TEMENOS T24

AM Dynamic Modelling

User Guide

Information in this document is subject to change without notice.

No part of this document may be reproduced or transmitted in any form or by any means,
electronic or mechanical, for any purpose, without the express written permission of TEMENOS Holdings NV.

Copyright 2005 TEMENOS Holdings NV. All rights reserved.

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Table of Contents
Overview .................................................................................................................................................. 4
Setup ....................................................................................................................................................... 6
T24 Dynamic Model ............................................................................................................................. 7
Configuration Diagrams ....................................................................................................................... 9
New Model Process ......................................................................................................................... 9
Amend Model Process ................................................................................................................... 10
[Link] .............................................................................................................................. 10
COMPANY ......................................................................................................................................... 11
[Link]................................................................................................................................ 12
[Link] ................................................................................................................ 13
[Link]............................................................................................................................... 14
[Link] records ...................................................................................................................... 14
Deal/Transaction processing ................................................................................................................. 15
[Link] ...................................................................................................................... 15
Model Input ..................................................................................................................................... 15
Copy of a Model ............................................................................................................................. 21
Integrity Check ............................................................................................................................... 25
Status summary ............................................................................................................................. 26
Performance ...................................................................................................................................... 34
Enquiry [Link]........................................................................................... 35
Performance Adjustment ................................................................................................................ 37
Archiving ............................................................................................................................................ 41
Archiving Example 1....................................................................................................................... 42
Archiving Example 2....................................................................................................................... 43
Restructuring of the Model Portfolio .................................................................................................. 45
Buy/Sell Mechanism .......................................................................................................................... 47
Cash Position Adjustment of Virtual Accounts .................................................................................. 48
Back Valuation ................................................................................................................................... 49
Enquiries ................................................................................................................................................ 58
AM Dynamic Model Maintenance ...................................................................................................... 59
EDIT ............................................................................................................................................... 61
NEW ............................................................................................................................................... 63
DEACTIVATE ................................................................................................................................. 64
DUPLICATE ................................................................................................................................... 65
TIMELINE ....................................................................................................................................... 66
STATUS ......................................................................................................................................... 67

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REVIEW MODEL BUILD ................................................................................................................ 68

VIEW HIERARCHY ........................................................................................................................ 69
UP................................................................................................................................................... 70
DOWN ............................................................................................................................................ 71
AM Dynamic Model Timeline ............................................................................................................. 72
AM Dynamic Model Integrity Status ................................................................................................... 73
AM Dynamic Model Rebuild Review .................................................................................................. 74

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Overview

T24 Static Modelling provides models in the sense that asset weights once defined in a strategy or
model portfolio are assumed to be constant. Conversely in T24 Dynamic Modelling, for each position
the nominal is fixed which implies that the asset weights change depending on the valuation prices.
Table below provides an example of a dynamic model with four shares. On January 31st the nominal
for each of the four stocks has been selected so that each position is allocated 25% of the portfolio’s
value. Valuation price changes make the allocation drift through time from the initial allowance.
When position nominals are kept constant over a time period, stocks with lower performance lose their
allocation share while stocks performing above average increase their valuation share. It also displays
the evolution of the allocation over time.
A portfolio kept with constant position nominal behaves the same way. Therefore, the goal of dynamic
models is to have models that display the same behaviour as portfolios. This is particularly useful for
portfolio rebalancing to ensure that all portfolios linked to the same model portfolio are tightly aligned
to the same allocation in such a way that they generate equivalent performance.
With static models, the percentage value allocation is fixed over the period thus implies rebalancing.
Common business practice tells that fixed allocations are appropriate for strategies while dynamic
models are more appropriate for the rebalancing of portfolios.
The reason why static allocations are appropriate for strategies is that in practice an asset class is
equated to a risk class. Under such an assumption constant allocations represent constant risk
exposure which is what the Banker usually promotes to his client.

Logitech Novartis Swisslog ABB

Nominal = 92 Nominal = 35.61 Nominal = 2322 Nominal = 179.86
Date Price Weight Price Weight Price Weight Price Weight
31-Jan-06 27.18 25.0% 70.20 25.0% 1.08 25.0% 13.90 25.0%
28-Feb-06 26.50 23.2% 70.60 23.9% 1.18 26.0% 15.70 26.9%
31-Mar-06 26.05 21.0% 72.50 22.6% 1.49 30.4% 16.45 25.9%
28-Apr-06 25.75 20.6% 71.15 22.0% 1.47 29.8% 17.70 27.7%
31-May-06 24.65 21.5% 67.55 22.8% 1.34 29.5% 15.40 26.2%
30-Jun-06 23.60 21.1% 66.20 22.9% 1.26 28.4% 15.90 27.7%
31-Jul-06 25.00 21.4% 69.90 23.2% 1.33 28.8% 15.90 26.6%
31-Aug-06 26.60 22.4% 70.25 22.9% 1.30 27.7% 16.35 27.0%
29-Sep-06 27.15 22.5% 73.00 23.4% 1.31 27.4% 16.45 26.7%
31-Oct-06 32.70 24.5% 75.50 21.9% 1.40 26.5% 18.50 27.1%
30-Nov-06 35.25 25.5% 69.85 19.6% 1.50 27.4% 19.35 27.4%
29-Dec-06 35.15 24.4% 70.25 18.9% 1.54 27.0% 21.85 29.7%

Example of a four stock allocation where each position is equally-weighted at the beginning of the period
(25%). Price changes during the period make the allocation deviate from the initial one.

