Yield Curve func on

To run the Yield Curve func on:

1. From the Front Office - PM menu bar, choose Administra on > Chrono > Yield Curve.

The ini al screen displays only the Front Office - PM logo un l you select the Yield Curve instruments that you want to display.

2. To select the Yield Curve instruments you want to display, choose Edit > New for each new curve (or press [CRTL] + [N]). For example, if you select four Yield Curve instruments, the top le screen panel looks like
this:

3. A er the selected instruments are displayed, you can specify addi onal parameters to define the display, as follows:
The Reference Date column indicates the date on which the value of the rates is retrieved. You can therefore display one or more curves on the same or different dates.
The DB data column refers to a flag that describes if you merely want to display the value of the rates on the curve (Yes) or compute a series of homogeneous points on it (No). If you choose Yes, the
available rates are retrieved and displayed as they are (e.g. Money Market rates are simple and Swap rates compounded). If you choose No, the rates are used to define a curve with a series of
interpolated points (e.g. all rates are compounded and missing points linearly interpolated).
4. Click in the Instrument column in this panel to enable the Instrument selec on cell:

Enabled cell with Browse bu on (...). Click the Browse bu on to select a Yield Curve instrument.

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5. A er the cell is enabled, click Browse to the right of the cell to open a Select Instrument screen. The instruments in this screen are all of the Yield Curve nature.
6. Select the Yield Curve instruments you want for each new cell.
7. Click Select at the bo om of the screen to display the actual curves of the instruments.

The Period/Value pane corresponds to one of the Yield Curve instruments in the le pane.

8. Click a Yield Curve instrument and it changes for that instrument. The ZOOM panel on the right lets you look at part of a yield curve, for example, from the fourth to the eighth year:

The graph
scale
changes
accordingly
to show
the period
from the
fourth to
the eighth
years

Note: The minimum zoom period is 1 year.

External func on
The aim of the External func on is to allow you to:

Start an external and independent applica on.

Open an URL Page.

It is also possible to reference user-defined func ons.

Loca ng External func on

To locate the External Func on and its sub-func ons, go to the Front Office - PM menu bar and choose Tools > External Func on. Then, choose the sub-func on that you want.

Using External func on

External Func on is secured by the Func on Security Profile. For this func on, the create_f field of the Func on Security Profile Composi on table defines if a Domain screen is to be opened (value TRUE) or not (value FALSE).

The ac on to perform is defined by the Default Value script linked to the external_defini on_c domain field. This field is not displayed.

There are two possible syntaxes, one for URLs and one for external applica ons:

URL www.oams.com - the keyword URL allows the user to open a Web browser screen in the GUI at the given address.
Excel.exe - allows users to run the Excel applica on.

Examples
Example 1: Boursorama
Example 2: Server tool
Example 3: Import Clipboard in Excel

Example 1: Boursorama
Boursorama is a financial site that lets you view historical data for a financial instrument. On this site, each financial instrument is defined by its Sicovam codifica on. The Sicovam codifica on has been defined in Front Office - PM.

It is possible to access this site via the Boursorama External Func on. The user can select an instrument in an associated user-defined screen.

Script
The default values of the Boursorama func on are:

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Use
The following Domain screen is associated with the Boursorama func on:

If you enter an instrument in the Domain – Boursorama screen, the following window is opened, showing the Boursorama website page for the chosen instrument (in this case, FRANCE_TEL):

Example 2: Server tool

The aim of the Server Tool op on is to let you check, start or stop the financial servers. Two user-defined fields have been added to the domain:

ud_ac on_serve_e: enum with 3 possible values (check, start, stop)

ud_server_name: name of a server.

The Domain – Server Tool (user-defined) screen is linked to the Server Tool func on and contains the fields Ac on and Server Name.

Script
The following image shows the script for the Server Tool:

Example 3: Import Clipboard in Excel

It is some mes useful to copy financial data into an applica on such as Excel to perform checks and calcula ons. The aim of the present External Func on is to facilitate this process.

You must perform a copy to clipboard from a par cular format and then select this func on from the main menu. The Excel Applica on opens automa cally. If the Func on Security Profile is well defined, no Domain screen is opened.

Script

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The Default Value script for the Import Clipboard in Excel func on is shown below:

The Import_Clipboard.xls file contains the following Visual Basic code:

Appendix A: Valua on rules

Valua on rules are used to define how instrument prices, exchange rates, book values, lending coefficients, and profit and loss are calculated. They can be default valua on rules, or rules associated with a por olio, a por olio posi on set, or a
domain.

