Banking Back-Office Processing

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Banking Back-Office

Processing

Portfolio Management

Guide

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The names, places, and/or events used in this publication are not intended to correspond to any individual, group, or association existing, living or otherwise. Any similarity or likeness of the names, places and/or events with the names of any individual, living or otherwise, or that of any group or association is purely coincidental and unintentional.

NO WARRANTIES OF ANY NATURE ARE EXTENDED BY THIS DOCUMENT.

Any product and related material disclosed herein are only furnished pursuant and subject to the terms and conditions of a duly executed Program Product License or Agreement to purchase or lease equipment. The only warranties made by Unisys, if any, with respect to the products described in this document are set forth in such License or Agreement. Unisys cannot accept any financial or other responsibility that may be the result of your use of the information in this document or software material, including direct, indirect, special or

consequential damages.

You should be very careful to ensure that the use of this information and/or software material complies with the laws, rules, and regulations of the jurisdictions with respect to which it is used.

The information contained herein is subject to change without notice. Revisions may be issued to advise of such changes and/or additions.

All registered trademarks are acknowledged.

Correspondence regarding this publication should be forwarded to Unisys Corporation, Bakers Court, Bakers Road, Uxbridge, Middlesex, UB8 1RG, United Kingdom.

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About This Guide

Purpose

This guide describes the Client Portfolio module of the Unisys e-@ction Banking Back-Office

Processing product.

The information contained in this guide is also available as online help.

Scope

The guide describes the client portfolio functionality and the associated data entry screens.

Examples of the screens are shown and instructions for use are given.

Audience

This guide is for personnel preparing information for data entry.

Prerequisites

The audience should understand banking terminology. Users of this guide should have read the

Starter’s Guide that provides instruction in the use of the system.

How To Use This Guide

This guide should be used as a reference tool when preparing information for data entry. Use the

guide in conjunction with a copy of your Guide to Setting Up and the Core Functions and

Inquiries Guide. Refer to the On-Demand Reports Guide for instructions on how to select and run

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About This Guide

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About Urbis

The usage of the product name Urbis is due to be phased out as part of the Unisys re-branding

exercise. The replacement will be the generic term "Banking Back-Office Processing" solution or

"Banking Back-Office" for short. To provide continuity with existing product documentation, the

name Urbis is used within this document, but is synonymous with Banking Back-Office

Processing.

Organisation

This guide consists of three sections.

Section 1. Introduction to Portfolio Management

This section provides an introduction to the Portfolio Management module.

Section 2. Portfolio Management Screens

This section describes the screens associated with defining portfolios for your institution, your

institution's clients and third parties. Each of the associated screens is illustrated and a short

description is given.

Section 3. Definition of Field Names

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About This Guide

Related Product Information

Product Overview (3937 0234)

This document describes the capabilities and benefits of the modules of the Banking Back-Office

Processing system. It consists of an overview of the system, and a description of each of the

modules and interfaces available. It is intended for use by senior management.

Operations Reference Card (3937 0986)

This document is a single card that provides a list of screen names and their mnemonics. The list

is organised according to the menu structure of the Graphical User Interface. The card also

describes how to log on and off the system, enter data, make inquiries and print reports. These

instructions are relevant to the Graphical User Interface only.

Starter’s Guide (3937 0531)

This guide describes how to enter data and make online inquiries. It also includes a description

and example of commonly used data entry and inquiry screens. This guide is intended for all new

and inexperienced personnel who need to enter data and make inquiries.

Guide to Setting Up (3937 0945)

This guide describes how to set up parameters that govern the operating environment of the

system. It describes the procedures for setting up the business and operational tables, and setting

up usercodes and access security. The procedures for setting up blueprint parameters are provided

with a description of each parameter. It should be used by all persons involved in installation,

implementation and maintenance of these system parameters.

Core Functions and Inquiries Guide (3937 0952)

This guide describes the kernel functions that are used regularly for the maintenance of

information utilised by a number of modules. It describes the procedures for setting up and

maintaining data, such as market rates and dealers. It also describes inquiries that are common to

all contracts. This guide is relevant to all users.

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About This Guide

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Settlements Guide (3937 0366)

This guide describes the processes associated with settlements and customer transfers. It details

how to administer the settlement queues. This guide also describes how to use the Straight

Through Processing and Netting functions. It should be used by personnel managing the

settlements department.

General Ledger Administration Guide (3937 0457)

This guide describes the data entry screens associated with General Ledger transactions. This

should be used by personnel preparing information for data entry.

Risk Management Administration Guide (3937 0358)

This guide describes the data entry screens associated with setting up limits and exposures. The

guide also describes the screens associated with portfolios. The amounts that represent book and

market values are listed by module in an appendix. This guide is intended for personnel preparing

information for data entry and those concerned with controlling risk.

Commercial Loans Administration Guide (3937 0150)

This guide describes the data entry screens associated with Commercial Loan transactions. This

includes entry of commitments, various types of drawdown and contract schedules. An appendix

gives the calculations used in the processing of Commercial Loan transactions. This guide is

intended for personnel preparing information for data entry.

Foreign Exchange and Money Market Administration Guide (3937 0135)

This guide describes the data entry screens associated with Foreign Exchange and Money Market

transactions. An appendix gives the calculations used in the processing of Foreign Exchange and

Money Market transactions. This guide is intended for personnel preparing information for data

entry.

Forward Rate Agreements and Interest Rate Swaps Administration Guide (3937 0168)

This guide describes the data entry screens and some related inquiries associated with Forward

Rate Agreement and Interest Rate Swaps transactions. An appendix gives the calculations used in

the processing of Forward Rate Agreement and Interest Rate Swap transactions. This guide is

intended for personnel preparing information for data entry.

