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Ce document présente les principales fonctionnalités liées au module PM. Cette application « horizontale » a pour but de mettre à disposition des outils de gestion des risques de taux, de change et de trésorerie. Utilisant ses propres tables d’historiques, il est livré avec un ensemble d’enquiries couvrant ces trois risques.
Introduction
Ce module permet d’utiliser des requêtes (enquiries ) paramétrables au moyen de codes montants (codes classes), et dont les routines de calculs sont pré-définies. Il possède ses propres tables d’historiques. Il fonctionne en temps réel, la mise à jour par les transactions se faisant avant l’autorisation. Les modules Mortgages et Fiduciaires en sont exclus à ce jour. La mise à jour des tables « online » comme PM.TRAN.ACTIVITY est hard-codée.
Un standard est livré pour chacune des enquiry : CAS (suivi de trésorerie prévisionnelle), NOS (position Nostri), GAP (impasse de taux), NPV ( calculs de VAN), FXP (position de change), DURATION ( :-), … liste complétée régulièrement de release en release. En G11, plusieurs autres enquiries ont été ajoutées.
Il complète le module LIMIT qui gère les risques de contrepartie, de pays, de devises et d’industries (risque contrepartie est online, les 3 autres par rapports produits par l’EOD).
La table PM.POSN.REFERENCE décrit le contenu des 3 autres types de risques gérés par ce module : Trésorerie : clé = CAS Taux : clé = GAP Change : clé = FXP
i.e. ces définition incluent tous les types de montants associés à chaque catégorie de transaction qui doivent entrer dans le périmètre du risque à contrôler. Ensuite, les différentes enquiries disponibles utilisent ces clé (données) pour les représenter sous des formes diverses, au moyen de PM.ENQ.PARAM. Il existe donc « n » déclinaisons possibles de ces trois clé, en associant des calendriers (par dates ou par périodes différents), des types de calculs différents (sensibilités, duration, gap, etc… ; positions de change, résultats de change, etc… ;positions nostri, positions comptes internes, etc…)
Deux méthodes d’utilisation existent pour les enquiries on-line (jusqu’en G11):
La « classique », utilisant la table PM.POSN.REFERENCE pour la définition des classes à utiliser, et attaquant la table PM.POSN.REAL.TIME d’historique consolidé. Elle figure en sur le modèle relationnel. Les changements de paramétrages ont un impact après les traitements d’End of Day (Batch).
La « nouvelle », consolidant les données historiques de PM.DLY.POSN.CLASS lors de l’exécution des enquiries type PM.CAS, etc…, elle peut utiliser la table PM.POSN.REFERENCE pour le paramétrage ou suivre ses propres classes dans PM.ENQ.PARAM, et est référencée sur le modèle de données. Elle est un peu plus longue que la méthode suivante lors du traitement de l’enquiry, mais prend en compte instantanément les changements de paramétrages (classes).
NB : En G11, une refonte du module a été faite pour que toutes les enquiries n’attaquent plus qu’une seule table : PM.DLY POSN.CLASS. Il existe également un patch ref. PMP0283 permettant cette refonte dès la G 10.2.02.
Au delà des tables indiquées dans le modèle relationnel qui suit, il existe quelques tables supplémentaires :
PM.xx . PARAM (avec xx correspondant aux modules LD, SW, SC, etc…) : Permet de définir de manière précise le contenu des classes utilisées, i.e. faire le lien entre les champs de données applicatives et les codes propres à PM. La dernière partie « Tips » inclut des remarques sur ces tables. Exemple : PM.SC.PARAM permet de régir les données provenant des portefeuilles titres de la banque, en fonction du type comptable : Pour « TRADING », toutes les transactions doivent apparaître dans un horizon de 3 semaines, pour « INVESTMENT », l’horizon court jusqu’à la maturité des titres en position.
Certains modules comme AC, TT ou encore MM sont hard-codés sur la définition des classes.
Enfin, pour inclure dans PM des positions non gérées dans Globus, un point d’entrée PM.POSITION.CAPTURE est disponible. Ces saisies s’intègrent dans les historiques de PM en associant les codes propres au module (classes).
Modèle Fonctionnel
PM.POSN.CLASS
Ces codes montants sont hard-codés pour la plupart. A ce jour, les modules LD, AC et FX sont paramétrables, donnant la possibilité d’associer soit des catégories, soit des évènement à ces codes. Il est vivement conseillé d’utiliser les prédéfinitions existantes.
On peut également créer des clés de Position Class pour les activités non couvertes par Globus (cf PM.POSITION.CAPTURE).