Valua on rules use lists and classifica on. The rules are associated with lists of posi ons, instruments, or currencies. Therefore, the classifica ons and lists must already exist before you can create Valua on Rules. For more informa on on
crea ng lists and classifica ons, refer to the WealthSuite Front Office - Por olio Management - User Guide. Rules are dis nguished by their nature.

Func onal overview

There are different natures of valua on rules, with different scope and usage.

Nature Descrip on

Quote Defines how to retrieve the appropriate instrument price.

valua on
rule In par cular, quote valua on rules specify if a different evalua on rule must be
applied to an instrument (e.g., compute the theore cal value, rather than the
market value, or perform a linear valua on) and, if the instrument is quoted, how
to obtain the appropriate price. The selec on criteria that can be specified include
the type of the price (ask, bid, close, etc.), the currency of the price, the provider of
the price (Reuters, Telekurs, Internal, etc.), and the market of the price (NYSE,
PHLX, COMEX, etc.).

Quote valua on rules apply to instrument lists and posi on lists.

The instrument price is used directly in the Valua on func on. You can also use
keywords such as INSTR_PRICE which returns the instrument price and
BENCH_RETURN, BENCH_WEIGHT, which compute the instrument return and
weights in strategies.

The instrument price is also used in the Return, Performance, and Check Strategy
func ons.

Exch. Defines how to obtain the exchange rate between two currencies.
valua on
rule The selec on criteria that you can specify include the type of the exchange rate
(ask, bid, close, etc.), the provider of the exchange rate (Reuters, Telekurs, Internal,
etc.), and the market of the exchange rate (New York, London, etc.). Also, you can
define the intermediary currency for a cross exchange. For example, you can
specify that all the rates are crossed through the USD.

Exchange valua on rules apply to lists of currencies.

The Exchange Rate is used directly in the Valua on func on. You can also use
keywords such as EXCH_RATE which returns the instrument price and
BENCH_RETURN, BENCH_WEIGHT, which compute the instrument return and
weights in strategies, which computes the instrument return and weights in
strategies.

The exchange rate is also used in the Return, Performance, and Check Strategy
func ons.

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Nature Descrip on

Instr. Defines how to obtain the lending coefficient applied to an instrument.

lending
valua on A simple example is holding blue chip stocks as collateral for up to 60% of their
rule value. These lending coefficients can be stored in an associated table. You can also
enter a script defini on to determine a specific price for lending.

Instrument lending valua on rules apply to posi on lists, in order to define

different lending coefficients for long and for short posi ons.

You can access the lending rule and especially the lending coefficient by using the
INSTR_PRICE keyword in the context of the extended posi on structure. The
system matches the extended posi on for an instrument with the extended
posi ons list, on which the instrument lending valua on rule is based, and returns
the appropriate lending coefficient.

Curr. Defines a margin percentage to be held in the case of currency mismatches, that is,
lending to use a posi on in one currency to allow a lending in another currency. These
valua on rules supplement the lending coefficients defined at the instrument level.
rule
Currency lending valua on rules apply to currency lists.

You can access the lending rule and especially the lending coefficient by using the
EXCH_RATE keyword in the context of the extended posi on structure. The
system can match the posi on currency for an instrument with the currency list, on
which the currency lending valua on rule is based, and return the appropriate
lending coefficient.

Book Defines how to compute the book value of a posi on. Typically, book value rules
valua on define the book value to be the higher of the cost price or the market price, or the
rule amor sed value of the cost price.

By associa ng a computa on rule with a maximum constraint, you can create a

book valua on rule such as "market price, but maximum par value".

Book valua on rules apply to instrument lists.

Theore cal Defines how to compute the theore cal value of a posi on. Typically, a theore cal
valua on valua on rule is first defined and then set in the AA_DEF_VAL_RULE system
rule parameter. If the instrument valua on rule is set to Theore cal (and the user is
licensed to use the Advanced Analy cs Module), the posi on in the instrument is
valued according to the valua on rule defini on (usually based on AA keywords).

You can also use keywords such as INSTR_PRICE which returns the instrument
price and BENCH_RETURN, BENCH_WEIGHT, which return the instrument
return and weights in strategies. The instrument price is also used in the Return,
Performance, and Check Strategy func ons.