Futures Administration Guide (3937 0176)

This guide describes the data entry screens associated with Futures transactions and some related

inquiries. An appendix gives the calculations used in the processing of Futures transactions. This

guide is intended for personnel preparing information for data entry.

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About This Guide

Options Administration Guide (3937 0184)

This guide describes the data entry screens associated with Options transactions. An appendix

gives the calculations used in the processing of Options transactions. This guide is intended for

personnel preparing information for data entry.

Securities Administration Guide (3937 0341)

This guide describes the data entry screens associated with Interest Bearing Securities,

Discounted Securities and Repurchase Agreements transactions and some related inquiries. An

appendix gives the calculations used in the processing of Securities transactions. This guide is

intended for personnel preparing information for data entry.

Trade Finance Administration Guide (3937 0119)

This guide describes the data entry screens used by the Trade Finance department. This guide is

intended for personnel preparing information for data entry.

Generalised Fees Administration Guide (3937 0374)

This guide describes the data entry screens associated with Fee transactions and supporting

business table. This guide is intended for personnel preparing information for data entry.

Core On-Demand Reports (3937 0853)

This guide describes how to run online reports that are provided in the core of the Banking

Back-Office Processing system and which will be relevant to most implementations. Any options

available when producing a report are detailed as well as any specific calculations.

On-Demand Reports Guide (3937 0937)

This guide describes on-demand reports in alphabetical order. Any options available when

producing a report are detailed as well as any specific calculations. Note: core reports are

described in the Core Demand Reports Guide; retail reports are described in the Retail

On-Demand Reports Guide.

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About This Guide

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Guide to Interfaces with External Systems (3937 0911)

This guide describes the running of all the interfaces between your Banking Back-Office system

and external systems. This guide is intended for personnel involved in setting up and running

external interfaces.

Stock Exchange and Securities Management (3937 1000)

This guide describes how to set up and maintain the securities master file, allowing you to record

details of stock exchange securities. This guide also describes how to create, maintain and inquire

on contracts based on stock exchange securities, including the necessary static data.

Order Transport Management System (3937 1018)

This guide describes how to enter stock exchange securities contracts using the Order Transport

and Management System. The screens in this guide allow users to add, maintain and inquire on

deals, convert deals into stock exchange securities contracts, and liaise with brokers to complete

settlement of a deal. This guide is intended for personnel preparing information for data entry.

Loan Administration System Guide (3937 0994)

This guide describes the data entry screens associated with Syndicated Loans. It includes entry of

facilities, and contracts such as drawdowns, guarantees and acceptances and their schedules. The

screens in this guide allow users to enter data using workflows. This guide is intended for

personnel preparing information for data entry.

Static Database Reports Guide (3937 0085)

This guide provides examples of the master data information used in the establishment and

production of the static database. It should be used by persons who are familiarising themselves

with the systems functionality.

Static Database Transaction Input Guide (3937 0093)

This guide, in conjunction with the static database, enables users to evaluate the functions and

features of many of the modules. It should be used by persons who are familiarising themselves

with the systems functionality.

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About This Guide

... iii

Section 1 Introduction to Portfolio Management

Portfolio Prerequisites

...

1–2

Portfolio Types ...

1–2

Clients for Portfolios ...

1–2

Contract Types ...

1–3

Portfolio Templates

...

1–4

Defining Portfolios

...

1–4

Portfolio Hierarchies

...

1–4

Charges Applicable to Portfolios

...

1–6

Valuation Rules

...

1–7

Client Portfolio Valuation Inquiries

...

1–8

Bank Portfolio Inquiries

...

1–9

Linkage to MFT

...

1–9

Section 2 Portfolio Management Screens

Introduction to Portfolio Management Screens

...

2–1

Portfolio Type Maintenance (PFTM)

...

2–2

Portfolio Definition (PFDFM)

...

2–3

Portfolio Generation for Client (PFGCM)

...

2–5

Portfolio Tree Maintenance (PFTRM)

...

2–7

Portfolio Valuation Inquiry (PFVL1)

...

2–8

Portfolio Contract Valuation (PFVL2)

...

2–10

Portfolio Positions Valuation (PFVL3)

...

2–12

Bank Portfolio Components (PFALL)

...

2–14

Section 3 Definition of Field Names

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Figures

1–1 Example of Bank Portfolio Hierarchy ...

1–5

1–2 Valuation Rules Used During Valuation Inquiries ...

1–7

1–3 Inquiring on a Portfolio ...

1–8

2–1 Portfolio Type Maintenance screen ...

2–2

2–2 Portfolio Definition screen ...

2–4

2–3 Portfolio Generation for Client screen ...

2–6

2–4 Portfolio Tree Maintenance screen ...

2–7

2–5 Portfolio Valuation Inquiry screen ...

2–9

2–6 Portfolio Contract Valuation screen ...

2–11

2–7 Portfolio Positions Valuation screen ...

2–13

2–8

Bank Portfolio Components screen ...

2–15

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Figures

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Tables

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Tables

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Section 1 Introduction to Portfolio

Management

Portfolios are used to group together the assets and liabilities of the owner of the portfolio. The

information in the portfolio can then be used for management and tracking purposes, with a wide

range of inquiries available to view the data in the portfolio.