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Conversely, dynamic portfolio allocations tend to drift over time. The drift can be quite significant in
particular over long periods of time. Such a drift increases the exposure to asset classes that display
higher performance. Unfortunately, these are usually also those that bear the most risk.

T24 provides both static allocations and dynamic model portfolios so that the most appropriate type
can be selected depending on what is to be modelled. Unfortunately, dynamic model portfolios are
more complex to maintain for many reasons: first the models need to be maintained, second
valuations and corporate actions need to be applied daily.

35.0%
Logitech
33.0% Novartis
31.0% Swisslog
ABB
29.0%

27.0%

25.0%

23.0%

21.0%

19.0%

17.0%

15.0%
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Drift of the allocation over time due to valuation price changes.

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Setup
The structure for dynamic model portfolios is a hierarchy. The dynamic model portfolio is at the top
level (the root). The entries of a dynamic model portfolio (DMP) can be either instruments or reusable
dynamic buckets (RDB). A dynamic bucket is a reusable container which is similar to a dynamic model
portfolio in the sense that it can contain as entries either other reusable buckets or securities. Note the
difference that the entries of a dynamic model cannot refer to other DMP’s while a RDB may refer to
other RDBs. However, a RDB should not refer either directly or indirectly to another RDB that already
refers to it thus forbidding any circular references. Furthermore it is not allowed for an RDB to be
referenced more than once within the hierarchy of a single DMP.
Typically, a model could be first segmented by Asset type, and then the Bonds segment would be
further segmented based on currencies. The Shares segment would as well be further segmented
according to country risk. The security level entries would only be attached to the second
segmentation level.
However, in practice, this flexibility is not used and the models always use a single breakdown level,
typically an Asset type axis with securities and/or RDB entries directly attached to the proper asset
type segment.
Figure 2 A typical structure where a DMP appears on the left side. The DMP refers to the RDB.

A typical structure showing a dynamic model portfolio referring to dynamic buckets. The first row of
each block displays its key.

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Bucket: Global Bonds Hedged

Reference currency USD
Node description Sec ID Nominal Invested amount Absolute Relative
▼ Money Market Instrument 51,940.00 5.02%
● United States of America 1713442 50000.0000000 51,940.00 5.02% 100.00%
▼ Bonds and similar investments 982,607.83 94.98%
● Königreich Dänemark 86149 190000.0000000 193,297.66 18.68% 19.67%
● Royaume de Belgique 248738 195000.0000000 195,657.56 18.91% 19.91%
● Royaume de Belgique 526437 203000.0000000 202,792.86 19.60% 20.64%
● Oesterreich Republik 1036168 160000.0000000 157,315.89 15.21% 16.01%
● République Française 1545229 230000.0000000 233,543.86 22.57% 23.77%
Total 1,034,547.83
Typical display for a dynamic bucket.

T24 Dynamic Model

Dynamic Modelling extends the existing modelling functionality within T24, by allowing the users to
construct dynamic models where the weighting can be amended as requirements change. These
dynamic models can then be used to create virtual portfolios, which in turn is used to create
investment strategies against which rebalancing can take place.
The [Link] application is used to define virtual customers. Portfolios created
against these customers will, by definition, be virtual. Normal trading activities should not be
processed against this portfolio or accounts linked to it.
The [Link] application allows the specification of a dynamic model (linked to a
virtual portfolio) by building up related ‘nodes’ which point to sub-nodes and/or securities with a given
weighting. A hierarchy of these ‘nodes’ defines a single model.
The system holds this data per node per day and automatically copies valid nodes during close of
business processing so that they are all then carried through to the next working day. The
[Link] application provides functionality to copy nodes or a collection of
nodes manually to different dates as required.
The enquiry [Link] will provide an entry point into input and maintenance of dynamic models.
The [Link] service will run automatically when a dynamic model has been
created or amended. This service produces details of recommended purchases or sales of securities.
These are then viewed, amended as required and processed within the enquiry
[Link].
The existing [Link] application is used to generate/regenerate the axis/matrix for the
investment strategy that the model represents.
Finally, the existing [Link] functionality is used to rebalance customer portfolios attached to
an investment program where the matrix defined is that of the dynamic model.
The rebalancing engine (along with Cash Management and the Dynamic Model generation software)
include the ability to round the proposed nominal amounts to a valid trading unit. Therefore where the
Portfolio positions are out of bounds according to the model, are rebalanced to the target, the nominal
of the generated deals is rounded to the defined rounding lot.
A rounding type of UP, DOWN or CLOSER determines the rounding behaviour as follows: -