Figure ci dessous un extrait de la documentation standard relative aux classes. Un commentaire cependant sur leur structure :
Les positions 1 et 2 représentent les modules applicatifs concernés (MM, LD, SW,…)Si la position 3 est une lettre entre A et E, les positions 3 et 4 donnent une indication de type « comptes » i.e. généralement : BS pour les mouvements sur comptes Nostro, AS sur comptes internes. Si la position 3 est une lettre supérieure à E, les positions 3 et 4 donnent une indication de type applicatif (donc autres que comptes). Ex : IN pour INtérêts, SL pour Straight Line, …La dernière position est documentée dans le User Guide (ref PM.DOC – chap. 24-48), est qui est reproduite supra.
Extrait du User Guide sur PM, concernant la codification des classes :
The full list of accounting movement last characters is as follows:
C – Discount taken D – Principal Decrease F – Forward FX H – Hedge FRAs I – Principal Increase I – Interest FX interest hedge M – Principal at maturity P – Principal repayment LDs P – Principal FX interest hedce R – Principal repayment MM S – Principal at start, non FX S – Spot FX T – Trade FRAs
As it can be seen you need to be very careful when attempting to identify and allocate
accounts related position classes.
Using the Money Market example the last character 'C' of the accounting position class will be substituted by the following:
• 'S' to signify start ( or principal start)
• 'M' to signify maturity ( or principal maturity)
• 'N' to signify interest ( or interest capitalisation)
So:
• MMMPS produces an accounting movement defined as MMBSS
• MMMPM produces an accounting movement defined as MMBSM
• MMMIC produces an accounting movement defined as MMBSN
If the class overnight, class on-line spread and class on-line actual fields are set then the above example would produce six accounts related position activities (three on-line
spread and three on-line actual) and three application specific activities.
If more than one PM.AC.PARAM record is defined then the number of accounts related activities will be further increased, i.e. from 6 to 12, if the CATEGORY code of the ACCOUNT is specified on both records.
Using the above example it can be seen that it is very easy to generate rather more
information than is actually necessary.
Liste des PM.POSN.CLASS recommendées pour chaque application
AC: For NON – NOSTRO Accounts –
ACACC = AC-Cash Overnight Valued dated Balance
ACAIC = AC-Cash Overnight Accrued Interest
ACAGG = AC-Gap Overnight Valued dated Balance
ACALG = AC-Gap Overnight Accrued Interest
ACASC = AC-Cash Online Movements Spread.
ACAAC = AC-Cash Online Movements Actual.
ACAHG = AC-Gap Online Movements Spread.
ACAKG = AC-Gap Online Movements Actual.
For NOSTRO accounts -
ACBCC = AC-Cash Overnight Valued dated Balance
ACBIC = AC-Cash Overnight Accrued Interest
ACBGG = AC-Gap Overnight Valued dated Balance
ACBLG = AC-Gap Overnight Accrued Interest
ACBSC = AC-Cash Online Movements Spread.
ACBAC = AC-Cash Online Movements Actual.
ACBHG = AC-Gap Online Movements Spread.
ACBKG = AC-Gap Online Movements Actual.
DC: DCFDC = DC-Currency Position Activity
DCaaa = DC-Cash/Gap Account Activity.
(Entry across an account)
FR: FRFRS = FRA Start
FRFRM = FRA Maturity
FRXLM = FRA Loan of a settled deal
FRXDM = FRA Deposit of a settled deal
FRXNM = FRA Net rate of a settled deal
FRaaC = FRA Settlement
FRaaH = FRA Estimated Settlement - Hedge.
FRaaT = FRA Estimated Settlement - Trade.
FT: FTFFT = FT-Currency Position Activity
FTaaa = FT-Cash/Gap Account Activity
(entry across an Account)
FX: FXFXP = Forex SP and SW/FW rebate FX Position
FXFSW = Forex SW/FW IN/SL FX Position
FXSWS = Forex SW IN/SL Start
FXSWM = Forex SW In/SL Maturity
FXFSP = Forex FW interest hedge FX Position
FXIHS = Forex FW interest hedge gap start (spot)
FXIHM = Forex FW interest hedge gap maturity
FXIMS = Forex FW interest method gap start (spot)
FXIMM = Forex FW interest method gap maturity
FXSLS = Forex FW straight line gap start (spot)
FXSLM = Forex FW straight line gap maturity
FXaaS = Forex Spot Cash/Gap Account Activity.
FXaaF = Forex FW Cash/Gap Account Activity.
FXaaP = Forex FW IHedge Principal Account
Activity.
FXaaI = Forex FW IHedge Interest Account Activity.