The following types of owner are allowed for portfolios:

• Bank

– the portfolio is owned by a section of your institution

• Client

– the portfolio is owned by a client of your institution

• Third Party

– the portfolio is owned by a third party who deals with your institution, for

example a broker

The following types of asset can be recorded in a portfolio:

• Contracts

– many of the banking contract types that are not yet matured can be included in a

portfolio as an asset. See "Contract Types" later in this section for a full list of the contract

types that can be included in a portfolio

• Stock Exchange Securities

– securities held in a portfolio, which have been traded using the

Stock Exchange Securities functionality. See the Stock Exchange and Securities

Administration Guide for more information

• Cash

- belonging to the owner of the portfolio. This information is taken from accounts held

at your institution

• Other Portfolios

– assets held under another portfolio that has been linked to a portfolio in a

hierarchy are counted as assets of the primary portfolio. This is only available for Bank

portfolios

Client and Third Party portfolios can have data extracted and passed to a third party asset

management tool called Investor Workstation and Global Performance. This software is produced

by Montclair Financial Technology (MFT). See "Linkage to MFT" later in this section for more

information.

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Introduction to Portfolio Management

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Portfolio Prerequisites

Before you can create portfolios, you must have set up the following information:

• Portfolio Types

• Clients for Portfolios

• Contract Types

Portfolio Types

Portfolio types are used to group together similar portfolios, and also to assign the basic

characteristics of a portfolio. The most important characteristic defined by the portfolio type is the

"Portfolio Category". This determines the type of owner of the portfolio and can be either:

• Bank – the portfolio is owned by a section of your institution

• Client – the portfolio is owned by a client of your institution

• Third Party – the portfolio is owned by a third party who deals with your institution, for

example a broker

There can be many portfolio types defined for a portfolio category, set up on the Portfolio Type

Maintenance (PFTM) screen, described in Section 2 of this guide.

The three portfolio types have slightly different functionality, including the following:

• Hierarchies – bank and client portfolios use different methods to create hierarchies. Third

party portfolios cannot have hierarchies established for them. See "Portfolio Hierarchies"

later in this section for more information

• Valuation Inquiries – bank and client portfolios use different screens to inquire on the assets

of a portfolio. See "Client Portfolio Valuation Inquiries" and "Bank Portfolio Inquiries" later

in this section for more information

Clients for Portfolios

Before a portfolio can be created, a client must have been set up to represent the owner, and

provide necessary basic details. If your institution is using the stock exchange securities

functionality, then a client must be set up to represent your institution before you create a

portfolio for your bank. This client can have limited details and no accounts.

See the "Creating a Client" in the Clients and Accounts Administration Guide for information on

creating and maintaining a client.

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Introduction to Portfolio Management

Contract Types

The following contract types can be viewed as an asset or liability in a portfolio:

• All Money Market (MM)

• All Futures (FU)

• All Options (OP)

• Forward Rate Agreement (FRAC)

• Interest Rate Swaps (SWPS)

• Foreign Exchange Market (FXM)

• Foreign Exchange Swaps (FXS)

• Stock Exchange Securities (SX)

• Client Accounts (CA)

For each of the contract types above, you must define which contract group they are to be

displayed in on the portfolio valuation screens. This is done in the General Purpose Narrative

(GNARR) table, type CX, described in the Guide to Setting Up.

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Introduction to Portfolio Management

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Portfolio Templates

Portfolio templates allow the creation of many portfolios based on a single template. The template

is created on the Portfolio Definition (PFDFM) screen, using the "Template" field to mark it as a

template. A template can contain default values for all the fields on this screen, which will be

applied to all portfolios created from that template. However, the Client Shortname and Client

City cannot be entered for a template.

For each template you can also define a portfolio suffix range. When creating a portfolio based on

the template, a portfolio identifier can be automatically assigned to the new portfolio. If the

portfolio suffix range is used, then the next unused number in the range will be added to the end

of the automatically assigned portfolio identifier, to individualise the identifier.

To create a portfolio from a template, you must use the Portfolio Generation by Client (PFGCM)

screen. See "Defining Portfolios" later in this section for more information.

Defining Portfolios

You can create a portfolio in two ways:

• Direct Portfolio Creation

- A single portfolio can be directly created for a single owner on

the Portfolio Definition (PFDFM) screen, described in Section 2 of this guide. The portfolio

identifier must be manually assigned during creation.

• Portfolio Creation via a Template

- A portfolio or portfolios can be created for a single

owner based upon a template. The template must have been set up using the Portfolio

Definition (PFDFM) screen, while the individual portfolios are created using the Portfolio

Generation for Client (PFGCM) screen. The portfolio identifier can either be manually

assigned, or defaulted to the Client Shortname followed by an automatically generated suffix

Once a portfolio has been created, using either of the above methods, it is given the status of

"Active".

Portfolio Hierarchies

Portfolios can be ordered into hierarchies in a parent/child relationship. The method of creating a

hierarchy is different depending on the category of the portfolio. Client category portfolios use

one method, while bank category portfolios use a different method. Hierarchies can be created for

the following portfolio categories:

Client and Third Party Portfolio Hierarchies

Hierarchies can be established for client and third party portfolios. The hierarchy information is

then passed to the MFT reporting program where it is used in preparing portfolio information.

None of the hierarchy information is used for processing, and the portfolios are not shown as

linked in any of the inquiry screens.

To create client and third party hierarchies, you should use the Portfolio Tree Maintenance

(PFTRM) screen, described in Section 2 of this guide. You can create as many levels in a

hierarchy as are necessary.

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Introduction to Portfolio Management

Bank Portfolio Hierarchies

Bank portfolio hierarchies can be created using the "Parent Portfolio" field on the Portfolio

Definition (PFDFM) screen, described in Section 2 of this guide. Each portfolio can have one

parent. Circular portfolios are not allowed, that is a portfolio may not have as one of its

components a portfolio that is higher in the structure.

When inquiring on a portfolio it is possible to see any child portfolios linked to that portfolio as

assets or liabilities.

The diagram below shows a simple portfolio structure. The "House" portfolio is at the top of the

hierarchy, and is named using the blueprint parameter BP-HOUSE. See "Blueprint Parameters" in

the Guide to Setting Up for more information on this blueprint.