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• UP: The nominal is to be rounded to the closest round lot above the target
• DOWN: The nominal is to be rounded to the closest round lot below the target
• CLOSER: The nominal is to be rounded up or down to the closest rounding lot depending on
whichever is closest to the target
This is configured at in a central parameter file ([Link] field [Link]) and also
at rebalancing request level ([Link] field [Link]).
Apart from the older versions created every time a change is made to a model, the model once it
passes its Validity date by the number of days specified in [Link] on the
[Link] , the record is moved to the history file. Refer to Archiving Chapter

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Configuration Diagrams
New Model Process

New Dynamic Model processing

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Amend Model Process

Amendment of Dynamic Model processing

[Link]
In order for the following functions to work, certain fields are to be set in [Link]
For Archiving, the number of days [Link] needs to be defined to control how many
days a dynamic model record stays on the live file once it passes its validity date; This field also
controls how many days [Link] records remain on the system before
they are deleted.

If this field is left blank or set to zero, the records remain indefinitely, and may at some stage cause
performance issues and need to be cleared by setting this parameter.

Furthermore, the field

[Link] has to be defined to enable the processing of
[Link] and subsequent trades generation.

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[Link]

Field Name Description

[Link] Define the area to be used for the OFS processing for AM
[Link] Define the version of [Link] input to be used
[Link] Must be an [Link] of type BROKER in
[Link]
[Link] Must be an [Link] of type DEPOSITORY in
[Link]

COMPANY
In order to use automatically generated ids, the relevant COMPANY record(s) field [Link]
for [Link] and [Link] have to be defined.

COMPANY

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[Link]
For each process where auto generated id is required, the corresponding [Link] record
needs to be defined.

[Link] Record

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[Link]
The virtual customers are defined within this application, so that data records and trading activities
created against these customers are treated by the system as virtual. It will only be possible to link
virtual portfolios (i.e. those belonging to virtual customers) against a dynamic model.

This record holds the portfolios and node names that are used for this customer.

[Link]

Field Name Description

[Link] This is the key to the table and must be a valid customer number
DESCRIPTION This requires up to 35 alphanumeric characters mandatory description
[Link] This is a NOINPUT field short name obtained from the customer record
XX<[Link] This NOINPUT field contains all the portfolios ids assigned to root nodes
XX>DYN..[Link] This NOINPUT field contains all the node names for corresponding portfolios

For Virtual Accounting, 3 Virtual Customers (1 for the Portfolio on the root node, one broker, one
depo) need to be set up, as well as the [Link] below

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[Link]

[Link]

The fields [Link] and [Link] need to be set up as above.

[Link] records

Service Description
.../[Link] Buy Sell mechanism for dynamic models
This is the service associated with populating
the virtual portfolio for the dynamic model, it
will be triggered after
…/[Link] has
completed.
…/[Link] Dynamic Model Service
This service provides all of the validation and
processing required to maintain a dynamic
model and to ensure that it’s valid.

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Deal/Transaction processing
[Link]
The dynamic model is created specifying at least a root node, which must detail a virtual portfolio, and
any number of subordinate nodes. The records thus created are stamped with the system date and
are valid for that day.
[Link] records contain references to specific securities or links to child nodes
against a specified segmentation scheme. Against each link or reference there is a weighting, either
in terms of a percentage of an arbitrary total value invested, held against the root node and expressed
in terms of the reference currency; or a specified nominal quantity for each security referenced. All
records linked to a root node must share the same reference currency and weighting method (i.e.
nominal or percentage of total invested).
Whenever these records are committed to the system, a background service validates the entire
model ensuring that the records are consistent with each other and constitute a proper hierarchy. This
hierarchy defines the dynamic model and allows for weightings or assignments against each segment
to be defined or amended independently of the whole model.

Model Input
A model is identified by its [Link] with a date association ie Nodename*YYYYMMDD
e.g. DYNMOD*20030808

[Link] Input

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The input is initiated by calling [Link] with any of the following

a. DYNMOD - ( today’s date with * separator is defaulted)
b. DYNMOD* - ( today’s date is defaulted)
c. DYNMOD*20030808 (ie Name*YYYYMMDD)
If the record exists, it can be edited or viewed, but not reversed, and should only be copied using
[Link] which is described later.

On input the [Link] and the [Link] are extracted from the Model Id, the [Link]
is set to the date of input, and the [Link] is set as To Be Validated.
Note the status after integrity checks (described later), is set accordingly. If it passes the integrity
checks, and the model has or is a root node, its status is set to Active. Else it is set to Inactive and
[Link] status is set to Error with reason given.

