FIRM User Procedures€¦ · Web viewDepartment / Location Finance Division, Head Office Players FTP User and Administrator Product or Service Description Funds Transfer Pricing Reports

FTP (Funds Transfer Pricing System (Profitability Procedure (7-5-105)

Department / Location

Finance Division, Head Office

Players FTP User and Administrator

Product or Service Description

Funds Transfer Pricing

Reports List of reports here that FTP produces, if any

Exhibits Excel spreadsheet applications for “off-line” rates and yield curve (YC) processing

Screens In manual where examples are necessary

Related systems Excel spreadsheets (“off-line” processing for rates & YC), GL:M, Systematics, Reuter, and Bloomberg systems

Reference Material IPS- Sendero FTP vendor manuals and Helptext

Vendor Manuals Helptext (on-line) for FTP

Procedure: FTP Date: July 31, 2005 Procedure No: (7-5-105)Page: 1 of 60 Status: Draft 2

Table of Contents

Introduction....................................................................................................................3Updating Daily Board Rates (DBR)..............................................................................5Macros in Excel Worksheets........................................................................................10Excel Files to Prepare DBR Daily Rates......................................................................12Monthly Yield Curve...................................................................................................15Monthly Overnight Mid Rate.......................................................................................18Monthly Pool Rates......................................................................................................26Monthly Call Rates......................................................................................................34Monthly GL:M Queries................................................................................................40Exchange Rate Revaluation.........................................................................................45FTP (Funds Transfer Pricing (on Sendero)..................................................................46Monthly Backup...........................................................................................................47Monthly FTP process...................................................................................................49Monthly Backup...........................................................................................................55TD Analysis.................................................................................................................58


Introduction

The bulk of rates and yield curve processing for the FTP module (Funds Transfer Pricing is done partially by the use of off-line Excel spreadsheets. FTP (and DMS), the Sendero products are invoked only at the end of the rate and yield curve processing that is done using Excel. The steps for FTP as related to the Sendero product follow those for the steps involving use of the Excel spreadsheets (“off-line,” non-Sendero process).


Systematics

Midas

HR

EXIMBILLS

Foreign Branch

Corporate Fin.

Domestic Invst.

GL

SQL-ORACLESAMADATABASE

DMS FTP

CPS

OPS

PPS

Impromtu

PowerplaySAMA


Updating Daily Board Rates (DBR)

Allows you to take the rates each day for loading into the FTP process. Rates are from Reuters (MKT rates). These rates are stored first on a diskette. Then ALCO and Domestic Banking make adjustments to the rates. The first adjustment is done by ALCO which is the Bid/Offer Spread. The second adjustment is done by Domestic Banking which is the Approved Spread. The second adjustment classifies deposits according to the term and amount.

Also you post the rates each day for time deposit and loans in the branches and on Riyad Bank’s youb site. __________________________________________________

Before you beginThere are different screens used to obtain the MKT (market rates from Reuters. Know what information is displayed on each of these screens before beginning the DBR update process. These screens are (on Reuters):

RYBR SUAA LIBOR01 BSFG JPYF TOPIRS MWMB

Retrieve Reuters rates each day

FTP User 1. Go to the Treasury Dept. each morning and retrieve the rates from Reuters by diskette.

2. Put a diskette into the Reuters terminal.

3. Open the Reuters terminal and check that all of the rates are updated for the particular day.

4. Click on Generate Daily Reuters (on Reuters and save the rates for the day in the file named Daily Reuters _mm-dd-yyyy.

5. Open the file and print the rates (should be eight [8] pages long and should cover all currencies).


6. Open A:\ and copy the file named Daily Reuters _mm-dd-yyyy to the diskette.

7. Go to I:\FTP yield curves\backup\Reuters data. Paste the Daily Reuters _mm-dd-yyyy file there.

8. Open I:\FTP yield curves\Daily\DBR_std and retrieve the Reuters data as shown below:

9. Check the data with print copy you just made.

10. Run the daily data [which buttons do you click?], and then check the print copy again.

Long-term update1. Open directory I:\FTP yields curves\bkup\DBR_files\

YCR_dd_mm_yyyy.xls.