ALFAL = Asset Liability Position
LD: LDXST = LD Principal Activity Start – Gap
LDXMG = LD Principal Activity Maturity - Gap
LDXPT = LD Principal Tax
LDXPI = LD Principal Increase - Gap
LDXDG = LD Principal Decrease - Gap
LDXIC = LD Interest Capitalisation
LDXIT = LD Interest Tax
LDXPG = LD Principal Repayment - Gap
LDXCM = LD Commission
LDXCT = LD Commission Tax
LDXCH = LD Charges
LDXFE = LD Fees
LDXFI = LD Forward Fixed Interest
LDXVI = LD Forward Variable Interest
LDaaS = LD Account Activity for Value date
LDaaI = LD Account Activity for Principal Increase
LDaaD = LD Account Activity for Principal Decrease
LDaaM = LD Account Activity for Principal at
Maturity
LDaaP = LD Account Activity for Principal
Repayments
LDaaN = LD Account Activity for Interest Payments
LDaaC = LD Account Activity for Discount Taken
MM MMMPS = MM Principal Activity Start
MMMPM = MM Principal Activity Maturity
MMMPI = MM Principal Increase
MMMPD = MM Principal Decrease/Repayment
MMMRM = MM Rollover Maturity of old period
MMMRS = MM Start of rollover period
MMMIC = MM Interest Capitalisation
MMaaS = MM Account Activity for Value date
MMaaI = MM Account Activity for Principal Increase
MMaaD = MM Account Activity for Principal Decrease
MMaaM = MM Account Activity for Principal at
Maturity
MMaaN = MM Account Activity for Interest at Maturity
MMaaR = MM Account Activity for Interest Payment
SC: SCFSC = SC-Currency Position Activity
SCCSM = SC-Cash Flow Position Principal
Activity - Maturity (from PM.SC.Param)
SCGSM = SC-Gap Position Activity - Maturity
(from PM.SC.Param)
SCSCI = SC-Cash Flow Position Interest
Activity - Maturity
SCaaa = SC -Account Activity (from deal).
TT: TTFXP = TT- Currency Position Activity
TTaaa = TT- Account Activity.
(entry across an Account)
Detailed explanation for each of these position class ID’s :
1. ACCOUNT
ACACC = This represents the code which is associated to the cash
activity record relating to the value dated balance as
opening of business of Non Nostro Accounts.
This class can be used as base for account movements at
application level, when no spreading of movements over
time is required.
ACAIC = This represents the code which is associated to the cash
activity record relating to the amount of accrued interest
and charges outstanding on Non Nostro Accounts.
ACAGG = This represents the code which is associated to the
interest mismatch (gap) activity record relating to the
value dated balance as at the opening of business of Non
Nostro accounts.
This class can be used as base for account movements at
application level, when no spreading of movements over
time is required.
ACALG = This represents the code which is associated to the
interest mismatch (gap) activity record relating to the
amount of accrued interest and charges outstanding on
Non Nostro Accounts.
ACASC = This represents the code which is the base for cash
account movements at application level, when the
movements are to be spread over time for Non Nostro
Accounts.
ACAAC = This represents the code which is the base for cash
account movements at application level, when movements
are being spread over time and to allow for case where
the actual movement is required this class is used for Non
Nostro Accounts.
ACAHG = This represents the code which is the base for interest
mismatch (gap) account movements at application level,
when the movements are to be spread over time for Non
Nostro Accounts.
ACAKG = This represents the code which is the base for interest
mismatch (gap) account movements at application level,
when movements are being spread over time and to allow
for case where the actual movement is required this class
is used for Non Nostro Accounts.
ACBCC = This represents the code which is associated to the cash
activity record relating to the balance of Nostro
accounts.
This class can be used as base for account movements at
application level, when no spreading of movements over
time is required.
ACBIC = This represents the code which is associated to the cash
activity record relating to the amount of accrued interest
and charges outstanding on Nostro Accounts.
ACBGG = This represents the code which is associated to the
interest mismatch (gap) activity record relating to the
value dated balance as at the opening of business of
Nostro accounts.
This class can be used as base for account movements at
application level, when no spreading of movements over
time is required.
ACBLG = This represents the code which is associated to the
interest mismatch (gap) activity record relating to the
amount of accrued interest and charges outstanding on
Nostro Accounts.
ACBSC = This represents the code which is the base for cash
account movements at application level, when the
movements are to be spread over time for Nostro
Accounts.
ACBAC = This represents the code which is the base for cash
account movements at application level, when movements
are being spread over time and to allow for case where
the actual movement is required this class is used for
Nostro Accounts.
ACBHG = This represents the code which is the base for interest
mismatch (gap) account movements at application level,
when the movements are to be spread over time for Nostro
Accounts.