A description of what the model is trying to achieve can be input, along with the Reference Currency of
the model. This currency should be the same throughout the model hierarchy.
The model can be a Root node by selecting Yes for the [Link] , however it is advisable to create
all the Child nodes first followed by any Parent nodes then the Root node as the latter will insist on a
child node if a Node is specified for an [Link] . Note that a child can have more than one
parent or root nodes, and a root node cannot be a child node.
When a root node is being created, a valid [Link] [Link] needs to be input and
must be unique ie it does not exist in any other root nodes..
If a [Link] of Percentage is selected then a [Link] must be input as well,
however if Nominal is selected for [Link] then no value is needed.
Nominal type models also have the facility to add a NOMINAL against ‘Node’ [Link]. This
acts as a multiplier for the nominal amounts held in the child node and any subsequent nodes in the
hierarchy. I.e. The Nominal amounts specified against securities are multiplied by the product of all
Nominal values recorded on the parent nodes in the hierarchy, in order to calculate the proposed
holding.

A model requires a valid Segment on the [Link] file, to be defined, as well as any of its
Segment Label that will be used.
Each segment may be split in one or more [Link] consisting of Security or Node, each will be
apportioned a weighting [Link] together with [Link] and [Link]
if Percentage Value type was selected, with an overall total 100. However for a Nominal Value type,
the number of Nominal for the Security subject to its Trading Units is defined.

If an [Link] of Security is used, then a valid security on the [Link] file needs to
be defined, the model and reference prices and rates are defaulted from the exchange rates and
security records.
If [Link] is Node, then the Child Node with the same [Link], [Link] and
[Link] is required.

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Example of an [Link]

Example of a [Link]

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[Link] using Segment and Security

The above example show an Active root node model Id DYNMOD*20030808 with the [Link]
being the first part of the id - DYNMOD and the [Link] being the second part – 20030808
ie 08 AUG 2003.
The reference currency is USD and hence any child node if any, in the hierarchy must be USD as its
reference currency.
A Segment of ASSET of which the label STOCK has been selected, with a [Link] of Nominal,
thus ensuring that when the Security 100040-000 is chosen, only a multiple of the Trading Units (250)
for this stock is input for the Nominal – 500.
The [Link] of 98 is obtained from the [Link] of the Security record and as It is USD –
local ccy then the [Link] exchange rate is 1, this will stay unchanged while the [Link]
and the [Link] are the corresponding price and rate at the validity date of the model.

Note the Model status is To Be Validated as it has not been Integrity Checked yet by the background
Program [Link]. The service is run either automatically or manually by
setting the corresponding [Link] record, and is subject to TSM running.

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Child and Parent Nodes with Status To Be Validated

The above examples display a Child node and its Parent node, note that the child node identifies its
Parent node similarly the Parent node identifies its Child node. Note their status is To Be Validated.

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However once the Model Service Program processes the records, the status are changed accordingly,
in the following cases they are Active.

Child and Parent Nodes with Status Active

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Copy of a Model
It is not advisable to use copy function to create a copy of a model for a different date as it would not
ensure that the integrity of the model hierarchy. Therefore, in order to ensure this integrity, the model
copy program [Link] should be used at all times.

The Id is a free format, however if automatically generated id is to be used then define it within the
relevant COMPANY record(s) within the field [Link].

The copy program enables a specified model of a particular date [Link] to be copied as either
the same node name or a new node name [Link] Id of another date [Link] , subject to the
[Link] and Overwrite definitions.

The input program requires a unique Id with a suitable description, together with the node name of the
[Link] to be copied.

The [Link] identifies the specific date of the model to be copied and therefore must exist, but the
[Link] - the date for the copy for which the model may or may not exist.

Depending on the [Link] input ie All, Single, Parent or Child and the OVERWRITE input the
copy behaves differently.

If OVERWRITE is set to Yes, then any new model specified with same date is overwritten, however if it
is set to No, it displays an error if target models exist for the [Link].

These are the following actions for the [Link] selection –

All The Source node and every model in its hierarchy are copied.
Single The Source node only is copied, and also this is the only type that allows copy to new
Id.
Parent The Source node and all its parent models up to the root nodes in its hierarchy are
copied.
Child The Source node and all its child models in its hierarchy are copied.

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The following example shows that a model DYNMODCHILD for the 08 AUG 2003 is copied to a new
date of 10 AUG 2003, with [Link] All and OVERWRITE No. Since the child record has a parent,
they are all copied for the new date.