The following figure is an example of a bank portfolio hierarchy, showing the different levels that

can be constructed.

Figure 1–1. Example of Bank Portfolio Hierarchy

House

FX _MarketsCapital MM

Dealer Book 1

Investments Trading Lending Borrowing Derivatives

Spot Forward Swaps

Dealer Book 2 Book 3Dealer

Strategy 1 Strategy 2 Strategy 3

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Introduction to Portfolio Management

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Charges Applicable to Portfolios

If your institution is using the stock exchange securities contracts functionality, you may identify

which charges are to be applied to the portfolio. The two types of charges that can be defined at

this stage are:

Commission

– a charge applied to every stock exchange securities contract entered into for the

portfolio. The charge is levied by either your institution, or a broker, and the charge is payable by

the owner of the portfolio. Commission can be calculated using either a commission category or a

commission table, and a percentage discount or surcharge can be applied to the final commission

figure. Commission categories are set up on the Commission Tables by Category (CTCM) screen,

while commission tables are set up on the Commission Table Maintenance (COMMM) screen

Supplementary

– these charges are normally applied as one-off charges, unique to a contract. By

entering a supplementary charge when defining a portfolio, the charge will be applied to every

stock exchange securities contract created for the portfolio. Supplementary charges are set up on

the Supplementary Charges Maintenance (SUPCM) screen

For more information on how these charges are created, see "Charges Applicable to Stock

Exchange Securities" in the Stock Exchange and Securities Administration Guide.

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Introduction to Portfolio Management

Valuation Rules

For the different contract groups that can be displayed during a valuation inquiry, the following

valuation rules apply:

Contract type Book Value Market Value Money Market (MM)

Loan/Deposit

Principal + Accrued Interest Principal + Accrued Interest Foreign Exchange Market

(FXM) and Swaps (FXS)

Zero Mark to Market valuation

Forward Rate Agreements (FRAC)

Zero Mark to Market valuation

Interest Rate Swaps (SWPS) Zero Net Present Valuation

Futures (FU) Zero Unrealised Profit/Loss (Product of

difference of closing price, dealt price and quantity)

Options (OP) Premium Paid Market Premium Value/ Premium

calculated by Black & Scholes method Equities and Securities (SX) Average Book Cost of Holdings Market Value of Holdings

Cash in Client Accounts (CA) Trade dated balance in account currency and historic balance in portfolio currency

Traded dated balance in account currency and current valuation in the portfolio currency

Table 1–2. Valuation Rules Used During Valuation Inquiries

For more information on the valuation of individual contract types, see the relevant user guide.

For example the Foreign Exchange and Money Market Administration Guide has more

information on the mark to market valuations applicable to foreign exchange contracts.

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Introduction to Portfolio Management

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Client Portfolio Valuation Inquiries

There are various inquiry screens available to inquire on portfolios. These allow you to view the

assets and liabilities of a portfolio. The screen Portfolio Valuation Inquiry (PFVL1) is the first

screen in a chain of screens designed to make the inquiry process easier. On this screen, the assets

and liabilities are grouped together into the following:

• Contracts

• Stock Exchange Securities

• Cash Account

All contract groups must be defined on the General Purpose Narrative (GNARR) table, type CX,

described in the Guide to Setting Up. A contract group can consist of one or more contract types.

See "Contract Types" earlier in this section for a description of the contract types that can be

included in a contract group.

By selecting one of these contract groups, you can link to other inquiry screens for more detailed

information. The diagram below shows the inquiry screens used for each contract group.

Inquire on a Portfolio

Portfolio Valuation Inquiry

(PFVL1)

Inquire on a

Contract Type

Portfolio Contract Inquiry (PFVL2)

Inquire on

Stock Exchange

Securities

Portfolio Positions Inquiry (PFVL3)

Inquire on a

Cash Account

Client Account Summary (CAASI)

Inquire on Further

Details of a Contract

Contract Details for example Foreign Exchange Market Inquiry (FXMKI)

Valuation Details for example

Swaps Valuation (SWPVI) Futures Valuation (FTVAI)

Inquire on Further

Stock Exchange

Securities Details

Holdings Inquiry (SAPNI) Holding Transaction Inquiry (SAPSI)

Inquire on Further

Client Account

Details

for example: Client Account Inquiry

(CAACI) Postings Inquiry by

Number (POSTN) Account History Inquiry

(HISTA)

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Introduction to Portfolio Management

Bank Portfolio Inquiries

For bank portfolios, the method of inquiring on the assets in a portfolio is different than for client

portfolios. The Bank Portfolio Components (PFALL) screen allows you to view all assets of a

portfolio, whether this is contracts, or other portfolios. High level information for each asset is

shown. If you require greater detail, you can "drill down" to the corresponding contract inquiry

screen, or portfolio inquiry. If you wish to assign an asset to a different portfolio, the system links

to the corresponding change screen where you can change the portfolio assignment.

Linkage to MFT

To enhance the inquiry, management and performance measurement of portfolios, a linkage is

supplied to the Investor Workstation software produced by Montclair Financial Technology

(MFT). Information is extracted from the system database and passed across to the MFT

software. The link is one way only, and to view the information in the MFT software database,

you must use the MFT software.

For a description of how to operate the MFT software, please refer to the appropriate user guide.

For technical information on the operation of the MFT Linkage, please refer to MFT Interface in

the Guide to Interfaces with External Systems.

The following asset and liability information is extracted for all portfolios (including those

belonging to clients, your bank and third parties):

• Positions of stock exchange securities

• Cash contained in client accounts related to a client

• Un-matured contracts of the following types; FXMK, FXSW, MMLN, MMDP, MMBL,

MMID, MMIL, and MMDL

The data extraction process is carried out by the TIBMFT - MFT Interface report, described in the

On-Demand Reports Guide. The report can be run either as a sleeping, overnight or on-demand.

