a real-time fully integrated treasury trading · pdf filea real-time fully integrated treasury...

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

Email

Consultant Reference

https://app.risk�ow.net/?ref=