Copy of a Model

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Copy of a Model (Child)

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Copy of a Model (Parent)

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Integrity Check

Integrity Check of the dynamic model is done both online and in Close of Business (Cob) processing.
It validates the model as well as ensures that there are no cyclical references between the models. It
more or less complements the Input validation process.
Upon Input of a dynamic model, the [Link] is set as To Be Validated , and on Validation or
Authorisation, the validation process generates an error if the model meets any of the following error
conditions.
Child node or security is referenced more than once within a model.
Reference currency of the root node and the child node is not the same.
Reference currency of the root node and the child node is not the same of as that of the portfolio /
virtual portfolio reference currency.
The portfolio is not unique ie used in another root node.
A Security does not comply with the segmentation scheme of the model.

Once the model has passed all input validations and accepted, the [Link]
which is run as a background service, processes the record with [Link] set as To Be
Validated .
If an error condition is met, it sets the [Link] of the [Link] to Error and displays the error
in the REASON field.
It also ensures that
If in any child node, the field ACTIVE is set to No, then the [Link] of the root node is made
Inactive
If in all the child nodes, the field ACTIVE is set to Yes , then all the parent and root nodes status are
set to Active.
If models have any cyclical reference an integrity failure occurs which is then reflected in the
[Link] and REASON fields.
In Cob start of business processing, Active nodes are rolled over with a new working day date, this is
done by the program [Link]; an API hook has been allowed so that the
user may create a subroutine called [Link] which takes in an
[Link] record as its only parameter, thus enabling the user to manipulate the local
reference fields from day to day.

In Cob start of business processing, models reaching their validity dates are set to Active.

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Status summary
.The integrity check will validate the hierarchy of the specified node(s) and set the [Link]
and REASON fields of the root node(s) depending on the detected condition;

Root Node
Condition / Reason
Status

INACTIVE If any node in the hierarchy has its ACTIVE field set to N

If a node or security are referenced more than once in the hierarchy or

There is a cyclical reference within the hierarchy or
The assets referred to in sub nodes do not fit into their assigned part of the root
ERROR
level segmentation scheme.
The reference currency is not consistent throughout the hierarchy

ACTIVE If none of the nodes in the hierarchy are inactive and there are no error conditions.

Notes
• Only Active root nodes are used to rebuild model portfolios. If no active portfolio is found during
the daily rebuild processing, the system retains the current model structure held in the virtual
portfolio. No adjustments to the virtual portfolio can take place until a valid model is presented.
• It is possible to update the root node and child node to make it effective from a future date. The
integrity of that model is checked during SOD (start of day processing ) of that future date.

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Example 1
[Link] of Child and Root Nodes with status To Be Validated before the
[Link] is run

Child Node

Child node before Service

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Root Node

Root node before Service

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Example 2
[Link] of the Child and Root Nodes with status Active after the
[Link] has run.

Child Node

Root Node

Child & Root Nodes after Service

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Example 3

[Link] of a Root Node with Active field set to Yes, and two Child Nodes, after the
[Link] is run, showing their status have been changed to Active.

Root Node with Yes to Active

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Child Nodes with Yes to Active

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Example 4
[Link] of an Active Child Node after the Cob run, showing the corresponding new
Child Node for the new working day 20001204.
Before COB

Child node before Cob

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After COB

Child Node after Cob

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Performance

The fields [Link], [Link], [Link] and [Link] on the file

[Link] (the performance repository) are used in the computing of dynamic model portfolio
performance, using the following formula, where i is the day.
Eval i
div i = × div i −1 .
Eval i − (IF i + OF i )
The Divisor is computed daily during the calculation of performance and also during back value
recalculation of model portfolio.

The performance of the portfolio is computed as follows and updated in [Link] and
[Link]

EVal i
PI i =
div i
Note for first day, the start Divisor is taken as (Eval.1 /100) so as to give an initial performance of 100

[Link] Record

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Enquiry [Link]
This enquiry enables the performance of the portfolio to be viewed.

[Link] record for the portfolio 50042-1

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This record can be viewed using the enquiry ENQ [Link]

Enquiry display for portfolio 50042-1

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Performance Adjustment
It is possible to correct performance manually using [Link].

[Link] before adjustment

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Input of an inflow of 500,000 for the 15 Dec 2000

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After COB [Link] is updated ( In Flow.2)

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Using the Performance enquiry, the inflow of 500,000 is reflected on the 15 Dec 2000

Enquiry [Link]

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Archiving
A history of the dynamic model portfolio structure is maintained so that it is possible to go back in time
to any date and retrieve (and visualise) a snapshot of the structure valid at that date, accounting for
any change to the contents and structure of the dynamic model portfolios.
The orders generated by the rebalancing of a given model are traceable
Once an [Link] passes its Validity Date, the length of time it remains Active on the live
file before going to history is dictated by the number of days set in [Link] on the
[Link] file. If this is not set, it stays on the live file indefinitely.

[Link] with [Link] set

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Archiving Example 1
Shows a list of [Link] whose validity dates have been rolled over from 30/Nov/2000 to
the working day 04/Dec/2000 after the Cob run, and also showing initially no history records, as well
as the Node names file.