P&L rule Lets you override the default profit and loss generated by the Fusion process. You
can define a P&L rule at the por olio or por olio Posi on Set (PPS) level. P&L rules
work with classifica ons on the Extended Posi on structure. First, the profit and
loss is normally generated by the fusion. Secondly, the default profit and losses are
reclassified using P&L rules. In this context, you can define your own profit and loss
counters (Balance Posi on Types) in the Valua on Rule Element en ty (refer to the
WealthSuite Front Office - Por olio Management - Opera ons, Posi ons, and
Fusions Reference Guide).

Useful Extended Posi on fields that can be used to reclassify P&L Balance
Posi ons:

bal_pos_type_id.nature_e: Can be used to find out if the Balance Posi on

is a Capital Profit (2), Capital Loss (3), Currency Profit (13) or Currency Loss (14).

init_ext_pos_id: Points to the ini al posi on that generates a profit and loss.

open_oper_id: Points to the final posi on that generates the profit and loss (it
is associated with the opera on that generates the profit and loss).

The Valua on func on first computes the price and exchange rate of a posi on before compu ng lending coefficients and book values.

Administra on of valua on rules

The defini on of a valua on rule comprises the following en es:

Valua on rule
Valua on rule history
Valua on rule elements

This sec on describes the relevant a ributes of these en es.

Valua on rule

Field Descrip on

Name Name of the valua on rule.

Denomina on Denomina on (descrip on). Although op onal, this is very useful when you are
dealing with a lot of valua on rules.

Cross Only used in the Exch. valua on rule screen. Enter the intermediary cross-rate
Currency currency.

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Field Descrip on

Date Priority

Only used in the Quote and Exchange valua on rule screens. Select the Date
Priority checkbox if you require "Precedence", clear it for "No precedence". If
you select Precedence, priority is given to the most recent prices, even if the
quality of the price is not of rank 1.

This means that the Valua on func on first examines the most recent prices;
i.e., for day D-1, it looks at the ranks of the valua on rule elements. If it does
not find a price, it looks through the prices of day D-2, rank a er rank. This
process con nues un l an appropriate price is found. See tables below for the
ranking.

Day Val rule element rank

D-1 rank 1

rank 2

rank n

D-2 rank 1

rank 2

rank n

D-n rank 1

rank 2

rank n

If you clear the Date Priority checkbox (No precedence), priority is given to the
price with the highest rank, even if it is not recent. This means that the
Valua on func on first looks for the prices with the highest rank, that is, rank 1,
for the first day, then repeats the process for the preceding day, and so on. If it
does not find a price, it goes through the prices with rank 2, day by day. This
process con nues un l an appropriate price is found.

Val rule element rank Day

Rank 1 D-1

D-2

D-3

Rank 3 D-2

D-2

D-3

Rank n D-n

D-2

D-3

Valua on rule history

You can create one or more valua on rule histories for each valua on rule. This lets you keep track of historical valua on rules that can be reused in a valua on for a past date.

Each valua on rule history is based on a classifica on. The valua on rule elements are based on the lists, which make up this classifica on.

For the different natures of valua on rules, you can use classifica ons based on the following en es:

Valua on rule nature Classifica on en ty

Quote Valua on Rule Instrument, Ext_pos

Exchange Valua on Rule Currency

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Instrument Lending Ext_pos

Currency Lending Currency

Book Valua on Rule Instrument

Theore cal Valua on Rule Instrument, Ext_pos

P&L Rule Ext_Pos

Valua on rule elements

Each valua on rule element applies to a list of the classifica on on which the valua on rule is based. Note the following:

When you create a Valua on Rule, all the lists specified in the Valua on Rule elements must belong to the classifica on you specified in the valua on rule history.
All the lists in the classifica on must be referenced in at least one element.
It is possible to define more than one valua on rule element per list. These must be dis nguished by different ranks. The rank defines the order in which the valua on rule elements are evaluated (see
descrip on of the a ribute Date Priority in sec on Valua on rule).
Except for valua on rules with the Theore cal valua on rule nature, it is very important to create the OTHER list so that all the data (instrument, ext_pos and currency) can be classified by default. In this case,
the Valua on Rule field (in the Valua on Rule Element) is set to <None>. This means that the valua on rule defined at instrument level is used.

The other a ributes depend on the valua on rule's nature.