2. Update the file for the day using the Reuters rates you just retrieved and save it.

Systematics rates


Systematics is updated each day with the rates of the “first adjustment.”

1. Update Systematics with the rates on the deposit index as shown on the screen below:

2. Open RDC then type pcicalt1\user id\password\write STX1.

3. Write down the index number from the index sheet and begin the update.

Note: If the rate is the same rate as the last rate updated, then press the F8 key to go to the next one. If the rate is not the same as the last one updated, then update the rate, and the date, and then press the Enter key.

4. After completing the update process for all the rates, press the Break key then type STXB.

5. Print the first page, the next page, and so forth.

6. Make a final check of the entire process for updating the rates as shown on the screen below:


Note: If you entered data incorrectly, do the following steps:

1. In position 06/060 type R to reset

2. Press Enter

3. Type Y to confirm

4. Press Enter

5. Update the correct rate and continue as usual.

GL rates1. Each day, from the deposit index rates do the following:

2. Open RDC

3. Type pcicmil2

4. Press Break

5. Type cesn


6. Enter your User Id

7. Enter your Password

8. Type m3ll

9. Enter your User Id

10. Enter your Password

11. Type gu----currency***----------------ON utp01 and update each currency

12. Update line 39 of each currency by using (r ) for replace as shown on the screen below.

Note: The SAR rate is sent from Risk Management on a daily basis by e-mail at 5:30 p.m. except Saturdays and Sundays.


Macros in Excel Worksheets

There are three (3) types of macros in the Daily Excel Workbook. These are explained below.

1. Yesterday’s Rates

This macro is used to restore yesterday’s rates. For example, on Sundays, only SAR rates change. Others remain the same. Thus, in order to save time this macro will restore the latest rates for all currencies, and the only update needed is for the SAR rates.

2. Error Fix

Serves the same purpose as the macro above except that it restores today’s rates if you discover that there is an error with inputting the rates in the Excel sheet.

3. Run Daily Rates Procedure (main one to use)

This macro does the following:

o Checks if the rates are entered. If not, the macro will not run. If yes, the macro will continue

o Saves the DBR for today without saving changes to DBR_STD (this file is a template)

o Updates the system date

o Makes printouts for the following Excel worksheets: Input Sheet, Time Deposit Rates E/A, and Index Rates.

o Saves deposit rates separately and sends an e-mail (to distribution list below)

o Saves loan rates separately and sends an e-mail mail (to distribution list below)

o Makes a backup of the long term rates


o Saves rates data to the ODS file and then sends it to X drive (Internet Banking Server)


Excel Files to Prepare DBR Daily Rates

There are four (4) main Excel files that are used to prepare the DBR daily rates. These are explained below.

DBR _STD.xls Used to prepare the daily rates. This file has several different worksheets:

1 YR: This is used as an input worksheet for the rates that come from Reuters on a daily basis (from the Treasury Dept.). Reuters does not have the rates for different periods (SAR 2, 3wks; 4, 5, 7, 8, 10, 11mons.; USD; GPB; Euro 3 wk). Thus, Excel calculates these periods according to specific formulas. Moreover, Excel has macro shortcuts to execute and run the program.

Y-C: This worksheet is used to to make the monthly yield curve (and makes a backup of the same each day).

Customer Rates: This worksheet makes the final printout of rates that will be sent to the branches. This file contains the time deposit rates classified according to the term and the amount of the deposits.

For this file, rates are first taken from the market, and then you make the first spread which is constant and is called “ALCO.” After that another spread called “domestic banking” is made. This spread is determined according to the amount, term and some other circumstances depending on the market. The larger the amount, the feyour rates that are taken. This is also true with long terms.