List of rollover dynamic models

No records in HIS file

No history file

[Link]

List of Nodes

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Archiving Example 2
Shows a list of Models whose validity dates have been rolled over from 04/Dec/2000 to next working
day 15/Dec/2000 after the Cob run, and also showing history records of model of 30/Nov/2000
archived, as well as the current Node names file

List of rolled over models

[Link]$HIS records after COB

History list after Close Of Business

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[Link]

List of Node names

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Restructuring of the Model Portfolio

The restructuring of a model portfolio requires a valid [Link] structure to be in
place with a portfolio defined on its root node.
When a Dynamic Model structure is input or updated for the current validity date, and has passed the
integrity checks, the Model Build service traverses the model and creates proposed BUYs and SELLs
to align the model portfolio (recorded on the root node) to the recommended security allocations
defined on the related Dynamic Model structure.
When Percentage is specified in the [Link] of the model then the value defined in the
[Link] field on the root, is used as the basis for creating proposed BUYs and SELLs
Details of the proposed Buys/Sells are recorded in the application [Link].
One record is created per Security/Parent Node/Root Node combination
Note – Proposed nominals are only created if the [Link] field on the model is set to
‘ACTIVE’. Therefore models with a future validity date will only create proposed BUYs and SELLs in
the ‘Start of Day’ run of the validity date (Assuming that the model passes Integrity Checks)
Subsequent model updates during the day result in the Model Build service being run, and any
existing unauthorised [Link] records being overwritten with the updated
proposed nominal.

[Link]

As can be seen in the screenshot, the proposed nominal and action can be overridden prior to
authorisation, via the fields [Link] and [Link]. It is recommended that this is
performed via the enquiry [Link]. This provides a view of a selected
model in terms of the Current and Recommended holdings, and the Delta value.

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It also provides the facility to update and commit the Proposed Nominal and Action. Refer to the
‘Presentation’ section for further details. In the event that the Proposed Nominal is updated to a value
that isn’t a multiple of the trading units, the Nominal will be automatically rounded up/down at the
commit stage, to the nearest trading unit depending on the rounding setting in [Link]

In the event that a Corporate Action takes place that results in a change to the nominal held in the
Virtual Portfolio (e.g. Stock Split), the Dynamic Model hierarchy is synchronised with the new portfolio
holding. This only takes place for Nominal type models by updating the relevant NOMINAL field(s) in
the model hierarchy. This takes place during the Close of Business (Batch record -
BNK/[Link])
Note – In the event that a Corporate Action results in odd lots being held in the model portfolio, some
manual intervention may be required in addition to the above synchronisation.

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Buy/Sell Mechanism

Creation of [Link]

Buy or Sell Security Transfers are created as a rebalancing recommendation for a portfolio.
When an [Link] is created, the background service
[Link] rebalances the model.

It generates an [Link] record in IHLD for each security within the portfolio,
with the proposed nominal value and recommendation for buying or selling in order to bring it to the
required target investment.

After any adjustment on the IHLD [Link] record input, and authorisation, a
[Link] transaction for the security, is generated by another background service
[Link].

The generation of the Security Transfer records from the [Link] records
are automated through the use of the new Presentation Enquiries. Please refer to Dynamic Model
Enquiries section.

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Cash Position Adjustment of Virtual Accounts

The application [Link] is used to amend the cash position of virtual
accounts without affecting P&L as no accounting is performed on these movements. The application
can only be used with accounts belonging to virtual portfolios, and each record can only be posted
once. The postings may then be viewed in the [Link] application.

Amending the balance of a virtual account

Entry shown in [Link]

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Back Valuation

Using the fields [Link] and [Link] of a dynamic model to amend price or exchange
rate for a security, triggers the new Buy/Sell recommendations.

AM Dynamic Model

Field Name Description

[Link] This allows the user to manually enter a price for a security, must be
null if not a security.
[Link] This allows the user to manually enter an exchange rate, must be null
if not a security.

Amendment of the price or rate of a back-value or today’s dynamic model record, results in new
buy/sell recommendations for the model, which can then result in security transfer being produced if
the recommendations are accepted.
The amended dynamic model record is checked by the integrity background service, and is set to
Active if correct.
The background services react to correctly align the virtual portfolio to the model by selling off any
positions that are held by the virtual portfolio that not in the model.
The model build service only operates on models whose status is “Active”. and deletes any existing
corresponding IHLD records for the model.
A Buy/Sell recommendation is produced as [Link] (AMPR) records which
may be accessed individually or through the fastpath enquiries, for either accepting or amending.
Once the record is committed, a back ground service process this AMPR record to generate a
Security Transfer record using the version specified in the Am parameter, with the value date as that
of the model date.
If the security transfer are to be updated on the AM history file [Link], then the
[Link] facility may be used to update the history record for the portfolio.

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Example 1
.