The following sec ons describe the relevant fields of various Valua on Rule Element screens:

Quote Valua on Rule element

Exchange Rate Valua on Rule element
Instrument Lending Valua on Rule element
Currency Lending Valua on Rule element
Book Valua on Rule element
Theore cal Valua on Rule element
P&L Valua on Rule element
Quote Valua on Rule element
The list below describes the relevant fields:

Field Descrip on

Type Indicates the type of instrument price specified in the rule element. If no type is
specified, the system retrieves the best price with type = NULL. If not found, it selects
the best price with the first type on the list.

Note: If the price type has a rank of zero, prices with this type are never selected as
the best price.

Market Indicates the market of instrument price specified in the rule element. If no market is
specified, the system only looks for the best price with market = NULL.

Provider The provider of the instrument price specified in the rule element. If no provider is
specified, the system only looks for the best price with provider = NULL.

Currency The currency of instrument price specified in the rule element.

Rank Indicates the priority of the different rules for the same list within a valua on rule
history. The lower the rank, the higher the priority (see descrip on of the a ribute
Date Priority in sec on Valua on rule).

Valua on Defines the Valua on Rule to apply to the instrument. If you choose the valua on
Rule rule Linear Valua on, you can use a script defini on. The script defini on is based on
the en ty specified in the Script En ty field. In this case, the value can be either
Instrument or Extended Posi on.

Price When the market is not specified, determines if the system uses the default market
Market specified at the instrument level, or any market.
Rule

Price When the provider is not specified, determines if the system uses the default
Provider provider specified at the instrument level, or any provider.
Rule

Price When the currency is not specified, determines if the system uses the posi on
Currency currency, the instrument reference currency or any currency.
Rule

With the Price Market Rule, Price Provider Rule and Price Currency Rule fields, you must take care not to reference empty fields. For example, if these rules are set to "Instrument" and no value exists at the instrument level for the a ribute, the
system returns a zero price.
Exchange Rate Valua on Rule element
The a ributes or fields you can complete in an Exchange Rate retrieval rule element screen are as follows:

Field Descrip on

Currency Currency to which the rule applies.

Type The type of exchange rate specified in the rule element.

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Field Descrip on

Market The market of exchange rate specified in the rule element.

Provider Indicates the provider of the exchange rate specified in the rule element.

Rank Indicates the priority of each rule.

At the valua on rule level, you can define a cross currency which is the currency used for compu ng cross rates.
Instrument Lending Valua on Rule element
The following a ributes or fields apply to an instrument lending rule:

Field Descrip on

Coefficient Specifies the lending coefficient in decimal format.

Defini on Defines more complex rules and their associated lending coefficient.

Currency Lending Valua on Rule element

The following a ributes or fields apply to a currency lending valua on rule:

Field Descrip on

Coefficient Specifies the lending coefficient in decimal format.

Defini on Defines more complex rules and their associated lending coefficient.

Book Valua on Rule element

The following a ributes or fields apply to a book valua on rule:

Field Descrip on

Valua on The book computa on rule to be applied to the instrument.

Rule

Maximum The computa on rules that can be associated with the main book computa on
Constraint rule.

Book Pre- Determines if a pre-adjustment of the book value must be automa cally
Adjustment performed for the instrument belonging to the list of elements.
Flag

Theore cal Valua on Rule element

The theore cal valua on rule element is very similar to the Quote valua on rule element. In so far as differences exist, the relevant fields are:

Field Descrip on

List Defines the instrument or extended posi on list to which the rule applies.

Valua on Can only be Valued using script. The associated script defini on can be based either
Rule on the Instrument or the Extended Posi on en ty, as specified in the Script En ty
field.

P&L Valua on Rule element

Field Descrip on

List Defines the extended posi on list to which the rule applies.

BP Type Defines the P&L Balance Posi on Type associated with the rule.

Referencing and using valua on rules

Valua on rules can be referenced in the following en es and screens:

Valua on rule En ty or screen

Por olio Por olio Posi on Set Domain

Quote Yes Yes Yes

Exch. Yes Yes Yes

Instr. Lending Yes No No

Curr. Lending Yes No No

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Valua on rule En ty or screen

Book Yes Yes No

Theore cal No No No

P&L Yes Yes No

Except when used in a keyword, the valua on rules apply in the following order of priority:

1. Valua on rule of the domain.

2. Valua on rule of the por olio/por olio posi on set if 1) is not supplied.
3. Valua on rule of system parameter, if neither 1) nor 2) is supplied.