Loan Rates: This worksheet makes another final printout that is sent to the branches. It contains loans rates classified according to the term and the amount of the loan. This printout is sent to the main Riyad Bank centers in the kingdom. You take the market rate from Reuters. Then you add the loan spread for the different amounts.

Deposit Spreads: This worksheet contains the approved deposit spread from domestic banking for term loans.

Loan Spreads: This worksheet contains the approved loan spread from domestic banking for term loans.


Index rates: This worksheet is used to update Systematics and Midas on a daily basis. These rates are given by the market bid rates after the first spread by ALCO.

Call Rates: This worksheet has rates that are used on a monthly basis to update Systematics only at the close of the month using the 1st or 2nd date rates.

ODS Youb: This worksheet has the same rates that are produced in the customer rate sheets but in a different format to publish on the Internet. These rates are saved in X drive (owned by the Internet Banking Department).

DBR Today.xlsThis workbook is used to save the latest rates (the complete DBR_STD.xls file is available for use if necessary).

Deposit Rates.xlsThis workbook is used to save the latest time deposit sheets in Arabic and English.

Loan Rates.xlsThis workbook is used to save the latest loan rates in English only.

Distribution ListDeposit Rates:

Abdul Aziz Khalid Al-Ediheem

Adel Ateeq

Azhar Mahmood Chughtai

Saad Saeed Al-Ghamdi

Abdullah Balharith

Ahmed Al-Brahim

Fahad Al-Muammar

Mohammed Turki Al-Yahya

Mohsen Ahmad Al-Mawardi


Suliman Al Hussan

Treasury Dealing Room

Loan Rates:

AbdulAziz Al-Madi

Ahmed E. Al-Rabiah

Ali Al-Jutealy

Anwar Al Hudithi

Bandar Al-Homaid

Elias Issa Anz

Melwah Al-Subei

Mohammad M. Al-Awami

Mohammed Ali Basum

Mohammed Turki Al-Yahya

Riyadh Bahomaid

Suliman Al Hussan


Monthly Yield Curve

These files are made for use by the FTP (Sendero system. By using SIBOR-LIBOR market rates, you can determine the yield curve for major currencies. Files that will be used for the monthly yield curve are located in I:\FTP Yield Curves\Bkup\DBR_Files\YCR_dd_mm_yyyy.xls. These files are updated on a daily basis after updating the daily board rates (DBR).

Files needed

Three files are needed for the following five (5) currencies that represent the main currencies in the world market (SAR, USD, EURO, GBP & JPY).

1. SIBOR: This file contains the daily market rates beginning with and today going back to July 07, 1998. All currencies start with O/N (O/N = overnight rate and have five (5 year rates.

2. SIBID: This file contains the daily market rates minus 25 bps beginning with and today going back to July 07, 1998. All currencies start with O/N and have 1-year rates except SAR, which has five (5 year rates.

3. SIBID TD: This file contains the daily market rates minus 12.5 basis points beginning with and today going back to July 07, 1998. All currencies start with O/N and have 1-year rates except SAR, which has five (5 year rates.

4. SIBID TD < 1M: This file contains the daily market rates minus

25 bps beginning with and today going back to July 07, 1998. All currencies start with O/N and have 1-year rates except SAR, which has five (5 year rates.

5. LIBOR (curr): This file contains the daily market rates beginning with and today going back to July 07, 1998. All currencies start with O/N and have 1-year rates.

6. LIBID (curr): This file contains the daily market rates minus 12.5 bps for foreign currencies beginning with and today going back to July 07, 1998. All currencies start with O/N and have 1-year rates.


7. LIBID TD (curr): This file contains the daily market rates minus 12.5 bps beginning with and today going back to to July 07, 1998. All currencies start with O/N and have 1-year rates.