The report passes the extracted data to the MFT software via a middleware publisher called

Rendezvous, created by TIBCO.

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Introduction to Portfolio Management

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Section 2 Portfolio Management Screens

Introduction to Portfolio Management Screens

This section provides a description of the following Portfolio Management screens:

Portfolio Static Data

• Portfolio Type Maintenance (PFTM)

Portfolio Entry

• Portfolio Definition (PFDFM)

• Portfolio Generation for Client (PFGCM)

Hierarchy Definition for MFT

• Portfolio Tree Maintenance (PFTRM)

Portfolio Inquiry

• Portfolio Valuation Inquiry (PFVL1)

• Portfolio Contract Valuation (PFVL2)

• Portfolio Positions Valuation (PFVL3)

• Bank Portfolio Components (PFALL)

A full description of the fields on the screens, and valid entries, is given in Section 3, "Definition

of Field Names".

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Portfolio Management Screens

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Portfolio Type Maintenance (PFTM)

This screen allows you to define the portfolio types used by your institution. The portfolio type

allows similar portfolios to be grouped together, and applies basic characteristics to each. The

most important characteristic is the portfolio category. This defines whether the portfolio belongs

to your institution, one of your clients or a third party. See "Portfolio Types" in Section 1 of this

guide for more information.

When you are defining a portfolio using the Portfolio Definition (PFDFM) screen, you must enter

the portfolio type.

The following figure is an example of the Portfolio Type Maintenance (PFTM) screen:

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Portfolio

Management

Screens

Portfolio Definition (PFDFM)

This screen is used to define a single portfolio for either a client, your institution or a third party.

See Portfolio Types in Section 1 of this guide for descriptions of the usage of these different

portfolios. You can also use this screen to define portfolio templates, used when creating multiple

portfolios.

When entering a new portfolio, you must complete the following fields:

• Portfolio – this is the identifier of the portfolio

• Portfolio Type – this groups the portfolios in your system into different portfolio types. This

also assigns the "Portfolio Category"

• Name – this is a description of the portfolio

• Client Shortname – this is the client the portfolio is being created for. Clients must have been

set up to represent the owner, and provide necessary basic details. If your institution is using

the stock exchange securities functionality, then a client must be set up to represent your

institution before you create a portfolio for your bank

• Status – this is the status of the portfolio, and should be set to "Active" to activate the

portfolio

• Preferred Currency – this is the default currency for displaying values on reports and

inquiries

For client portfolios you should enter a Portfolio Manager, who will be responsible for the

operation of the portfolio. The Portfolio Manager must have been previously set up as an officer

of your institution on the Dealers and Officers (DEALR) screen, described in the Core Functions

and Inquiries Guide.

For any portfolio that will be trading in stock exchange securities, you must complete the Custody

Model field. The fields contained under the Settlement and Commission Charges headings are

also relevant, and supply default values to stock exchange contracts.

To create a template portfolio, you must enter the Template and Portfolio Suffix Range fields. A

template must not have a client shortname or city defined. The suffix range fields are used when

automatically creating a portfolio identifier for a portfolio. Once a template has been defined, you

can create portfolios based on it using the Portfolio Generation for Client (PFGCM) screen.

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The following figure is an example of the Portfolio Definition (PFDFM) screen:

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Portfolio

Management

Screens

Portfolio Generation for Client (PFGCM)

This screen allows you to create one or more portfolios based on portfolio templates. Before you

can use this screen, you must have created a portfolio template on the Portfolio Definition

(PFDFM) screen. See "Portfolio Templates" in Section 1 of this guide for more information.

The portfolio template used when creating portfolios on this screen can be defaulted based on the

client type, and the currency of portfolio required. Set up the default values on the Client

Accounts and Portfolio Definitions for Client Type (CAACM) screen, described in the Clients

and Accounts Administration Guide

To create a portfolio from a template, you must identify the owner using the Client Shortname

and Client City fields. Identify the portfolio template to use by entering its Portfolio Identifier and

Currency. If you are creating multiple portfolios, different templates can be used for each. Other

information you must enter for the new portfolio includes:

• Portfolio Reference – this will become the Portfolio Identifier of the new portfolio. If left

blank it will be created automatically, based on the client shortname, and a suffix. The suffix

is the next one in the range defined by the Portfolio Suffix Range fields on the Portfolio

Definition (PFDFM) screen

• Portfolio Manager

• Portfolio Name

Once you have entered the details of the new portfolio, you can enter the details into the database.

To do this:

á Switch On the Update field adjacent to the new portfolio(s) and click the

Add

button.

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The following figure is an example of the Portfolio Generation for Client (PFGCM) screen:

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Portfolio

Management

Screens

Portfolio Tree Maintenance (PFTRM)

This screen allows you to define the relationships between portfolios owned by clients and third

parties. The relationships formed are in the form of parent/child hierarchies. There is no limit to

the number of levels in a hierarchy. The hierarchies established using this screen are solely for the

use of the MFT portfolio management software. They are not used for any processing within the

system. Portfolios in a hierarchy must be of the same Portfolio Category.

To create a hierarchy, you must enter the parent portfolio in the Portfolio field. Any portfolios

beneath the parent portfolio should be entered in the Linked Portfolio field.

To remove a linked portfolio from a hierarchy:

á Switch On the Delete field adjacent to the linked portfolio you want to remove and click the

Delete

button.

T

Enter "Y" in the Delete field adjacent to the linked portfolio you want to remove and press

Transmit

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Portfolio Management Screens

2–8

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1026-940

Portfolio Valuation Inquiry (PFVL1)

This screen allows you to view the assets held in a portfolio. The assets are grouped together into

contract groups, based on the contract type. The "Client Account Postings" contract group is the

balances held in any client accounts related to the client of that portfolio. The "Asset Positions"

contract group shows the total of the individual stock exchange securities held for that portfolio.