ACBKG = This represents the code which is the base for interest
mismatch (gap) account movements at application level,
when movements are being spread over time and to allow
for case where the actual movement is required this class
is used for Nostro Accounts.
2 DATA CAPTURE
DCFDC = This represents the code which will be associated to the
currency activity record generated from a Data Capture
entry, impacting the Asset & Liability currency position.
DCaaa = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated from
any Data Capture entry for an Account.
3 FUTURE RATE AGREEMENT
FRFRS = This represents the code which will be associated to the
(notional) PRINCIPAL activity record existing for the
START (value date) of a FRA transaction.
FRFRM = This represents the code which will be associated to the
(notional) PRINCIPAL activity record existing for the
MATURITY (maturity date) of a FRA transaction.
FRXLM = This represents the code which will be associated to the
Principal GAP Loan activity. Value dated to the maturity
of the FRA transaction.
FRXDM = This represents the code which will be associated to the
Principal GAP Deposit activity. Value dated to the
maturity of the FRA transaction.
FRXNM = This represents the code which will be associated to the
Principal net GAP activity. Value dated to the maturity
of the FRA transaction i.e. the rate difference between
FRXLM and FRXDM.
FRaaC = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the Settlement amount existing on the settlement (value)
date of a FRA transaction.
FRaaH = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the estimated settlement on a hedge deal.
FRaaT = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the estimated settlement on a trade deal.
4 FUNDS TRANSFER
FTFFT = This represents the code which will be associated to the
Currency activity records generated from a Funds
Transfer Transaction impacting the Asset & Liability
Currency Position.
FTaaa = This represents the code which will be associated to the
Cash/Gap activity record generated from any Funds
Transfer transaction. A Cash activity record is only
raised when the associated accounting entry is for an
Account.
5 FOREX
FXFXP = This represents the code which will be associated to the
activity record deriving from a SPOT forex contract or a
FORWARD/SWAP forex contract using the Rebate
revaluation Method.
FXFSW = This represents the code which will be associated to the
activity record deriving from a FORWARD/SWAP forex
contract using the Interest or Straight Line revaluation
method. This activity record is used essentially to
produce the currency position information.
FXSWS = This represents the code which will be associated to the
activity record deriving from the SPOT leg of a SWAP
contract using the Interest or Straight Line revaluation
method. This record corresponds to the START activity
and is used essentially to produce, interest mismatch
information.
FXSWM = This represents the code which will be associated to the
activity record deriving from the FORWARD LEG of a
SWAP contract This record corresponds to the
MATURITY activity and is used essentially to produce
interest mismatch information.
FXFSP = This represents the code which will be associated to the
activity record deriving from a FORWARD forex contract
using the Interest Hedge revaluation method. This
activity record is used essentially to produce the
currency position information.
FXIHS = This represents the code which will be associated to the
activity record deriving from the SPOT date of a
FORWARD contract using the Interest Hedge revaluation
method. This record corresponds to the START activity
and is used essentially to produce, interest mismatch
information.
FXIHM = This represents the code which will be associated to the
activity record deriving from the VALUE date of a
FORWARD contract using the Interest Hedge revaluation
method. This record corresponds to the MATURITY
activity and is used essentially to produce, interest
mismatch information.
FXIMS = This represents the code which will be associated to the
activity record deriving from the SPOT date of a
FORWARD contract using the Interest Method revaluation
method. This record corresponds to the START activity
and is used essentially to produce, interest mismatch
information.
FXIMM = This represents the code which will be associated to the
activity record deriving from the VALUE date of a
FORWARD contract using the Interest Method revaluation
method. This record corresponds to the MATURITY
activity and is used essentially to produce, interest
mismatch information.
FXSLS = This represents the code which will be associated to the
activity record deriving from the SPOT date of a
FORWARD contract using the Straight Line revaluation
method. This record corresponds to the START activity
and is used essentially to produce, interest mismatch
information.
FXSLM = This represents the code which will be associated to the
activity record deriving from the VALUE date of a
FORWARD contract using the Straight Line revaluation
method. This record corresponds to the MATURITY
activity and is used essentially to produce, interest
mismatch information.
FXaaS = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the Forex Spot deal or the Spot leg of a swap deal.
FXaaF = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the Forex Forward deal, where the revaluation method is
other than IH for the Forward leg of a swap deal.
FXaaP = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the notional principal on a Forex Forward deal, where the
revaluation method is IH.
FXaaI = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the notional interest on a Forex Forward deal, where the
revaluation method is IH.
ALFAL = This represents the code which will be associated to the
Asset and Liability Currency Position.
6 LOANS AND DEPOSITS
LDXST = This represents the code which will be associated to the
PRINCIPAL activity record existing for the START
(value date) of a Loan or Deposit Transaction.
