a real-time fully integrated treasury trading · pdf filea real-time fully integrated treasury...
TRANSCRIPT
w w w . r i s k � o w . c o m
www.risk�ow.com
www.risk�ow.com
A real-time FULLY INTEGRATED treasury trading SYSTEM
OVERVIEW
fmbTrade is a real-time fully integrated treasury trading system that segregates the FRONT,
MIDDLE, and BACK OFFICE on security access levels. It provides total accounting �exibility in
line with latest Basel requirements with special reference to operational, liquidity, market,
interest and exchange risk issues on an operational level.
fmbTrade is a treasury specialist sub-system developed to cater for the �nancial instruments
dealers encounter in the treasury environment and provides a unique combination, catering for
account based instruments such as call and term accounts and transaction based instruments
such as buying and selling bonds, treasury bills and FX transactions.
fmbTrade is developed around its own database which has to host details regarding the dealers,
counterparties, treasury instruments, portfolios, limits etc. This provides the ideal scenario where
the front, middle and back o�ce can always access the same data - it is integrated. A deal
captured in the front o�ce is immediately visible in the middle and back o�ce. A limit or
restriction imposed in the middle o�ce has an immediate impact on the front o�ce and at the
same time the back o�ce is noti�ed on the settlement and con�rmation details. It is a real-time
system: there are no time delays. All positions and limits are updated immediately. fmbTrade
can interface with other systems available in the market to still create a straight-through process.
For instance, when an FX deal is captured on systems like Reuters or City Dealer, portfolios and
exposure limits are immediately updated via fmbTrade. Likewise, it is updated by the core
operational system catering for administration and general ledger functions. fmbTrade has its
own sub ledger system that provides real-time update of the trial balance. (See diagram below for more
details).
FRONT OFFICE
Deal Negotiation Verify Counter Party
Financial Database
Real-time Positions
MIDDLE OFFICE
Risk Control
FINANCIAL MODELLING & SIMULATION
(Cube���)
Verify Limits Capture Deal
Con�rm Deal
Settlement Limit
Revaluation
MonitorLimits
MeasurePro�t & Loss
Limits Utilised � Credit � Settlement � Instrument
Set Limits � Credit � Dealer � Instrument � Operational
Settle Deal
Maintain Contract
Mature Contract
BACK
OFF
ICE
fmbTrade is in e�ect the rebranding of Risk�ow's TASMAN system, which has been available to
the market since 1992. It is a stable and reliable system which has been given a facelift
celebrating its conversion to a multi-country and group treasury exposure system.
FRONT, MIDDEL AND BACK OFFICE treasury trading system
fmbTrade is a fully integrated system that segregates the FRONT, MIDDLE, and BACK OFFICE on
security access levels. fmbTrade provides accounting �exibility.
fmbTrade does a clear segregation of the front, middle and back o�ce functions where the:
FRONT OFFICE refers to the deal capturing, position keeping and the cash management
function.
MIDDLE OFFICE includes control, audit, pro�t and loss, risk and limit management.
BACK OFFICE refers to con�rmations, settlements, statements, regulatory reports and other
administrative procedures.
fmbTrade has been developed and designed from day one to be client/server and make use of
the latest GUI functionality such as Windows connectivity products.
fmbTrade is written in PROGRESS, which is a full graphical client/server-programming tool on its
own relational database. The FRONT, MIDDLE and BACK OFFICES are totally integrated and can
be fully linked to other applications such as Risk�ow's Cube��� (Balance Sheet Management), + +Risk�ow's Basel (Basel Compliance and Management Decision making Tool), as well as word
processing, spreadsheets and Management Information Systems.
Interest Rate Comparison Calculator
FRONT OFFICE (Dealer) Section
The FRONT OFFICE section of the system, which is only accessible to the dealers through the
security set-up procedure, allows the dealers to:
Provide customer service through on-line account enquiries, updating, and rate changes.
Support paperless trading. There is no need to �ll in dealing slips and deals will be directly
captured onscreen for veri�cation by the BACK OFFICE.
Deal with the latest real-time information (including on-line pro�t/loss) with no end of day
runs.
Be more productive. It is user friendly, designed by users
Do full cash management activities on all bank accounts with system generated entries
such as maturities and also allowing for manual updates of cash transactions outside the
system.
Use dealing analytic tools such as price calculations, break-even analysis, calendar and carry
transaction calculators.
Produce pro�t and loss reporting.
BACK OFFICE (Administration) Section
The BACK OFFICE module of fmbTrade handles con�rmations, settlements, statements, journal
entries, regulatory information reports, and other administrative procedures.
The back o�ce module includes an action �ags function that signals pending events such as
deposits maturing, payments that are due, cheques to be printed, interest payments etc.
