TRM User Guide
User Manual:
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- Contents
- Preface
- Chapter 1 Overview
- Chapter 2 Navigating TRM
- 2.1 Application Manager
- 2.2 Common application features
- 2.2.1 Opening applications
- 2.2.2 Closing applications
- 2.2.3 Generating reports on application activity
- 2.2.4 Using application controls
- 2.2.5 Using keyboard shortcuts
- 2.2.6 Using application menus
- 2.2.7 Customizing the display of applications
- 2.2.8 Sorting data
- 2.2.9 Printing data
- 2.2.10 Using manager applications
- Chapter 3 Managing static data
- 3.1 Static data entities
- 3.2 Static Data Editor
- 3.3 Managing static data in Static Data Editor
- 3.3.1 Creating new static data entities
- 3.3.2 Creating static data from an existing entity
- 3.3.3 Creating static data entities in parallel
- 3.3.4 Modifying static data entities
- 3.3.5 Deleting static data entities
- 3.3.6 Verifying static data entities
- 3.3.7 Finding static data entities
- 3.3.8 Using templates to create static data entities
- 3.3.9 Common Static Data Editor attributes
- 3.4 Managing SDM-enabled static data
- 3.5 Countries
- 3.6 Calendars
- 3.7 Gaps (time intervals)
- 3.8 IR quotes and yield curves
- 3.9 Currencies
- 3.10 Currency priorities
- 3.11 Settlement locations
- 3.12 Client groups
- 3.13 Clients
- 3.13.1 Creating clients
- 3.13.1.1 Assigning clients to groups
- 3.13.1.2 Setting up client contact information
- 3.13.1.3 Defining properties
- 3.13.1.4 Creating groups of clients
- 3.13.1.5 Defining multiple branch SWIFT codes
- 3.13.1.6 Assigning portfolio-owner specific properties
- 3.13.1.7 Setting up internal deal mirroring
- 3.13.1.8 Configuring counterparty-specific limit amounts
- 3.13.1.9 Attaching collateral agreements to portfolio owners
- 3.13.1.10 Applying classification groups to a portfolio owner
- 3.13.1.11 Setting up client accounts
- 3.13.1.12 Linking settlement locations to clients
- 3.13.1.13 Setting up client settlement instructions
- 3.13.1.14 Specifying automatic netting for settlement flows
- 3.13.1.15 Settling in another currency
- 3.13.1.16 Assigning credit ratings to clients
- 3.13.1.17 Assigning credit spread curves to clients
- 3.13.2 Managing clients
- 3.13.1 Creating clients
- 3.14 Portfolios
- 3.14.1 Creating portfolios
- 3.14.1.1 Setting further portfolio attributes
- 3.14.1.2 Assigning allowed users and processes
- 3.14.1.3 Setting up cost-of-carry for portfolios
- 3.14.1.4 Restricting transactions into this portfolio (optional)
- 3.14.1.5 Defining result treatments for a portfolio
- 3.14.1.6 Aggregating result calculations across portfolios
- 3.14.2 Managing portfolios
- 3.14.1 Creating portfolios
- 3.15 Result types and results
- 3.16 Instrument types
- 3.17 Instrument groups
- 3.18 Instrument Templates
- 3.19 Instruments
- 3.20 Classification groups
- 3.21 Classification rules
- 3.22 Comments and comment rules (optional)
- 3.23 Bank Account Type Editor (optional)
- 3.24 Branch codes (optional)
- 3.25 Calendar groups (optional)
- 3.26 Cashflow charges (optional)
- 3.27 Cashflow groups (optional)
- 3.28 Cashflow types (optional)
- 3.29 Cash pools (optional)
- 3.30 Country groups (optional)
- 3.31 Credit ratings (optional)
- 3.32 Currency classes (optional)
- 3.33 Ladder sets (optional)
- 3.34 Ladder rules (optional)
- 3.35 Option schedule templates (optional)
- 3.36 Option schedule template groups (optional)
- 3.37 Package types (optional)
- 3.38 Parameters (optional)
- 3.39 Properties (optional)
- 3.40 Schedule templates (optional)
- 3.41 Schedule template groups (optional)
- 3.42 Security Basket Editor (optional)
- 3.43 Security Criteria Set Editor (optional)
- 3.44 Security identifier types (optional)