LDXMG = This represents the code which will be associated to the
PRINCIPAL activity record existing for the MATURITY
(maturity date) of a Loan or Deposit transaction for
inclusion in the interest mismatch information.
LDXPT = This represents the code which will be associated with
any TAX deducted from principal activities within a Loan
or Deposit transaction.
LDXPI = This represents the code which will be associated to the
Principal activity record, existing for the INCREASE in
principal and will be for Value Date of principal increase.
LDXDG = This represents the code associated with a reduction in
principal for inclusion in the Gap Analysis.
LDXIC = This represents the code which will be associated to the
INTEREST activity record existing when a contract
reaches its interest review date and interest is being
capitalised. The date associated with this activity will be
either the maturity date of the contract if the contract
has a fixed maturity date and there are no interest
schedules or the date of the next interest schedule or the
next interest payment date if it is a call or notice
contract.
LDXIT = This represents the code which will be associated with
any TAX to be deducted from interest on a Loan or
Deposit transaction and will contain a date equal to the
next interest payment date.
LDXPG = This represents the code associated with any
SCHEDULED REPAYMENTS that are due to take place
during the life of a Loan or Deposit transaction. Code is
for inclusion in the interest mismatch information.
Note: If there is a rate revision schedule or rate change date set on the Loan and Deposit record, then an LDXPG will be raised for this date with amount of outstanding principal as at that date. There will be no LDXPG records for future repayment schedule dates and no LDXMG for final maturity date.
LDXCM = This represents the code associated with any
COMMISSION to be received on a Loan transaction.
LDXCT = This represents the code associated with any TAX amount
to be deducted from commissions receivable on a Loan
transaction.
LDXCH = This represents the code associated with any charge
applicable to a Loan or Deposit transaction.
LDXFE = This represents the code associated with any fees which
may have been defined on a Loan or Deposit Schedule.
LDaaS = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the PRINCIPAL amount for the Value (start) date on a
Loan or Deposit contract.
LDaaI = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
any Principal Increase on a Loan or Deposit contract.
LDaaD = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
any Principal Decrease on a Loan or Deposit contract.
LDaaM = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the Principal at Maturity of a Loan or Deposit contract.
LDaaP = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
any any SCHEDULED REPAYMENTS that are due to take
place during the life of a Loan or Deposit contract.
LDaaN = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
any Interest activity deriving from Loan or Deposit
transaction. The date associated with this activity will
be either the maturity date of the contract if the contract
has a fixed maturity date and there are no interest
schedules or the date of the next interest schedule or the
next interest payment date if it is a call or notice
contract.
LDaaC = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the Discount taken at the start of a Loan or Deposit
contract.
7 MONEY MARKET
MMMPS = This represents the code which will be associated to the
PRINCIPAL activity record existing for the START
(value date) of a Money Market Transaction.
MMMPM = This represents the code which will be associated to the
PRINCIPAL activity record existing for the MATURITY
(maturity date) of a Money Market transaction.
MMMPI = This represents the code which will be associated to the
Principal activity record, existing for the INCREASE in
principal and will be for Value Date of principal increase.
MMMPD = This represents the code which will be associated to the
Principal activity record existing for repayment of
principal through either MM.PAYMENT.ENTRY (for
Liability Contract) or through MM.RECEIPT.ENTRY (for
Asset Contract) and will be for the Value Date of
principal repayment.
MMMRM = This represents the code which will be associated to the
PRINCIPAL activity record existing for the maturity of
old (original) deal with value date of the old maturity
date.
MMMRS = This represents the code which will be associated to the
PRINCIPAL activity record existing for the start of the
new period of a rolled over contract. The value date will
be for the old (original) maturity date.
MMMIC = This represents the code which will be associated to the
INTEREST activity record existing when a contract is
being rolled over and interest is being capitalised. The
date will be the rollover date for the contract.
MMaaS = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the PRINCIPAL amount for the Value (start) date on a
Money Market contract.
MMaaI = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
any Principal Increase on a Money Market contract.
MMaaD = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the Principal activity record existing for repayment of
principal through either MM.PAYMENT.ENTRY (for
Liability Contract) or through MM.RECEIPT.ENTRY (for
Asset Contract) and will be for the Value Date of
principal repayment.
MMaaM = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the Principal at Maturity of a Money Market contract.
MMaaN = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the INTEREST activity record deriving from a money
market transaction. The date associated with this
activity will be the maturity date of the contract if the
contract has a fixed maturity date or the next interest
payment date if it is a call or notice contract.