Reporting capabilities allow you to have up to date, on demand reports. Con�rmation
correspondence is automatically generated and can be processed as required.
A Trial Balance is updated automatically as transactions get processed. Detail journals are kept
and can be exported to a company wide GL system.
Detail information is kept on transactions and can be aggregated and exported to Risk�ow's +Cube��� (Balance Sheet Management), Risk�ow's Basel (Basel Compliance and Management
Decision making Tool).
fmbTrade keeps track of all scrip and securities that accompanies transactions. It allows you to
group scrip in parcels and also to split a security in more tradable denominations. There are
various inventory reports to track your own securities as well as securities in safe custody.
The necessary information to complete your regulatory reports like month-end and average
balances is available and aggregated under various time buckets and exposure categories.
In the BACK OFFICE MODULE you set up all environmental details in preparation for dealing
activities. These details include:
Portfolio breakdowns
Counter party information
Settlement account details
Dealer speci�cations
Brokers details
Instrument in which you deal
Public holidays
Currencies
Rates and
General organisation information
The System Supervisor's role is executed through
the Administration module. Users are granted access to speci�c
activities in a module. Access to setting user access levels is granted to your organisation's
System Supervisor only a trial balance facility and will post entries to your General Ledger daily,
weekly or monthly.
General Ledger Entry Transactions include:
Detail transactions
Detail bank transactions
Consolidated transactions
Export to general ledger system
Remove old general ledger transactions
General ledger balance report
MIDDLE OFFICE (Risk Control) Section
The middle o�ce section is the management and control section. Except for the de�ning of
limits the middle o�ce can view everything in the system, but is not allowed to enter any deals
or do any of the administrative actions. Middle o�ce can do the following:
Online, real-time information
Comprehensive limit monitoring/reporting
Bond Calculator
Enforces limit, i.e. Dealers cannot breach limit prescribed by middle-o�ce
Revaluation with rate feed from Reuter
What-if analysis
Dealers/products/portfolio/aggregate pro�tability
Transfer pricing to adjust pro�tability for funding cost
Comprehensive operational controls, e.g. Rate/date deviation, audit trails
Unique Features
The unique features of fmbTrade include the following:
Building interfaces such as to Reuters, general ledgers, Cube360 and Basel+ in response to
user needs
Excellent internal controls e.g. Audit trails, segregation of front and back o�ce, and
custodian and bank script
Cash management facility
Open systems technologies
Report builders
Cash Flow Management Monitor
Real-time update of all limits
Counter party details including statements for the receiver of revenue
Exposure evaluation which instantaneously
Revalue FX positions
Revalue bond positions
Revalue discount instruments
Calculates interest to date on all instruments
Displays the e�ect of changes in interest rates
Updates cash position by currency
Separates settlement from dealing operation
Imposes constraints on user and dealer accessibilities
IFRS calculations � Fair value calculations
Functional RequirementsDeal Capturing and recording
fmbTrade covers activities in the money market, capital market, derivative market and foreign
exchange market.
fmbTrade caters for the following instrument categories:
Transaction & Accrual Based Instruments
Instument Types
Fixed Despoists | Saving Accounts | Overnight Deposits |Call | Current Account | Loans
Call Deposits | Call Investments | Term Deposits | Term Investments | Notice Deposits | Notice Investments
Multi Currency Interest Calculations: Days/365, Days/360, Coupons Rates: Discretionary, Linked, Tier etc... Commission/Brokerage Various Interest Frequencies Time structures Daily Position Statements Withholding Tax Calculations Con�rmation letters By Transaction Journals By Transactions Interdivisional Transfers
Examples
Features
Contract Based Instruments
Secured Instrument
Instument Types
Instument Types
Discount (Primary) | Discount (Secondary) | Yield (Primary) | Yield (Secondary) | Bond Issues
Repo | Reverse Repo | Secured Investments
Examples
Examples
Features
Features
Discount Basis & Yield Basis Coupon Investments Integrated Scrip Management Revaluations on Yield Curves Multi Currency Interest Calculations: Days/365, Days/360, Coupons Commission/Brokerage Daily Position Statements Withholding Tax Calculations Con�rmation Letters By Transaction Journals By Transaction
Bankers Acceptances | Promissory Notes | Commercial | Paper | Treasury Bills | NCD's & Corporate Bonds
Based on Discount or Yield Instruments Multi Currency Interest Calculations: Days/365, Days/360, Coupons Collateral Instruments Commission/Brokerage Integrated Scrip Management Daily Position Statements Withholding Tax Calculations Con�rmation Letters By Transaction Journals By Transaction
Repurchase Agreements | Secured Investments | Collateral Lending
Derivatives
Bonds
Instument TypesBonds Trading | Carries | Index Linked Bonds | JSE Compliant | Floating Rate Bonds
Examples
Features
Discount Basis & Yield Basis Coupon Investments Integrated Scrip Management Revaluations on Yield Curves Multi Currency Interest Calculations: Days/365,
Days/360, Coupons Commission/Brokerage
Government Bonds | Corporate Bonds & Carries
Instument TypesInterest Rate Swaps
Examples
Features Multi Currency Interest Calculations: Days/365,
Days/360/ Coupons Rates: Discretionary, Linked, Tier etc... Commission/Brokerage Various Interest Frequencies Time structures Daily Position Statements
Interest Rate Swaps | Future Rate Agreements
Instument TypesSpot Transactions | Forwards | FX Swaps | FX Extensions/Drawdowns/Surrenders
Examples
Features
Spot | Forward | Swap | Options
Based on Discount or Yield Instruments Multi Currency Interest Calculations: Days/365, Days/360, Coupons Collateral Instruments Commission/Brokerage Integrated Scrip Management Daily Position Statements Withholding Tax Calculations Con�rmation Letters By Transaction Journals By Transaction
Exchange
Cash Management
fmbTrade has an integrated cash management component that allows the user to create cash
�ow reports specifying the cash �ow per account, currency, speci�c date or period into the
future for all transactions captured in the system as well as user de�ned external cash �ow
transactions that may have an impact.