You can link to other screens to find out more details of the assets that make up a contract group.

A contract group is a collection of one or more contract types. See "Contract Types" in Section 1

of this guide for more information. To inquire on a contract group:

á Highlight a Contract Group and click the

Details

button

T

Enter "1" in the link field adjacent to the Contract Group on which you want more information

and press

Transmit

For most contract groups you will be taken to the Portfolio Contract Valuation (PFVL2) screen. If

you selected the "Asset Positions" group you will be taken to the Portfolio Positions Valuation

(PFVL3) screen and if you selected the "Client Account Positions" group you will be taken to the

Client Account Summary (CAASI) screen, described in the Clients and Accounts Administration

Guide.

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Portfolio

Management

Screens

The following figure is an example of the Portfolio Valuation Inquiry (PFVL1) screen:

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Portfolio Management Screens

2–10

3937

1026-940

Portfolio Contract Valuation (PFVL2)

This screen allows you to view the contracts underlying a contract group for a portfolio. This

screen can be reached either from the Portfolio Valuation Inquiry (PFVL1) screen, or opened

directly. If you are reaching this screen from another screen, the Portfolio, Currency and Contract

Group fields will be pre-filled.

You can limit this inquiry by using either or both of the Start Product Type and Start Contract

Number fields. Entering a value in either of these fields will limit the inquiry to contracts starting

from the value entered.

From this screen you can link to other screens for more information on a contract. You can either

link to a valuation screen or contract screen relevant to the contract group you have inquired

upon. For example, performing a contract inquiry on a foreign exchange contract would link you

to the Foreign Exchange Market Inquire/Delete (FXMKI) screen and performing a valuation

inquiry on an options contract would link you to the Options Contract Valuation (OPVAI) screen.

To link to another screen:

á Highlight a contract and click either the

Valuation Inquiry

or

Contract Inquiry

button

T

Enter "1" or "2" in the Link field adjacent to a contract and press

Transmit

to see either a

valuation inquiry or contract inquiry respectively

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Portfolio

Management

Screens

The following figure is an example of the Portfolio Contract Valuation (PFVL2) screen:

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Portfolio Management Screens

2–12

3937

1026-940

Portfolio Positions Valuation (PFVL3)

This screen allows you to view the stock exchange securities held within a portfolio. You can link

to this screen from the Portfolio Valuation Inquiry (PFVL1) screen, or open it directly. If you link

to this screen, the Portfolio and Currency fields will be pre-filled.

If any transaction has affected a security or there has been a price change since the last overnight

run, then a "Yes" will be displayed in the Updated field. However, the Market Value and Income

Yield will remain as they were at the last overnight run. You can update the valuations, which

will automatically recalculate up-to-date figures in these fields. To do this:

á Switch On the Current Position field and click the

OK

button

T

Enter "Y" in the Current Position field and press

Transmit

From this screen you can link to the following screens to obtain further information on an

individual security, or to enter a new stock exchange securities order based on that security:

• SX Holding Inquiry (SAPNI)

• SX Transaction Inquiry (SAPSI)

• Orders – Single Client (OTSC), or Orders – Single Client Multi Stock (OTSCM) if more than

one security is selected. On the Graphical User Interface, to select a security, single click on

it. To de-select a security, double click on it.

For more information on these screens, and stock exchange securities in general see the Stock

Exchange and Securities Administration Guide.

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Portfolio

Management

Screens

The following figure is an example of the Portfolio Positions Valuation (PFVL3) screen:

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Portfolio Management Screens

2–14

3937

1026-940

Bank Portfolio Components (PFALL)

Use this screen to inquire on the assets that are included within a bank portfolio. All assets can be

seen including contracts and other portfolios.

Linked inquiry functionality enables you to display details of any asset. If the asset is a contract,

the system displays the relevant contract inquiry screen with details of the contract. If the asset is

a portfolio, the system will redisplay the Bank Portfolio Components (PFALL) screen showing

the assets that belong to that portfolio. To display the relevant inquiry screen:

á

Select the asset and click

Details

T

Enter “1” in the link field beside the relevant asset and press

Transmit

Linked change functionality enables you to move assets to a different portfolio. This works in the

same way as the linked inquiry functionality. If you select a contract, the system displays the

relevant contract change screen and allows you to change the identifier of the portfolio to which it

belongs. If the selected asset is a portfolio, the system displays the Portfolio Definition (PFDEF)

screen and allows you to change the identifier of the portfolio to which it belongs. To display the

relevant change screen:

á Select the asset and click

Change

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Portfolio

Management

Screens

The following figure shows an example of the Bank Portfolio Components (PFALL) screen:

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Portfolio Management Screens

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Section 3 Definition of Field Names

Introduction

This section provides a definition of all the field names on Portfolio Management screens. The

fields are listed alphabetically according to their full name and details of valid entries are given.

If the field is prefilled with a value on the screen, or defaults to a value if left blank, these values

are also given.

Many of the codes and mnemonics given in this section may be changed when the system is

installed at your institution.

Table 3–1. Definition of Field Names

Field Definition

Action This is a two character code representing the deal action. It is primarily used for Securities, Futures and Options:

DP Deposit IS Issue LN Loan MK FX Market PU Purchase RE Repurchase RR Reverse Repurchase SL Sale

Amount This is the nominal of the contract.

Bank Portfolio The identifier of the bank portfolio you want to inquire on.

Book Value This is the book cost of the asset, calculated using the Average Book Cost method.