MMaaR = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the INTEREST activity record existing for the
repayment of interest on an asset Contract through
MM.RECEIPT.ENTRY and will be for the value date of
principal repayment.
8 SECURITIES
SCFCS = This represents the code which will be associated to the
Currency activity record generated from a Securities
Transaction impacting the Asset & Liability Currency
position.
SCCSM = This represents the code which is associated to the
Principal Cash activity record relating to the maturity of
a security deal outgoing in the bank's own position.
SCGSM = This represents the code which is associated to the
Principal Interest Mismatch (gap) activity record relating
to the maturity of a security deal outgoing in the bank's
own position.
SCSCI = This represents the code which is associated to the cash
Interest activity record relating to the maturity of a
security deal outgoing in the bank's own position.
SCaaa = This represents the code(s) which will be associated to
the cash/gap account activity record(s) generated for
the for Securities movement at Security trade level.
9 TELLER
TTFXP = This represents the code which will be associated to the
Currency activity records generated from a Teller
Transaction impacting the Asset & Liability Currency
Position.
TTaaa = This represents the code which will be associated to the
Cash/Gap activity record generated from any Teller
transaction. A Cash activity record is only raised when
the associated accounting entry is for an Account.
The list of Position Classes that would be required if there were a CASH and GAP requirement to spread the online movements for all applications and to have a split between Non Nostro and Nostro Accounts. The base Position Classes are taken to be:-
ACASC Cash Non Nostro Accounts. ACAHG Gap Non Nostro Accounts. ACBSC Cash Nostro Accounts. ACBHG Gap Nostro Accounts.
The other Position Class required are: –
DC: DCASC = DC – Cash Non Nostro Accounts.
DCAHG = DC - Gap Non Nostro Accounts.
DCBSC = DC - Cash Nostro Accounts.
DCBHG = DC - Gap Nostro Accounts.
FR: FRASC = Settlement Amount. Cash Non Nostro.
FRAHC = Settlement Amount. Gap Non Nostro.
FRBSC = Settlement Amount. Cash Nostro.
FRBHC = Settlement Amount. Gap Nostro.
FRASH = Estimated Settlement Hedge. Cash Non
Nostro.
FRAHH = Estimated Settlement Hedge. Gap Non
Nostro.
FRBSH = Estimated Settlement Hedge. Cash Nostro.
FRBHH = Estimated Settlement Hedge. Gap Nostro.
FRAST = Estimated Settlement Trade. Cash Non
Nostro.
FRAHT = Estimated Settlement Trade. Gap Non Nostro.
FRBST = Estimated Settlement Trade. Cash Nostro.
FRBHT = Estimated Settlement Trade. Gap Nostro.
FT: FTASC = FT – Cash Non Nostro Accounts.
FTAHG = FT - Gap Non Nostro Accounts.
FTBSC = FT - Cash Nostro Accounts.
FTBHG = FT - Gap Nostro Accounts.
FX: FXASS = Spot Deals. Cash Non Nostro.
FXAHS = Spot Deals. Gap Non Nostro.
FXBSS = Spot Deals. Cash Nostro.
FXBHS = Spot Deals. Gap Nostro.
FXASF = Forward non IH deals. Cash Non Nostro.
FXAHF = Forward non IH deals. Gap Non Nostro.
FXBSF = Forward non IH deals. Cash Nostro.
FXBHF = Forward non IH deals. Gap Nostro.
FXASP = Notional Principal IH deals. Cash Non
Nostro.
FXAHP = Notional Principal IH deals. Gap Non Nostro.
FXBSP = Notional Principal IH deals. Cash Nostro.
FXBHP = Notional Principal IH deals. Gap Nostro.
FXASI = Notional Interest IH deals. Cash Non Nostro.
FXAHI = Notional Interest IH deals. Gap Non Nostro.
FXBSI = Notional Interest IH deals. Cash Nostro.
FXBHI = Notional Interest IH deals. Gap Nostro.
LD: LDASS = Principal Start. Cash Non Nostro.
LDAHS = Principal Start. Gap Non Nostro.
LDBSS = Principal Start. Cash Nostro.
LDBHS = Principal Start. Gap Nostro.
LDASI = Principal Increase. Cash Non Nostro.
LDAHI = Principal Increase. Gap Non Nostro.
LDBSI = Principal Increase. Cash Nostro.
LDBHI = Principal Increase. Gap Nostro.
LDASD = Principal Decrease. Cash Non Nostro.
LDAHD = Principal Decrease. Gap Non Nostro.
LDBSD = Principal Decrease. Cash Nostro.
LDBHD = Principal Decrease. Gap Nostro.
LDASM = Principal at Maturity. Cash Non Nostro.
LDAHM = Principal at Maturity. Gap Non Nostro.