- 3.45 Time zones (optional)
- 3.46 Transaction charges (optional)
- 3.47 Volatilities (optional)
- Chapter 4 Managing market data
- 4.1 Defining real-time quotations
- 4.2 Defining scenarios and subscenarios
- 4.3 Freezing rates automatically
- 4.4 Defining simulation scenarios
- 4.5 Rate Monitor
- 4.5.1 Rate Monitor menus
- 4.5.2 Toolbar
- 4.5.3 Start-up parameters
- 4.5.4 Managing market data in Rate Monitor
- 4.5.4.1 Configuring page layouts
- 4.5.4.2 Selecting axes values
- 4.5.4.2.1 Instrument axes
- 4.5.4.2.2 FX Rate axes
- 4.5.4.2.3 FX Volatility axes
- 4.5.4.2.4 FX Fixing Rate axes
- 4.5.4.2.5 IR Quote /Yield Curve axes
- 4.5.4.2.6 Credit Default Swap axes
- 4.5.4.2.7 Bond Option Volatility axes
- 4.5.4.2.8 Cap / Floor Volatility axes
- 4.5.4.2.9 Caplet / Floorlet Volatility axes
- 4.5.4.2.10 Swaption Volatility axes
- 4.5.4.2.11 Composite Index axes
- 4.5.4.2.12 Performance Index axes
- 4.5.4.2.13 Imported Index axes
- 4.5.4.2.14 Example: setting the volatility for EUR/USD
- 4.5.4.3 Configuring period axes
- 4.5.4.4 Selecting figures
- 4.5.4.4.1 Instrument figures
- 4.5.4.4.2 FX Rate figures
- 4.5.4.4.3 FX Volatility figures
- 4.5.4.4.4 FX Fixing Rate figures
- 4.5.4.4.5 IR Quote / Yield Curve figures
- 4.5.4.4.6 Credit Default Swap figures
- 4.5.4.4.7 Bond Option Volatility figures
- 4.5.4.4.8 Cap / Floor Volatility figures
- 4.5.4.4.9 Caplet / Floorlet Volatility figures
- 4.5.4.4.10 Swaption Volatility figures
- 4.5.4.4.11 Composite Index figures
- 4.5.4.4.12 Performance Index figures
- 4.5.4.4.13 Imported Index figures
- 4.5.4.5 Manually adjusting and creating quotations
- 4.5.5 Generating quotation reports
- 4.6 Pricing tools
- 4.7 Pricing complex derivatives
- 4.8 Bloomberg interface
- 4.9 Market Data Status Monitor
- Chapter 5 Managing rules
- Chapter 6 Managing activities
- Chapter 7 Reporting
- Chapter 8 Managing transactions
- 8.1 Transaction Manager
- 8.2 Capturing deals
- 8.2.1 Entering new deals in Transaction Manager
- 8.2.1.1 Calculating key-figures
- 8.2.1.2 Displaying valuation parameters in the Discovery Console
- 8.2.1.3 Using fractional prices
- 8.2.1.4 Defaulting prices
- 8.2.1.5 Changing result mode
- 8.2.1.6 Entering competitive quotes
- 8.2.1.7 Adding charges and fees
- 8.2.1.8 Creating an FX pair shift
- 8.2.1.9 Trade assignment
- 8.2.2 Canceling deals
- 8.2.3 Entering new deals in Enter Board
- 8.2.4 Setting up a pre-trade limit check
- 8.2.5 Enabling limit queries at transaction level
- 8.2.1 Entering new deals in Transaction Manager
- 8.3 Managing settlement instructions
- 8.4 Processing transactions
- 8.4.1 Retrieving transactions
- 8.4.2 Displaying transaction data in a chart
- 8.4.3 Verifying transactions
- 8.4.4 Confirming transactions
- 8.4.5 Correcting transactions
- 8.4.6 Matching and unmatching transactions
- 8.4.7 Performing actions on deals
- 8.4.7.1 Duplicating transactions
- 8.4.7.2 Packaging transactions
- 8.4.7.3 Previewing messages
- 8.4.7.4 Running reports on transactions
- 8.4.7.5 Checking the unavailable actions on a transaction
- 8.4.7.6 Adding information links to deals
- 8.4.7.7 Generating transaction comments
- 8.4.7.8 Setting base FX rates
- 8.4.7.9 Defining the valuation approach at transaction level
- 8.4.7.10 Assigning valuation models at transaction level
- 8.4.7.11 Changing IR exposure calculations at transaction level
- 8.4.7.12 Canceling provisional settlements in Transaction Manager
- 8.4.7.13 Processing special actions or events
- 8.4.8 Generating reports on transactions
- 8.5 Deal mirroring
- 8.6 Managing call transactions
- 8.7 Managing cashflow forecasts
- Chapter 9 Managing orders
- Chapter 10 Managing funds
- Chapter 11 Managing collateral
- 11.1 Setting up master agreements