Note: The construc on of the pos_val structure does not take account of the exchange valua on rule defined in the por olio or por olio posi on set. Consequently, it is recommended to specify the exchange valua on rule in the domain.
Note, however, that the quote valua on rule specified in the por olio or por olio posi on set is taken into account.

Keywords
The following table shows the keywords in which valua on rules can be used:

Valua on rule Keywords

Quote Valua on Rule INSTR_PRICE

BENCH_RETURN

BENCH_WEIGHT

Exchange Valua on Rule EXCH_RATE

BENCH_RETURN

BENCH_WEIGHT

Instrument Lending Rule INSTR_PRICE

Currency Lending Rule EXCH_RATE

System parameters
The following system parameters are used by valua on rules:

System Parameter Descrip on

PRICE_VAL_PERIOD Indicates the number of days that a price is deemed valid.

EXCH_RATE_VAL_PERIOD Indicates the number of days that an exchange rate is

deemed valid.

PRICE_DATE_PRIORITY_FLAG 1 = date has priority; 0 = no date priority.

EXCH_RATE_DATE_PRIORITY_FLAG 1 = date has priority; 0 = no date priority.

PRICE_SEL_ORDER You can specify the order in which prices are selected if the
applica on system parameters are used: B = business en ty
(mul -en ty func onality only), C = currency, M = market, T
= price type, P = provider, and F = term type.

Example: BCMTPF

EXCH_RATE_SEL_ORDER The user can specify the order that must be used to select
exchange rates if the applica on system parameters are
used: B = business en ty (mul -en ty func onality only), M
= market, T = price type, and P = provider.

Example: BMTP

Examples
Example 1: Linear valua on of Belgian and French cer ficates
Example 2: Theore cal valua on rule
Example 3: Lombard valua on

Example 1: Linear valua on of Belgian and French cer ficates

Problem descrip on
The following example shows how to perform a linear valua on (both Belgian and French types).

In some por olios (cash funds), all the Belgian cer ficates must be valued linearly if they are purchased in the last 6 months before expira on. Otherwise, they are valued "mark to market" (defined at instrument level). Therefore, we have 2
different types of posi ons according to their valua on method.

The formula to compute the linear price from the Buy price and the opera on date is:

Linear Price = Pe – ((Pe-Pb)*(Njr/Njt))

Where:

Pe= Expira on price (redemp on quote)

Pb= Buying price of the posi on

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Njr= Number of days un l expira on

Njt= Number of days of the linearisa on period depending on the opera on date(= expira on date – opera on date)

In France, the method is similar but easier. The linear valua on is applied to the whole posi on, based on the price in the instrument table (and not the price in the posi on table) over the last 3 months. This only applies to French TCN (Discount
Instrument nature). The yield is maintained constant un l expira on.

The general idea is to create a Valua on Rule element for each valua on method: an element for Belgian linear valua on, an element for French linear valua on and an element for the default method.

We must first define the lists we are going to use and group them together in a classifica on, because a valua on rule element is associated with a list of instruments.

Instrument and opera on setup

As the instrument lists will be constraint list, you must ensure that all instruments, to which the linear valua on should apply, can be iden fied by the system. This can be done by using the Type and Sub-type a ributes of the instrument. As a
linear valua on rule should be defined, select Month for the Linear Valua on Unit field and enter 6 (Belgium) or 3 (France) in the Linear Valua on Frequency field.

For Belgian cer ficates, when an opera on is created in a por olio in the 6 months before maturity, the Reference Nature of the opera on must be set to "Open". This way, the posi ons will not merge together as only the new posi on will be
valued linearly and the old posi ons remain marked to market.

Crea ng instrument lists

Create an instrument lists for the Belgian instrument and an instrument for the French instruments, which have to be valuated linearly. Create script defini ons based on the instrument a ributes. A possible script for the Belgian instruments is:

nature_e IN (2, 11) AND linear_val_unit_e=4 AND linear_val_freq_n=6

Crea ng instrument classifica on

Create an instrument classifica on, which contains the two lists defined above and an instrument list of nature "Others". Make sure that the "Others" lists has the highest value for priority.

More informa on on the crea on of lists and classifica on can be found in the WealthSuite Front Office - Por olio Management - User Guide.