AM History record for 1137-1 for 20001215

Amendment of price to 90 for security 210100-000 and 91 for 200107-000

As a result of the change, the following [Link] records are created

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List of [Link] records

Security 200106-000

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Security 200108-000

Security 200107-000

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Security 210100-000

Acceptance of an AMPR

If an AMPR record is selected for acceptance, then a Security transfer record is generated as below
for the security.

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Security Transfer produced

Online Back Value Launch for Portfolio 1137-1

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If the AM history file for the portfolio 1137-1 is to be updated, then this is done by Verifying the above
record.

Verification of Online Back Value Launch for Portfolio 1137-1

Enquiry [Link] above shows that 2000000 of security 200106-000 have been sold

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Example 2

Using the presentation enquiry ENQ [Link] for back value model.

Presentation Enquiry for Node NOMBONDAD for 20001215 showing ALL levels

Selection of only 1 recommendation

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Security Transfer generated for a Buy recommendation of 1000 of Security 200108-000

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Enquiries
The Enquiries allow the user to:
• Maintain the Model Portfolio created by the Dynamic Model, adjusting the proposed Buy and
Sell quantities.
• List the Dynamic Models, with drill-downs to appropriate enquiries or functions.
• View the results of the Dynamic Model Integrity Check.
• List and maintain the history for one or more Dynamic Models.

Some enquiries are provided to aid in maintenance and overview of the [Link]
records created; along with the [Link] records created by the
model rebuild process, which links into the Buy/Sell mechanism.
These are as follows:

Enquiry Description
[Link] Maintain the currently valid model
[Link] Maintain Dynamic Model records for other dates
[Link] View the status of Dynamic Model records after the
integrity check
[Link] Review the proposed Buy/Sell orders against a model
and commit them.

AM Dynamic Model Enquiries

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AM Dynamic Model Maintenance

The enquiry [Link] allows the user to view and maintain the model(s) for the current validity
date.
The enquiry offers a number of selection criteria which perform the following functions:

Selection Field Valid Input Function

[Link] A key to a record in Specifies the node name of the
[Link] or blank [Link] records to be
reported on – if LEVEL is set to
‘CHILD’, will display a hierarchy of
nodes below this one. If LEVEL is set
to ‘ALL’ will display hierarchy of all
nodes connected to this one.
[Link] A key to a record in Search for the [Link]
[Link] or blank root node to which this portfolio is
linked – if LEVEL is set to ‘CHILD’ or
‘ALL’, will display a hierarchy of nodes
below the root.
[Link] A key to a record in Search for parents of this
[Link] or blank [Link].
[Link] A key to a record in Search for nodes for which this
[Link] or blank [Link] is a parent
LEVEL ‘ROOT’, ‘ALL’, ‘CHILD’ or blank ‘ROOT’ will return the root node of the
[Link] input. ‘ALL’ will return
all nodes linked to the [Link]
input and ‘CHILD’ will return all the
nodes below and including the
[Link] input.
[Link] A key to a record in Specifies the root node name to
[Link] which which all displayed records are linked
corresponds to a root node or blank – only hierarchies or nodes belonging
to this root node will be displayed.
[Link] ‘Active’, ‘Inactive’, ‘To Be Validated’, Search for nodes with a specific
‘Error’ or blank model status.

Selection Criteria for the [Link] enquiry

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The enquiry gives the ability to drill down to the following functions:

• Edit Amend [Link] or [Link] record*

• New Create new [Link] or [Link] record*

• Deactivate Mark the node as inactive

• Duplicate Copy the node via [Link].

• Timeline Launch the [Link] enquiry for this node.

• Status Launch the [Link] enquiry for this node

• Review Model Build Launch the [Link] enquiry for this node

• View Hierarchy View the hierarchy from this node down.

• Up Go up a level (view the parent nodes of this node).

• Down Go down a level (view the child nodes of this node).

* Will launch either application, depending on line selected. Other drilldowns are invalid for a segment.

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EDIT

Selecting a line display with a facility available and Clicking on the launches
the Edit function.
The example below shows how one can edit a dynamic model from a display of a portfolio root node.

Launch an edit of [Link] from Enquiry

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Another Example below , shows how a segment can be accessed for edit.
Clicking the Edit for the STOCK AND SHARES line, launches the [Link] edit screen.

Launch of [Link] edit from Enquiry

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NEW

Selecting a line display with a facility available and Clicking on the

launches the Input function.
Example below shows how one can input a new dynamic model or a new segment from a display of a

portfolio by clicking on the corresponding

Input screen for [Link]

Input screen for [Link]

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DEACTIVATE

Selecting a line display with a and Clicking on the launches the

dynamic model Input version [Link],DEACTIVATE that sets the Active prompt to No.

Deactivation of a node

This will update the record, if it is committed.