- 11.2 Monitoring collateral positions
- Chapter 12 Monitoring positions
- 12.1 Treasury Monitor
- 12.1.1 Treasury Monitor menus
- 12.1.2 Start-up parameters
- 12.1.3 Configuring Treasury Monitor
- 12.1.4 Monitoring positions in Treasury Monitor
- 12.1.5 Simulating movements in Treasury Monitor
- 12.1.6 Using Treasury Monitor for risk measurement
- 12.1.7 Monitoring cost-of-carry positions
- 12.1.8 Generating position-related reports
- 12.2 Position Monitor
- 12.3 FX Spot Monitor
- 12.4 FX Position Roll Over activity
- 12.1 Treasury Monitor
- Chapter 13 Monitoring performance
- 13.1 Measuring performance and risk
- 13.2 Setting up performance measurement and risk
- 13.3 Performance Monitor
- Chapter 14 Portfolio modeling
- 14.1 Setting up portfolio modeling
- 14.2 Portfolio Modeling Monitor
- 14.2.1 Portfolio Modeling Monitor menus
- 14.2.2 Start-up parameters
- 14.2.3 Configuring Portfolio Modeling Monitor
- 14.2.4 Analyzing positions in Portfolio Modeling Monitor
- 14.2.5 Rebalancing
- 14.2.6 Generating deals
- Chapter 15 Managing benchmarks
- Chapter 16 Managing limits
- 16.1 Overview
- 16.2 Setting up limits
- 16.3 Limit Monitor
- 16.4 Limit Notifications
- 16.5 Analyzing limit violations
- Chapter 17 Managing transaction conditions
- Chapter 18 Managing cash and settlements
- 18.1 Managing cash and cash position
- 18.1.1 Managing bank account balances and interest
- 18.1.2 Managing cost of carry
- 18.1.3 Managing cash pool leveling
- 18.2 Setting up settlement management
- 18.3 Generating and processing settlements
- 18.3.1 Settlement Processing menus
- 18.3.2 Start-up parameters
- 18.3.3 Settlement processing modes
- 18.3.4 Processing settlements
- 18.3.5 Modifying settlement instructions
- 18.3.6 Generating settlement processing reports
- 18.4 Managing custody movements and balances
- 18.5 Reconciling settlements and custodies
- 18.1 Managing cash and cash position
- Chapter 19 Managing accounting
- 19.1 Parallel accounting
- 19.2 Realizing and processing results
- 19.3 Updating the book value of deals
- 19.4 Using TRM with a General Ledger system
- 19.5 Hedge accounting in Wallstreet Suite
- Chapter 20 Monitoring VaR
- 20.1 Setting up Value-at-Risk
- 20.2 Managing VaR data
- Chapter 21 Managing messages
- Chapter 22 Managing RMI and CMI
- 22.1 Managing RMI
- 22.1.1 Assigning RMI mapping strategies to instruments
- 22.1.2 Grouping by instrument
- 22.1.3 No Pending Cashflows
- 22.1.4 Defining yield curves for RMI
- 22.1.5 Defining equities for RMI
- 22.1.6 Defining instruments for RMI
- 22.1.7 Exporting and importing positions
- 22.2 Managing CMI
- 22.1 Managing RMI
- Chapter 23 Pricing IR and FX trades
- 23.1 Pricing IR trades
- 23.2 Pricing FX trades
- 23.2.1 FX Pricing tool
- 23.2.1.1 Menus
- 23.2.1.2 Sections
- 23.2.1.3 Setting Up FX Pricing instruments
- 23.2.1.4 Capturing transactions and strategies
- 23.2.1.5 Valuating and pricing
- 23.2.1.5.1 Defining the default pricing settings
- 23.2.1.5.2 Overwriting the default pricing settings
- 23.2.1.5.3 Modifying market quotes
- 23.2.1.5.4 Modifying derived market quotes
- 23.2.1.5.5 Monitoring key figures
- 23.2.1.5.6 Changing the preferred premium
- 23.2.1.5.7 Applying new figures to a given target
- 23.2.1.5.8 Charting
- 23.2.1.6 Processing transactions and strategies
- 23.2.1 FX Pricing tool
- Chapter 24 Working with the Dashboard
- Appendix A Activity parameters
- A.1 Bank Account Balances
- A.2 Bank Account Interest Realizing
- A.3 Benchmark Cash Processing
- A.4 Benchmark Rebalancing
- A.5 Book Value Change
- A.6 Call Money Account Update
- A.7 Call Money Roll Over
- A.8 Cash Pool Leveling
- A.9 Cash Settlement Reconciliation
- A.10 Checking Instruments and Transactions Clients