Crea ng valua on rule, valua on rule history and valua on rule elements
Create a new valua on rule with the Quote valua on rule nature. Create a valua on rule history with a begin date in the past (before the first date, on which you want to use the valua on rule in the business func ons) and reference you
instrument classifica on in the history. For this history, create three valua on rule elements, one for each list of your classifica on, as follows:

A ribute / Val Rule Elem. 1 2 3

List "French List" "Belgian List" "Others" list

En ty Instrument Instrument Instrument

Script en ty Instrument Extended posi on Instrument

Rank 1 2 3

Valua on Rule Script (lin. Val) Script (lin. Val) None

Price Market Rule Instrument Instrument Any

Price Provider Rule Instrument Instrument Any

Price Currency Rule Posi on ccy Posi on ccy Any

For the "Others" list, the valua on rule must be set to None, such that Front Office - PM uses the method defined at the instrument level.

Enter the following script defini on for the "French List":

Script defini on Comment

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IF Set the
condi on
(DATEDIFF(DOMAIN().calc_from_d, that the
end_d,MONTH,accrual_rule_e) <=3, date of the
domain
must fall in
the last 3
months
QUOTE_TO_PRICE(id, before
expira on
INSTR_PRICE (computed
according to
(id,DATEADD(end_d,MONTH,-3),0,0,0,0,,,,,) the Accrual
Rule of the
instrument),
.quote_n,

DOMAIN().calc_from_d,price_calc_rule_e,,,)
then the
price is
, computed,
INSTR_PRICE(id,DOMAIN().calc_from_d,0,0,0,0,,,,,).price_n
based on
) the quote 3
months
before
expira on
at the Ini al
Date of the
domain
according to
the price
calcula on
rule in the
instrument,

else
perform
valua on
using the
current
price in the
instrument.

Enter the following script defini on for the "Belgian List":

Script Defini on Comment

IF We set the condi on that

the posi on is ‘open’ and
(ref_nat_e=1 AND was created in the last 6
months before expira on
DATEDIFF(operation_d, instr_id.end_d, (computed according to the
Accrual Rule of the
MONTH, instr_id.accrual_rule_e) <= 6,
instrument),

QUOTE_TO_PRICE(instr_id,quote_n,
DOMAIN().calc_from_d,instr_id. then the price is computed
price_calc_rule_e,,,), from the buying quote in the
opera on,

at the Ini al Date of the

domain according to the
INSTR_PRICE(instr_id,DOMAIN(). price calcula on rule in the
calc_from_d,0,0,0,0,,,,,,,,,).price_n instrument,

)
else perform valua on with
the current price in the
instrument.

Now the valua on rule is ready to use. You can link it to a por olio or set it in the domain.

Example 2: Theore cal valua on rule

The Advanced Analy cs Module (AdAM) of Front Office - PM is a set of func ons, which allow calcula ng theore cal prices of instruments. As an example of a theore cal valua on rule, PCK_RI_VAL_RULE comes pre-packaged with the
system. This rule can be referenced in the system parameter AA_DEF_VAL_RULE as default valua on rule and will then be used for all instruments with valua on rule "Theore cal" defined in their master data.

This sec on explains the defini on of this rule to facilitate the adapta ons, which might be done by the bank.

The table below summarises the script defini ons for all the PCK_RI_* lists.

PCK_RI list code PCK_RI list defini on

PCK_RI_DF_BOND_LIST nature_e IN (2,5,10,11,21)

(bonds and similar instruments)

PCK_RI_CRR_CONV_LIST nature_e = 19

(conver ble bonds)

PCK_RI_DF_FUT_LIST (nature_e IN (6,7)) AND

(futures and forwards on bonds, (GET_TERM_EVENT(id,IF(DOMAIN().calc_from_d <> NULL,

deliverables or currencies) DOMAIN().calc_from_d,

SYSDATE())).underly_instr_id.nature_e IN (2,4,15))

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5/21/2019 Business Functions User Guide

PCK_RI list code PCK_RI list defini on

PCK_RI_CC_FUT_LIST (nature_e IN (6,7)) AND

(GET_TERM_EVENT(id,IF(DOMAIN().calc_from_d <> NULL,
(futures and forwards on stocks DOMAIN().calc_from_d,
or indices)
SYSDATE())).underly_instr_id.nature_e IN (1,8))