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DUPLICATE

Selecting a line display with a and Clicking on the launches the

dynamic model copy version [Link],AUTO

Copy of a node

This will create the new record NOMCHILD*20001230, if it is committed

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TIMELINE

Selecting a line display with a and Clicking on the launches the

[Link] enquiry for this node. See also Section AM Dynamic Model Timeline
This shows all records against a node name, i.e. all dates for which a particular node is valid.

Timeline display

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STATUS

Selecting a line display with a and Clicking on the launches the

[Link] enquiry for this node

Status display

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REVIEW MODEL BUILD

Selecting a line display with a and Clicking on the launches the

[Link] enquiry for this node

[Link]

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VIEW HIERARCHY

Selecting a line display with a and Clicking on the launches the View
of the hierarchy from this node down.

These selection criteria can be used together to show hierarchies. For instance, to display the
hierarchy linked to a portfolio, the [Link] selection field is set to the portfolio id and the
LEVEL is set to ‘ALL’. The following is an example of an hierarchy .

Viewing a hierarchy

The hierarchy display shows the nodes arranged in hierarchical order (parent to child order) where the
Segment labels are also displayed. The indentation markers (>) give an indication of the depth within
the model. Note that in the above example, DMP-EQ-USD-GROWTH is the root node, which contains
the segment labels MM Instr and Equity, below which are DB-MM-USD-A+, DB-MM-USD-A- and DB-
EQ-AGGR respectively. Note also that Securities defined in the models are not shown on the enquiry.

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UP

Selecting a line display with a and Clicking on the goes up a level to

enable the viewing of the parent nodes of this node.

Display of node at upper level

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DOWN

Selecting a line display with a and Clicking on the goes down a level
to enable the viewing of the child nodes of this node.

Display of node at lower level

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AM Dynamic Model Timeline

The enquiry [Link] shows all records against a node name, i.e. all dates for
which a particular node is valid, along with a timestamp.

Input of [Link] is mandatory within the selection criteria. The [Link] can also be
selected via the selection criteria.

AM Dynamic Model Timeline enquiry

Drilldowns allow the user to:

• Edit Amend [Link] record.

• Deactivate Mark the node as inactive on this date.

• Duplicate Copy the node from this date via [Link].

• Status Launch the [Link] enquiry for this node.

• Review Model Build Launch the [Link] enquiry for this node and date.

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AM Dynamic Model Integrity Status

The enquiry [Link] shows the status of the [Link]
records including any errors found as a result of the integrity check.
As this enquiry is driven directly from file, the selection criteria relate directly to the fields on the
[Link] records.

AM Dynamic Model Integrity Status

The drilldowns from this enquiry enable the user to:

• Maintain Launch the [Link] or [Link] enquiry
for this node. *
• Review Model Build Launch the [Link] enquiry for this node.

• Review Model Build All Launch the [Link] enquiry for this
hierarchy
* dependent upon whether this line is for the current validity date or not.

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AM Dynamic Model Rebuild Review

The enquiry [Link] shows the [Link]
unauthorised records relating to the [Link] records that are selected.
Essentially, the records are shown in a hierarchy as defined by [Link]. Therefore,
the selection criteria are similar to those for the [Link] enquiry.

Selection Field Valid Input Function

[Link] A key to a record in Specifies the node name
[Link] or blank corresponding to the
[Link]
records to be reported on – if
LEVEL is set to ‘CHILD’, will display
a hierarchy relating to this node and
nodes below it. If LEVEL is set to
‘ALL’ will display hierarchy relating
to all nodes connected to this one.
[Link] A key to a record in Search for the
[Link] or blank [Link] root node to
which this portfolio is linked, and
therefore corresponding
[Link]
record – if LEVEL is set to ‘CHILD’
or ‘ALL’, will display a hierarchy
below the root.
LEVEL ‘ROOT’, ‘ALL’, ‘CHILD’ or blank ‘ROOT’ will return the record
relating to the root node of the
[Link] input. ‘ALL’ will
return all records linked to the
[Link] input and ‘CHILD’ will
return all the records relating to the
[Link] input and below.
[Link] A valid date for which Specifies the date for which the
[Link] records [Link]
exist. records are to be retrieved. If this is
null, then the current date is
assumed.

AM Dynamic Model Rebuild Review – Selection Criteria

The enquiry lists the [Link]$NAU records in hierarchical order, and

contains collapsible columns detailing Node Name, Description (from the relevant
[Link] record), Segment Label and Asset Description ([Link] from the
relevant [Link] record). This editable enquiry allows the user to select the preferred
nominal buy and sell amounts and commit the deals. If the Buy/Sell service has been activated, the
orders will be generated in IHLD.

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AM Dynamic Model Rebuild Review enquiry

When the enquiry is committed, the Actual Nominal, Actual Direction and
[Link] keys are input into the [Link]
workfile. This automatically amends and authorises the relevant [Link]
records.
NOTE that [Link] needs to be set up to use automatically generated
ids by defining it within the relevant COMPANY record(s) within the field [Link].

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