- A.11 Checking Instruments and Transactions Holidays
- A.12 Closing the Books Valuation
- A.13 Copy Market Information
- A.14 Cost of Carry
- A.15 Cost of Carry Interest Realizing
- A.16 Cost of Carry Zero Balancing
- A.17 Custody Balances
- A.18 Dashboard Excel Export
- A.19 Data License Prices
- A.20 Data License Output Processing
- A.21 Delete Instrument
- A.22 Detachment
- A.23 Dividend
- A.24 End of Day Processing
- A.25 End of Period Processing
- A.26 Equity Conversion
- A.27 Fixing ABS Repayment
- A.28 Fixing ABS Repayment (Full Repayment)
- A.29 Fixing Bond Cashflow
- A.30 Fixing Bond Cashflow - Undo
- A.31 Fixing Transaction Cashflow
- A.32 Fixing Transaction Cashflow - Undo
- A.33 Fixing Transaction Trigger
- A.34 Fixing Transaction Trigger - Undo
- A.35 Forecast Exposures from CMM
- A.36 Forward Fixing
- A.37 Fund Data Calculation/Reporting
- A.38 Fund Fee Realizing
- A.39 FX Fixing Transaction Cashflow
- A.40 FX Fixing Transaction Cashflow - Undo
- A.41 FX Option Strategy Exercise
- A.42 FX Position Roll-Over
- A.43 FX Realizing
- A.44 Import Instrument
- A.45 Import Market Information
- A.46 Import Security List
- A.47 Index Freeze
- A.48 Index Rebalance
- A.49 Index Adjustment
- A.50 Netting
- A.51 Netting - Undo
- A.52 NumeriX Calibration
- A.53 NumeriX Valuation
- A.54 FX Option No Exercise
- A.55 Performance Data Calculation
- A.56 Portfolio Modeling Processing
- A.57 Purge Market Quotes
- A.58 Return of Capital
- A.59 Risk Manager Export
- A.60 Save Caplet/Floorlet Volatilities
- A.61 Save Derived IR Quotes and Yield Curves
- A.62 Selling (FIFO and Avg Balances)
- A.63 Selling Values
- A.64 Settlement Generation
- A.65 Security Positions Data
- A.66 Security Settlement Reconciliation
- A.67 Split
- A.68 Undo Book Value Change
- A.69 Update Client
- A.70 Update Corporate Action
- A.71 Update Instrument
- A.72 Update Settlement Instructions
- A.73 CreditManager Exposure Export
- A.74 CreditManager Obligor Export
- Appendix B Report parameters
- B.1 Activity Log Report
- B.2 Balance Report
- B.3 Bank Account Statement Report
- B.4 Book Value Change History Report
- B.5 Call Reports
- B.6 Cashflow Report
- B.7 Cashflow Fixing Report
- B.8 Cashflow Log Report
- B.9 Cheapest to Deliver Report
- B.10 Classification Report
- B.11 Client Update Log
- B.12 Collateral Management Report
- B.13 Collateral Report
- B.14 Competitive Quote Report
- B.15 Corporate Actions Update Log
- B.16 Corporate Actions Update Report
- B.17 Custody Balance Report
- B.18 Custody Reconciliation Report
- B.19 Data License Output Processing Report
- B.20 Data License Prices Log
- B.21 Data License Prices Import Log
- B.22 Delivery Report
- B.23 Drawdown Fixing Report
- B.24 Event Diary Report
- B.25 History Log Report
- B.26 Holidays Checking Report
- B.27 Holidays for Period Report
- B.28 Import Market Information Log Report
- B.29 Instrument Delete Log
- B.30 Instrument Import Log
- B.31 Instrument Import Report
- B.32 Instrument Update Log
- B.33 Instrument Update Report
- B.34 Key Figure Report
- B.35 Limit Log Report
- B.36 Periodic P/L Report
- B.37 Rate Report
- B.38 Rate Comparison Report
- B.39 Rate Log Report
- B.40 Realize Account Interest Report
- B.41 Reconciliation Report
- B.42 Reconciliation Log Report
- B.43 Renaming Client ID Report
- B.44 Security List Import Log
- B.45 Settlement Report
- B.46 Settlement Cashflows Report
- B.47 Settlement Instructions Chain Report
- B.48 Settlement Log Report
- B.49 Transaction Conditions Report
- B.50 Transactions Report
- B.51 Transaction Log Report
- B.52 Transaction Market Rate Report
- Appendix C Start-up parameters
- Appendix D SDM - CMM mapping
- Appendix E TRM - RMI/CMI mapping
- Appendix F Cashflow attributes