PCK_RI_BS_OPT_LIST ((def_model_e = 2) OR

(op ons on bonds, currencies, ((def_model_e = 0) AND

futures or forwards, and exo c (GET_APPL_PARAM("OPT_PRICING_MODEL") = "2")))
op ons)
AND (((nature_e=3) AND

(GET_TERM_EVENT(id,SYSDATE()).underly_instr_id.nature_e
IN (1,2,4,6,7,8))) OR nature_e=22)

PCK_RI_CRR_OPT_LIST (nature_e IN (3)) AND

(op ons on stocks or indices) ((def_model_e = 1) OR

((def_model_e = 0) AND
(GET_APPL_PARAM("OPT_PRICING_MODEL") = "1")))

AND
(GET_TERM_EVENT(id,SYSDATE()).underly_instr_id.nature_e
IN (1,8,4))

PCK_RI_DF_FRA_LIST nature_e = 19

(forward rate agreements, FRA)

PCK_RI_DF_FLOW_LIST nature_e=25

(flow instruments)

PCK_RI_OTHER_LIST <none>, list of nature "Other"

All these lists form the classifica on PCK_RI_CLASSIF, on which the valua on rule is based.

In the valua on rule elements, a script defini on is assigned to each list. These script defini ons are based on the AA_ keywords. For example, the op ons of the PCK_RI_BS_OPT_LIST are valuated by using the Black-Scholes model, which
the op ons of the PCK_RI_CRR_OPT_LIST are valuated by using the Cox, Ross and Rubinstein model.

Example 3: Lombard valua on

The valua on rules of natures "Instrument lending" and "Currency lending" allow the defini on of lending coefficients, which then can be used for calcula ng the Lombard value of a por olio within the Valua on business func on.

As the instrument lending rules are based on classifica on of extended posi ons, you can use all a ributes of ext_pos for their script defini on. For example, you can have separate lists for long op on posi ons and short op on posi ons by
crea ng script defini ons:

instr_id.nature_e = 3 AND quan ty_n > 0 for long op ons and

instr_id.nature_e = 3 AND quan ty_n < 0 for short op on posi ons

When defining the valua on rule elements, you can assign a lending coefficient to each list of the classifica on. Front Office - PM even allows defining mul ple lending coefficient for the same list by using the lending coefficient's nature, for
addressing different types of lending (e.g., lending to buy securi es, for house mortgages, for consumer credits).

Currency lending rules are based on currency classifica ons. This allows adding an addi onal factor when posi ons are held in a foreign currency.

Lending rules cannot be set in the domain of the valua on func on. They must be linked to the por olio, for which they are valid.

The lending coefficients can then be retrieved in format elements by using the keywords INSTR_PRICE and EXCH_RATE. For example,

INSTR_PRICE( instr_id , DOMAIN( ).calc_from_d,0 ,0 ,0 ,0 , , , ,,,,portfolio_id.instr_lend_val_rule_id.code,0).val_rule_coeff_value_n

returns the value of the lending coefficient of nature 0 for the current posi on from the instrument lending valua on rule, which is linked to the por olio, and

EXCH_RATE(pos_currency_id, DOMAIN( ).calc_from_d, DOMAIN( ).currency_id, 0, 0, 0 , , , , ,portfolio_id.curr_lend_val_rule_id.code ,0

).val_rule_coeff_value_n

returns the value of the lending coefficient of nature 0 for the posi on currency from the currency lending valua on rule, which is linked to the por olio.

The amount in reference currency, which can be lent against a posi on, can then be calculated as

pos_val_id.ref_mkt_val_m * @val_rule_coeff * @curr_lend_coeff

where @val_rule_coeff and @curr_lend_coeff reference the format elements, which contain the above script defini ons.

The keywords VAL_RULE_ELEM and VAL_RULE_HIST can help you to check your implementa on. For example

VAL_RULE_ELEM(VAL_RULE_HIST(portfolio_id.instr_lend_val_rule_id.code, DOMAIN().calc_from_d).id, instr_id).code

returns the valua on rule element of the por olio's instrument lending rule, which is used for the current posi on, and

VAL_RULE_ELEM(VAL_RULE_HIST(portfolio_id.curr_lend_val_rule_id.code, DOMAIN().calc_from_d).id, , pos_currency_id).code

returns the valua on rule element of the por olio's currency lending rule, which is used for the current posi on.

Published on: 22/04/2019

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