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Definition of Field Names

3–2

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1026-940

Category This identifies a commission category to be used when applying commission charges to stock exchange contracts created for this portfolio. This field should not be entered if a value is entered in the Table Code field.

Commission categories are defined on the Commission Tables by Category (CTCM) screen, described in the Stock Exchange and Securities Administration Guide.

Client City The city of residence of the client who owns this portfolio. Cities are set up on the General Purpose Narratives (GNARR) table, type CI, described in the Guide to Setting Up.

Client Number This is a unique number used to represent a client. It is assigned after the client has been set up on the Client Details – Banking (CIWSL) screen, described in the Clients and Accounts Administration Guide.

Client Shortname The client shortname of the owner of this portfolio.

If the owner of a portfolio is to be a client of your institution or a third party, this is their current client shortname. If the portfolio is to be owned by your institution then a dummy client must be created

Client shortnames are defined for a client on the Client Details – Banking (CIWSL) screen, described in the Clients and Accounts Administration Guide.

Component This identifies the component. If it is a contract, the Contract Number is displayed, if it is a portfolio, the Portfolio Identifier is displayed.

Continuation Indicator

This field controls whether continuation commission can be used for this portfolio. Continuation commission involves modifying the commission paid on a portfolio's contracts during a period, based on the total consideration amount of all the contracts.

The period over which commission is calculated is defined by the blueprint parameter BP-EQ-CNTPRD and has values of, for example, 1, 2 or 3 days. See "Blueprint Parameters" in the

Guide to Setting for more information. Allowed values in this field are:

á

On Allow continuation commission Off Do not allow continuation commission

T

Y Allow continuation commission N Do not allow continuation commission Contract Currency This is the currency that the contract was created in.

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Definition of Field Names

Contract Group This is a grouping of similar assets of the portfolio. The following contract groups are allowed:

•

All contracts of one type belonging to this portfolio, for example all Money Market contracts

•

All cash accounts belonging to this portfolio

•

All stock exchange assets belonging to this portfolio On the Portfolio Valuation (PFVL1) screen, this is the contract group related to the displayed Book Value and Market Value. Only contract groups that have outstanding contracts or assets in that portfolio will be displayed.

On the Portfolio Contract Valuation (PFVL2) screen, this limits the inquiry to contracts belonging to this group.

See "Contract Types" in Section 1 of this guide for more information.

Contract Note Addresses

This is a nine-digit code referring to the nine possible postal addresses, which can be set up for a client. Using this you can specify how many copies of contract notes will be produced and sent to each of the nine addresses. Contract notes are produced by the SXCNOTE – SX Contract Note report, described in the On-Demand Reports Guide.

For example the code "201000000" would result in two copies of any documentation being sent to the first address and one copy of any documentation being sent to the third address set up for a client.

Client addresses are set up on the Names and Addresses (NAMDM) screen, described in the Clients and Accounts Administration Guide.

Contract Number This is the contract number of the contract, assigned after the contract has been entered into the system.

Currency This defines the currency in which the values on this screen are displayed. If left blank, this defaults to the currency defined for the portfolio.

On the Portfolio Contract Valuations (PFVL2) screen, this is the currency in which the values on this screen are displayed. If left blank, the values for each contract will be displayed in the currency of that contract.

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Definition of Field Names

3–4

3937

1026-940

Current Position If a transaction or price change has taken place that will affect the market value displayed on this screen for a security, you can re-value the security to get current valuation information. A security requiring re-valuation will have a "Y" displayed in the "Updated" field adjacent to it.

To re-value the security:

á

Switch On and click Ok

T

Enter "Y" in this field and press Transmit

Custody Model This is the custody model linked to a portfolio, which specifies where the various securities in the portfolio are to be held. Custody Models are defined on screen Custody Model Maintenance (SXCMM) screen, described in the Stock Exchange and Securities Administration Guide.

Dealing Flag This defines whether portfolios of this type are allowed to create stock exchange securities orders and contracts.

á

On Allowed to create orders and contracts Off Not allowed to create orders and contracts

T

Y Allowed to create orders and contracts N Not allowed to create orders and contracts Delete This allows you to remove a "Linked Portfolio" from a hierarchy.

To do this:

á

Switch On this field adjacent to the linked portfolio you want to remove and click the Delete button

T

Enter "Y" in this field adjacent to the linked portfolio you want to remove and press Transmit

Description On the Portfolio Type Maintenance (PFTM) screen, this is a description of the portfolio type.

Discount/Surcharge %

This is a percentage discount or surcharge applied to the commission for stock exchange securities contracts created for this portfolio. The commission is calculated using either the commission category or commission table entered in the Category or Table Code fields respectively.

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Definition of Field Names

Discretionary This is a documentary only field defining how the portfolio manager will handle the account.

á

On Portfolio Manager controls the account Off Portfolio Manager can advise the client, who

controls the account

T

Y Portfolio Manager controls the account N Portfolio Manager can advise the client, who

controls the account

Income A forecast for the asset positions for this portfolio. This information comes from the securities master file, and can be in the form of dividends, or accrued interest.

Income Payment Indicator

This determines how any payments from corporate action events are received by this portfolio. This can either be:

Paid via Asset Manager (Y) - The payment is made through your institution

Not Paid via Asset Manager (N) - The payment is not made through your institution

Mandated Direct to Client Account (M) - The payment is a mandated payment, for example a standing order. The payment is calculated but not processed

Instrument Identifier For Securities, Futures and Options contracts, this is the Identifier of the instrument traded by the contract. A list of Securities instruments can be obtained from the MISTHLST - Securities Static Header Structure report. Futures and Options instruments are listed on the FTPRMLST - Futures/Options Instrument List report. (See the On-Demand Reports Guide for details of these reports.)