8. USD_IRS_Plus_Spread: USD IRS rates are for use by CPS-FTP on a monthly basis.

Yield Curve (YC Process)

FTP User 1. Open the Excel spreadsheet called I:\FTP-YC\Monthly\YC_Proc_1

2. Run the macro VBA Procedure Prepare Yield Curve Tables. This is a button you will see on the first worksheet when you open YC_Proc_1 as shown on the second screen (the first screen is the file location of YC_Proc_1 in the File Manager in Windows):


This macro will read all of the records for all currencies for the entire month. This macros runs as a cut and paste process.

3. Next, open I: FTP-YC\Monthly\YC_Proc_2

3. Run the macro the same way you did YC_Proc_1.

4. After processing, compare the results of the latest yield curve in FTP>latest yield curve>SIBOR SAR, LIBOR USD, EURO, GBP, and JPY with the daily file you make every day. Choose any of the five days for the comparison.


Monthly Overnight (ON) Mid Rate

ON_MID.xls file rates are required to calculate the overnight mid rate and to average the rates for a particular month.

ON MID.xls FileBefore updating the rates, the date in the file should be updated to reflect the correct rates for the period.

There are five (5) major currencies in the ON_MID file. Every currency has a unique way of calculating the MID rate:

a. SAR: calculated on the Risk Management Rate; the BID rate is from the Risk Management Department

b. USD: LIBOR O/N Rate: The LIBOR offer rate comes from DBR- MID Rate: = offer (minus – 6.25 bps)

c. EURO: EUR O/N Rate: The offer rate comes from DBR - MID Rate = Offer – 6.25 bps

c. GBP: GBP O/N Rate: The LIBOR offer rate comes from DBR- MID rate: = Offer – 6.25 bps

e. JPY: GBP ON Rate: LIBOR offer rate from DBR- MID rate: = Offer – 3.125 bps

You can find the ON MID.xls File as I: FTB Yield Curve\monthly\ ON MID as shown on the screen below:


FTP User 1. Change the date in the I:\FTB Yield Curve\monthly\ON MID file; then press Enter; then save and close.

2. Open the file again to show the new month’s data.

Note: If the new data does not appear, open the Rates_History folder; then open all currencies to let the I: FTB Yield Curve\monthly\ ON MID file read from them. This is an automatic process, but will take a few minutes to complete.

3. Print two (2 copies, one copy to check with the rate_history currencies and the second one to use with FTP.

ON MID Vostro

Risk Management MID rates are required to update this file. The file is read from ON MID.xls.

The steps are:

1. Open ON_MID_Vostro.xls.

2. To create a new month, copy the last month’s *.xls file and paste it into a new worksheet.


3. Copy and “paste special” (this is an Excel command) the values for the last month.

4. Right click the mouse and select move or copy.

5. Select ON_MID_Vostro_2004.xls, move to the end of the selection (selected area you are copying on the spreadsheet), and create a copy

6. Click OK.

7. Rename the new sheet with the actual month.

8. Bring the Vostro balance from GL:M (see below under How to calculate a Vostro Balance ).

9. Change the date and print.

10. Then, save and close.

11. Change the date, close, save and print.

You can see these steps as follow in the several screens below:




Change formula for no of days in the considered month to be calculated automatically

How to calculate a Vostro Balance

FTP User 1. Go to GL_M and do as shown on the following screens:

2. Type gu VLM------------- ON cquls as shown below.

3. Type br on the first line then press Enter. See below for an example.


Vostro Variable Comes from the GL-Q word file:

3. Type Branch eq 910

4. And account bt 30611 30999

5. And curr eq ‘1’ (as shown on the screens below).



Monthly Pool Rates

Pool rates are used to prepare the funding and borrowing costs for non-priced assets and liabilities. The rates yyyy.xls file that is located in the monthly folder is used to update the pool rates. Bloomberg, Reuters and SAMA are used on a monthly basis to update this file. Rates may be classified according to the term and the currency.