LDBSM = Principal at Maturity. Cash Nostro.
LDBHM = Principal at Maturity. Gap Nostro.
LDASP = Principal Repayments. Cash Non Nostro.
LDAHP = Principal Repayments. Gap Non Nostro.
LDBSP = Principal Repayments. Cash Nostro.
LDBHP = Principal Repayments. Gap Nostro.
LDASN = Interest Payments. Cash Non Nostro.
LDAHN = Interest Payments. Gap Non Nostro.
LDBSN = Interest Payments. Cash Nostro.
LDBHN = Interest Payments. Gap Nostro.
LDASC = Discount Taken. Cash Non Nostro.
LDAHC = Discount Taken. Gap Non Nostro.
LDBSC = Discount Taken. Cash Nostro.
LDBHC = Discount Taken. Gap Nostro.
MM MMASS = Principal Start. Cash Non Nostro.
MMAHS = Principal Start. Gap Non Nostro.
MMBSS = Principal Start. Cash Nostro.
MMBHS = Principal Start. Gap Nostro.
MMASI = Principal Increase. Cash Non Nostro.
MMAHI = Principal Increase. Gap Non Nostro.
MMBSI = Principal Increase. Cash Nostro.
MMBHI = Principal Increase. Gap Nostro.
MMASD = Principal Repayment. Cash Non Nostro.
MMAHD = Principal Repayment. Gap Non Nostro.
MMBSD = Principal Repayment. Cash Nostro.
MMBHD = Principal Repayment. Gap Nostro.
MMASM = Principal at Maturity. Cash Non Nostro.
MMAHM = Principal at Maturity. Gap Non Nostro.
MMBSM = Principal at Maturity. Cash Nostro.
MMBHM = Principal at Maturity. Gap Nostro.
MMASN = Interest Payments. Cash Non Nostro.
MMAHN = Interest Payments. Gap Non Nostro.
MMBSN = Interest Payments. Cash Nostro.
MMBHN = Interest Payments. Gap Nostro.
MMASR = Interest Repayments. Cash Non Nostro.
MMAHR = Interest Repayments. Gap Non Nostro.
MMBSR = Interest Repayments. Cash Nostro.
MMBHR = Interest Repayments. Gap Nostro.
SC: SCASC = Deal level Movement. Cash Non Nostro.
SCAHG = Deal level Movement. Gap Non Nostro.
SCBSC = Deal level Movement. Cash Nostro.
SCBHG = Deal Level Movement - Gap Nostro.
TT: TTASC = Teller – Cash Non Nostro Accounts.
TTAHG = Teller - Gap Non Nostro Accounts.
TTBSC = Teller - Cash Nostro Accounts.
TTBHG = Teller - Gap Nostro Accounts.
Modifications à apporter au module PM pour le rendre EURO- compatible.
Rappel :
Le module PM est basé sur
• Des enquiries (CAS.BKCP, GAP.BKCP,…) qui se basent sur une table interne de suivi positions : PM.POSN.REAL.TIME
• Une table PM.POSN.REFERENCE dans laquelle des codes montants sont affectés et alimentent la table PM.POSN.REAL.TIME.
Une autre série d’enquiries (PM.CAS, PM.GAP,…) peuvent se lancer parallèlement, et donnent potentiellement les mêmes résultats. Elles se fondent sur la même table interne, les mêmes codes montants, mais utilisent en plus une table de mise en forme intermédiaire : PM.ENQ.PARAM
Dans cette dernière, le module EURO permet de faire apparaître l’ensemble des mouvements sur devises IN convertis en EUR et consolidés sur une ligne EUR.
L’objectif est donc de migrer vers ces nouvelles enquiries après :
Avoir configuré PM.ENQ.PARAM
Avoir défini les enquiries de substitution / supplémentaires S’être assuré de la pérennité des résultats existants
Exemple de définition de PM.ENQ.PARAM :
Exécution :
ENQ PM.CAS
test (esc1) G9.0.04 ENQUIRY, INPUT REF PM.CAS
[EQ NE LK UL GT LT GE LE RG NR]
(2)SELECTION (3)OPERAND (4)LIST
<r> CCY EQ EUR
PM.ENQ.PARAM EQ CAS
(6) Pre-set Selection.....
(9.1) Sort Field..........
(10.1) Fixed Selection....
(11.1) Fixed Sort Fields..