fmbTrade allows the user to drill down for transaction detail making up the consolidated
information.
Select Date or time period
Details Drill Down
Manual cash �ow adjustments
MS Excel Analysis
Record all system �ows pernostro account or currency
Cash Flow Management Monitor
Cash Flow Monitor - Drilling down for more detail
Risk Management
Online, real-time information
Comprehensive limit monitoring/reporting
Enforces limit, i.e. Dealers cannot breach limit prescribed by middle-o�ce
Revaluation with rate feed from Reuter
What-if analysis
Dealers/products/portfolio/aggregate pro�tability
Transfer pricing to adjust pro�tability for funding cost
Comprehensive operational controls, e.g. Rate/date deviation, audit trails
Reporting
There are many standard reports from fmbTrade. There is also an end-user report writer,
RESULTS, available for users to design their own reports and queries. All Reports can be exported
to Excel or Text format.
Other Requirements
Real time application:
fmbTrade o�ers a fully integrated, online, real-time, multi-currency treasury system, that covers
the Money, Repo, Capital (Bonds), Forex, Equity and Derivatives Markets with a linked facility to 360 +Cube and Basel .
Straight Through Processing:
fmbTrade supports Straight Through Processing, Front to Back. (Also see process diagram on page 2.)
Internal and External Integration:
fmbTrade provides accounting �exibility and Risk�ow has experience integrating fmbTrade
clients to 15 di�erent accounting packages. Risk�ow has the skills to integrate fmbTrade to any
other system as required.
+fmbTrade already provides for Cube��� and Basel codes to link instruments and position with +the Cube��� and Basel systems.
Access Controls:
Segregation of the FONT, MIDDLE and BACK OFFICE is access controlled and with in each
segregated module, user access is de�ned per activity, see screen shot below.
Regulatory Compliance
fmbTrade already conforms to a number of regulatory requirements such as AC133 fair value
calculations, mark-to-market and will have no problem to comply with IFRS7 Financial
Instruments disclosures.
Administration
Risk�ow provides all the necessary services in the form of a help desk, internet support, manuals
and training to ensure the successful implementation and running of its systems. See attached
Appendix A: Index Manual- Dealing Module, Appendix B: Index Manual- Administration Module,
Appendix C: Index Manual- Risk Module
Technical
System Architecture
fmbTrade is a client-server system. The database would reside on a server computer that may be
running Microsoft NT, or any one of a number of di�erent versions of Unix.
The network protocol used is TCP/IP. See diagram below for technical architecture diagram.
Desktop machines (Client workstations): should have the following minimum speci�cations
De�ning Security Access
Operating system (OS) � Preferably Windows XP Professional, Windows 2000 (works with
Windows 98, Windows NT)
Hard disk drive (HDD) space required is less than 1Gb (Approx. 400Mb for Progress if
con�guration is used where Progress is not centralised on server).
Central process Unit (CPU) � Pentium II, preferably III or higher
Read access memory (RAM) � 128 Mb minimum (preferably not less than 256 Mb)
The server machine: should have the following minimum speci�cations;
Pentium IV Server with at least 10Gb HDD (Approx. 400 Mb for Progress; 100 Mb provision
for fmbTrade and database)
Minimum 256 Mb RAM
OS � Windows 2000 (Service pack 4); Windows 2003 Small Business Server or Windows NT
Server
Technical Architecture
Database and Development Environment
Risk�ow uses the Progress 4GL development language and the Progress Relational Database
management system for the development of fmbTrade.