1. Asset Rates

Based on SIBOR/LIBOR

a. SAR: Risk Management provides this rate on a monthly basisb. USD, EURO, GBP & JPY: take rates directly from Bloomberg

SWAP

a. SAR: In the SAR-LT worksheet fill in the figures that are provided by Treasury to calculate the average rate for the last period

b. USD, EURO, GBP & JPY: Take rates directly from Bloomberg

2 Years Treasury

Take rates for USD and EUR from Reuters

2. Liabilities Rates

SAR: = Asset rates minus 25 bpsUSD, GBP, EUR: = Asset rates minus 12.5 bps JPY: = Asset rates minus 6.25 bps

3. Reserve Requirement Liabilities

Take liabilities rates minus 2%

4. NIB Rates:

Take liabilities rates minus 7%


Note: When you call Treasury for a SWAP in riyals, you have to ask for the cut off yield for GDB’s (2, 3, 5, 7,10 years). Sometimes, you will see the date 24/12/2004. This means that the rate was taken one youek before the end of the month because the international market is still open on Friday (if it falls on the last day of the month), and you cannot take the rate on that day (bank is not open on Fridays).

Steps for Monthly Pool Rates

FTP User 1. Open I: FTP Yield Curve\Monthly\Pool rates-current\rates2005

You will see a schedule of all currencies with their periods as shown on the screen below:

_____________________________________________________



As mentioned before:

SAR (SIBOR/LIBOR from O/N up to 1 year comes from Risk Management

SAR (SWAP for 2, 3, 5, 7, 10 years, comes from Treasury (Mohammed Setri ext. 2523)

2 years Treasury comes from Reuters

USD, EUR, GBP, JPY comes from Bloomberg. These are done only for asset rates.

Other liabilities and NIB rates are calculated according to the previously given data

How Bloomberg Works


By using Bloomberg, you can get the world market rates. Thus, you use Bloomberg to obtain the rates of the foreign currencies with different terms.

Bloomberg Steps

1. Open the Bloomberg screen, which is in the Treasury Department.

2. Type US00O/NindexGP then press Enter.

3. Change the date carefully and check if it is daily or youekly then press Enter.

4. Print each page when you’re finished.

Note: You will have a helpful sheet that contains the actual periods: I: FTP Yield Curve\Monthly\Pool Rates-current\Pool Rates-Monthly List

Processing Rates for the End of Month: 1Processing Year: 2005

Bloomberg Rates

Code Starting Period Ending Period Averaging

US00O/N 1/01/2005 1/31/2005 DailyUS0001M 1/01/2005 1/31/2005 DailyUS0003M 10/31/2004 1/31/2005 DailyUS0006M 7/31/2004 1/31/2005 DailyUS0012M 1/31/2004 1/31/2005 YoueklyUSSW2 1/31/2003 1/31/2005 YoueklyUSSW3 1/31/2002 1/31/2005 YoueklyUSSW4 1/31/2001 1/31/2005 YoueklyUSSW5 1/31/2000 1/31/2005 Youekly

EE00O/N 1/01/2005 1/31/2005 DailyEE0001M 1/01/2005 1/31/2005 DailyEE0003M 10/31/2004 1/31/2005 DailyEE0006M 7/31/2004 1/31/2005 DailyEE0012M 1/31/2004 1/31/2005 YoueklyEUSA2 1/31/2003 1/31/2005 YoueklyEUSA3 1/31/2002 1/31/2005 Youekly


EUSA4 1/31/2001 1/31/2005 YoueklyEUSA5 1/31/2000 1/31/2005 Youekly

BP00O/N 1/01/2005 1/31/2005 DailyBP0001M 1/01/2005 1/31/2005 DailyBP0003M 10/31/2004 1/31/2005 DailyBP0006M 7/31/2004 1/31/2005 DailyBP0012M 1/31/2004 1/31/2005 YoueklyBPSW2 1/31/2003 1/31/2005 YoueklyBPSW3 1/31/2002 1/31/2005 YoueklyBPSW4 1/31/2001 1/31/2005 YoueklyBPSW5 1/31/2000 1/31/2005 Youekly