12 Print all pages (Y/N)..
Résultat :
test (esc1) G9.0.04 Cash Flow KEY : EUR
Date Amount In Amount Out Amount Net Amt Carry Fwd 1 30-09-98 +8,858,361.45 -44,466,890.00 -35,608,528.55 -35,608,528.55 2 01-10-98 +67,898,837.36 -120,775,528.70 -52,876,691.34 -88,485,219.89 3 02-10-98 +1,392,170.16 -4,490,777.72 -3,098,607.56 -91,583,827.45 4 05-10-98 +10,000,000.00 -66,375,539.43 -56,375,539.43 -147,959,366.88 5 06-10-98 +0.00 -178,821.11 -178,821.11 -148,138,187.99 6 07-10-98 +76,458,054.27 -34,568,082.18 +41,889,972.09 -106,248,215.90 7 08-10-98 +14,464,901.35 -3,984,178.09 +10,480,723.26 -95,767,492.64 8 09-10-98 +14,472,301.16 -1,581,768.06 +12,890,533.10 -82,876,959.54
Détail du 30-09-98 :
test (esc1) G9.0.04 Transaction Details EUR
Value Transaction CCY Transaction Transaction Total In
Date Reference Amount Total EUR
1 30/09/98 DIARSC982720001|.800 -23,239,866
2 DIARSC982720001|.800 23,239,866 0 0.00
3 MM9817700032 DEM 180,324.15
4 MM9817700032 DEM -202.53
5 MM9817700032 DEM 1,147.70 181,269.32 91,671.46
6 MM9823600010 BEF 69,945
7 MM9823600010 BEF 20,000,000 20,069,945 499,040.09
8 MM9823800009 BEF 82,466
9 MM9823800009 BEF 25,000,000 25,082,466 623,676.64
10 MM9823900010 FRF -1,512.00 11 MM9823900010 FRF -540,000.00 -541,512.00 -81,653.11 12 MM9823900011 ITL -4,700,000,000 13 MM9823900011 ITL -19,387,500 -4,719,387,500 -2,449,955.44 14 MM9823900012 XEU -2,500,000.00
1 MM9823900012 XEU -8,500.00 -2,508,500.00 -2,508,500.00 … 1 PM9826700036 FRF 26,997.00 26,997.00 4,070.80 2 PM9826700040 DEM 11,467.00 11,467.00 5,799.09 3 PM9826700049 ATS 8,423.00 8,423.00 614.36 4 PM9826700060 FRF 708,790.00 708,790.00 106,876.50 5 PM9826700069 FRF 134,887.00 134,887.00 20,339.24 6 PM9826700076 DEM 17,712.00 17,712.00 8,957.31 7 PM9826700085 DEM 77,085.00 77,085.00 38,983.40 8 PM9826700094 BEF 54,847,686 54,847,686 1,363,790.18 9 PM9826800029 FRF -13,057.71 -13,057.71 -1,968.94
10 PM9826800056 BEF 30,423,562 30,423,562 756,483.24
35,608,528.55
Total For Period 35,608,528.55
Tips
PM.PARAMETER :
• indique les modules opérationnels dans PM (# 3.x). Le champs 2 précise si l’on est en phase de paramétrage des états (CA), et impliquant alors un recalcul tous les soirs des positions, ou en phase « live » (NAU), qui se dispense des recalculs (temps du Batch réduit).
• Pour inclure un nouveau module, il faut passer par le programme PM.UPDATE.APPL, créer une clé « ADD » : l’EOD ajoutera automatiquement le(s) module(s) indiqué(s) dans la liste des application de PM.PARAMETER (champs 3.x). La procédure est identique si on souhaite enlever une module, choisir simplement la clé « DELETE » à la place.
Enquiries basées sur le GAP :
• Pour inclure les opérations Forex Swap, partie terme, il faut utiliser FXSWM dans PM.POSN.REFERENCE.• Sur les opérations titres, le champs 10 de PM.SC.PARAM permet de faire apparaitre soit le taux nominal, soit le Yield to Maturity (Taux de rendement à l’échéance). Ceci est utile pour les obligations zéro coupon. Le système va alors rechercher le contenu du champs 32 de SECURITY.SUPP. Le champs 8 permet de décider de l’horizon traité : pour les portefeuilles d’investissement, en général = MAT ; pour les portefeuilles trading, = 3W.• Les titres du type FRN apparaissent pour la prochaine échéance seulement et avec le taux courant (traitement différent de CAS).
Enquiries basées sur le CAS :
• Bug jusqu’en G11.0.01 : Interest at maturity missing (SCSCI) from PM.TRAN.ACTIVITY.• Les titres du type FRN apparaissent avec une projection jusqu’à la maturité, en crystalisant le taux courant. (traitement différent de GAP)
PM.LD.PARAM :
• Le champs 23 permet de projeter ou non les échéanciers jusqu’aux dates de maturité. (problème d’optimisation des temps de réponse).