Progress (the Company)
The Progress Company is a global supplier of software products and services for developing,
deploying, integrating and managing software and e-business solutions. The company's
extensive partner base includes more than 2,000 Independent Software Vendors (ISVs) and
Application Service Providers (ASPs) who supply more than $5 billion in Progress-based
applications and services annually. Over 40,000 organizations across 100 countries � including
70% of the Fortune 100 � rely on Progress technology.
Progress 4GL Development Language
A powerful, high-level Fourth-Generation development language to create mission-critical
applications to meet business needs.
Product Highlights
Reduces complexity by providing a single language for developing an entire application
including user interface, business logic and data I/O statements
Enhances developer productivity by reducing the learning curve and maintenance
requirements through an easy to learn, English-like syntax Helps lower server deployment
costs and provides greater �exibility through portable code generation
Supports the development of graphical and character interfaces while maintaining the
integrity of a single set of source code to ease administration
Reduces programming e�ort by including automatic transaction control and record locking
Includes a powerful batch processing capability for server-based application development
Supports object-oriented, event-driven, and structured programming paradigms
Open to DDE, DLL and 'C' subroutines to easily add interoperability
Supports international character sets for localization to take advantage of dynamic
emerging markets
Progress Relational Database Management System
Applications must perform in complex, enterprise and Web-centric computing environments
that demand a highly scalable and open relational database management system (RDBMS).
The Progress® RDBMS is a high-performance, relational database that scales from single-user
Windows® desktop systems to massive symmetric multiprocessing (SMP) and cache coherent
non-uniform memory (ccNUMA) UNIX® systems, supporting thousands of concurrent users.
The Progress RDBMS o�ers many characteristics that are essential to both application
developers and IT departments, such as:
The industry's lowest cost of ownership
High availability and absolute reliability
Support for mission-critical transaction processing
Unmatched performance
Broad platform support
Open interfaces for integration with other tools and applications
Leverage the Bene�ts of the No 1 Embedded Database
The Progress RDBMS is the world's no1 embedded database, according to a Gartner
Group/Dataquest study. That means that more developers put Progress at the heart of their
applications than any other database.
One reason why is that Progress' ease of maintenance, superior reliability, and high availability
translate to the industry's lowest cost of ownership.
Industry analysts and customers have attested to the fact that Progress provides the lowest cost
of ownership of any relational database, year in and year out.
Scalable Database Presents No Upper Limits
The architecture of the Progress storage engine lets your applications take full advantage of the
power of your computing systems. With support for over 10,000 concurrent users and numerous
terabytes of data, it provides exceptional capacity for large-scale, High-performance computing.
As your organization grows, you can be assured that the Progress Enterprise RDBMS will meet
the challenge. Continuous development work on maximizing database performance and
scalability has enabled the RDBMS to demonstrate:
Perfect Linear Scalability with a real-world application and 5,000 concurrent database users,
maintaining �at sub-second response times.
The ability to handle virtually any transaction workload with record-breaking throughput of
600,000 transactions per minute (ATM).
Contingency and disaster recovery
fmbTrade Technical Features
Availability: A bullet-proof application with full error recovery (essential for mission critical
applications).
Productivity: An e�cient processing engine for rapid data handling in a full client/server
environment. fmbTrade prevents jobbing losses by maintaining proper and up-to-date
records.
Growth: A scaleable environment, which allows you to expand easily, from a PC-based
network system to UNIX midrange when needed.
Connectivity: A Windows environment with almost unlimited connectivity options essential
for systems integration and high-level management reporting.
Cost E�ectiveness: Hardware independence made possible by the use of the PROGRESS
RDBMS, and a low-cost operating environment made possible today by PC technology.
Backup: No need to maintain back up machines for disaster recovery purposes as any of the
user workstations will be able to run the full application (with reduced performance but no
loss of functionality).
Systems Control
fmbTrade makes ample provision for controls regarding the input and update of static data.
fmbTrade has a comprehensive audit trail function. Audit trails registered in the system can be
viewed using the Audit Trail Viewer. User can enter the two dates to specify the period for
retrieval of audit trail details.
Audit number generated by the system
User code
Transaction type refers to areas where changes were made, e.g. counterparty information
Date and time audit trail captured
Account number generated by the system
Sub account number (if applicable)
Counterparty code
Transaction amount (if a change a�ects a speci�c transaction)
Transaction date
There are four (4) audit trail reports available in fmbTrade:
Exceptions by User
Exceptions by Counterparty
Exceptions between dates
Exceptions by Accounts
Consultant
Contact Number
Consultant Reference
https://app.risk�ow.net/?ref=