For contracts other than Securities, Futures and Options, this field displays the product type traded by the contract.

Linked Portfolio This is a portfolio to be linked in a hierarchy beneath the parent portfolio. The parent portfolio is defined in the "Portfolio" field.

Market Value This is the current market value of the asset.

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Definition of Field Names

3–6

3937

1026-940

Payment Made This determines whether payments are to be made gross or net. If entered, the value in this field will be used for all entitlements affecting this portfolio. Entitlements are created during corporate action events, see Corporate Actions in the

Stock Exchange and Securities Administration Guide for more information.

á

Gross Net

T

G Gross N Net

Portfolio This is the identifying name given to a portfolio on the Portfolio Definition (PFDFM) screen.

On the Portfolio Tree Maintenance (PRTFM) screen, this is the parent portfolio to which portfolios are to be linked. Portfolio Category This identifies the owner of a portfolio linked to this portfolio

type. This can be either:

Client – a portfolio belonging to a client of your institution

Bank – a portfolio belonging to your institution

Third Party – a portfolio belonging to a third party who deals with your institution.

See Portfolio Types in Section 1 of this guide for more information.

á

Client Bank Third Party

T

C Client B Bank T Third Party

Portfolio Identifier This is the portfolio identifier of the template you will be using to create a new portfolio. Portfolio templates are created on the Portfolio Definition (PFDFM) screen.

Portfolio Manager This is the officer of your institution responsible for this portfolio. Portfolio managers are defined on the Dealers and Officers (DEALR) screen, described in the Core Functions and Inquiries Guide.

Portfolio Name This will be the name of the portfolio you are creating.

Portfolio Reference This will be the portfolio identifier of the new portfolio you are creating. If left blank, this field will be defaulted to the "Client Shortname" and a suffix. The suffix is the next number in the range defined by the "Portfolio Suffix Range" fields on the Portfolio Definition (PFDFM) screen.

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Definition of Field Names

Portfolio Suffix Range

These fields are only used when creating a portfolio template. They define a range of numbers to be used as suffixes when portfolio identifiers of a new portfolio are created

automatically.

Portfolio Type This is used to group the portfolios together, and to define the basic characteristics of a portfolio. Each portfolio must be assigned a portfolio type, on the Portfolio Definition (PFDFM) screen.

Portfolio Types are set up on the Portfolio Type Maintenance (PFTM) screen.

Post Mark to Market For bank portfolios not engaged in stock exchange securities contracts, this indicates the method used to value the portfolio. It may be marked to market or compared against the zero coupon yield curve.

á

On Mark to Market Off Zero Coupon Yield Curve

T

Y Mark to Market N Zero Coupon Yield Curve

Preferred Currency This is the currency to which all positions held in the portfolio are converted when a consolidated position is displayed. Price This is the current price of the security as recorded in the

Securities Master File. See the Stock Exchange and Securities Administration Guide for more information Product Type This identifies the product being traded for this contract. For

example, Treasury Bonds, Gilts, Foreign Exchange Spot Deal. Product definitions are held on the Product Types

Maintenance (PRTPM) screen, described in the Core Functions and Inquiries Guide.

Quantity This is the quantity of the security held in this portfolio.

Scrip Dividend Election

This field is for future use.

Security This is the identifier of the security. This can either be the security identifier as defined in the securities master file, or one of the instruments defined for this security on the Security

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Definition of Field Names

3–8

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1026-940

Show Euro Equivalent

Selecting this field will display all “in” currency amounts in euro.

á

On Display amounts in euro

Off Display amounts in original currency

T

Y Display amounts in euro

N Display amounts in original currency Start Contract Group This is the contract group from which the inquiry is to start.

Start Contract Number

This is the contract number from which the inquiry is to start.

Start Product Type This is the product type from which the inquiry is to start.

Starting Currency This is the currency from which you want to start the inquiry.

Starting Portfolio This is the portfolio from which you want to start the inquiry.

Status The current status of the portfolio. This can be:

á

Active the portfolio exists and can be used Inactive the portfolio exists but cannot be used Deleted the portfolio has been deleted, but can be reintroduced by changing the status

T

A Active I Inactive D Deleted Supplementary

Charges 1 to 3

This identifies the default supplementary charges to be levied on stock exchange securities contracts created for this portfolio.

Supplementary charges are defined on the Supplementary Charges Maintenance (SUPCM) screen, described in the

Stock Exchange and Securities Administration Guide. Table Code This identifies a commission table to be used when applying

commission charges to stock exchange contracts created for this portfolio. This field should not be entered if a value is entered in the Category field.

Commission tables are defined on the Commission Table Maintenance (COMMM) screen, described in the Stock Exchange and Securities Administration Guide.

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Definition of Field Names

Template This field defines whether you are creating a portfolio template, or a single portfolio.

á

On Creating a template Off Creating a single portfolio

T

Y Creating a template N Creating a single portfolio

Type This is the portfolio type of the current portfolio. Portfolio types are set up on the Portfolio Type Maintenance (PFTM) screen. Update This controls which portfolios will be created:

á

Switch "On" this field adjacent to all portfolios you want to create

T

Enter "Y" in this field adjacent to all portfolios you want to create

Updated A "Yes" will be displayed here if any transaction has affected a security or there has been a price change since the last overnight run that affects the displayed values of the security. You can revalue those figures that need updating using the "Current Position" field.

Value Date This shows the date for which the values are displayed. This field is non-enterable, and defaults to the last day for which the values were updated in the overnight run.

Valuation Exchange Group

This is the exchange rate group used when displaying valuations on inquiry screens. Exchange rate groups are defined on the Exchange Rates (EXCHM) screen, described in the Core Functions and Inquiries Guide.

Yield This is the percentage of the Income accumulated for the security divided by the Market value of the security.