JY00S/N 1/01/2005 1/31/2005 DailyJY0001M 1/01/2005 1/31/2005 DailyJY0003M 10/31/2004 1/31/2005 DailyJY0006M 7/31/2004 1/31/2005 DailyJY0012M 1/31/2004 1/31/2005 YoueklyJYSW2 1/31/2003 1/31/2005 YoueklyJYSW3 1/31/2002 1/31/2005 YoueklyJYSW4 1/31/2001 1/31/2005 YoueklyJYSW5 1/31/2000 1/31/2005 Youekly

Reuters Rates

Code Starting Period Ending Period Averaging

Q US2YT=RR 1/31/2003 1/31/2005 DailyQ EU2YT=RR 1/31/2003 1/31/2005 Daily

How Reuters works

1. Go to the Reuters screen and select one page.

2. Write the code number in the small rectangle then press Enter.

3. Right click the mouse and select the related graph.

4. Right click the mouse again and then select graphics properties.


5. Then select Statistics.

Note: When making this setting, select value instead of none. Then determine the start date, end date, and visible (yes).

6. Print each page.

Updating Pool Rates in GL:M

1. Go to GL:M. See the screen below.

2. Update each line of the currency from the schedule of the pool rates you have by putting the letter (r beside each line whether it has a number or not.

3. Then press F12.

4. Then print the page. Do the same with all other currencies.


Note: If you need help, just go back to the old files to refresh your memory.


Monthly Call Rates

This process is done when when the customer takes his deposit profit before the exact time of maturity. This is done at the beginning of the month.

1. Open the daily rates files I: FTP Yield Curve\Daily\DBR_Today

2. Copy the call rates as shown on the screen below:

3. Insert a new sheet in call rates 2005, then paste the call rates.

3. Select the “I” column, copy and paste the special values.

Note: You do that because the “I” column is connected to DBR so while the data has changed data, the formula should be kept the same.

5. Print and save.


6. Update Systematics, then send an e-mail to the call rates distribution list.

Updating Systematics Monthly Call Rates

Call rates are used to update the indices from 1 to 5 in Systematics on a monthly basis, normally at the beginning of each month.

There are two types of rates:

Fixed rates: These rates update the IOD rates pointer for SAR and EURO.

FIXED RATES:PCICALT1, IMX1, Type I, INDICES 1 To 5

IOD RATE POINTER RATE DEFINITION CCYINTEREST

RATE 1 M BID 1 M OFFER

1 1 M Sibid minus 50 bp SAR 2.0300 2.5300 2.78002 1 M Sibid minus 100 bp SAR 1.5300 2.5300 2.78003 1 M Libid minus 50bp EUR 1.4828 1.9828 2.10784 1 M Libor minus 10bp USD 2.4900 2.59005 1 M Sibid minus 25 bp SAR 2.2800 2.5300 2.7800

Tiered Rates: These rates report the Tiered Rates


TIERED RATES

PCICALT1, IMX1, Type M, INDICES 1 To 5

DEPOSIT SLABS

TIERED RATE POINTER

RATE DEFINITION CCY

INTEREST RATE 1 M BID

1 M OFFER TO CUSTOMER

1 NIL 0.0000 NA 20,600,000 ARAMCO

1 M Sibor minus 100 bp SAR 1.7800 2.5300 2.7800

9,999,999,999,999

2 NIL 0.0000 NA 1,000,000Corporate

SAR

1 M Sibid minus 300 bp SAR 0.0000 2.5300 2.7800 5,000,000

1 M Sibid minus 150 bp SAR 1.0300 2.5300 2.7800

9,999,999,999,999

3 NIL 0.0000 NA 1,000,000Corporate

USD

1 M Libid minus 300 bp USD 0.0000 2.4650 2.5900 5,000,000

1 M Libid minus 150 bp USD 0.9650 2.4650 2.5900

9,999,999,999,999

4 1 M Sibid minus 40 bp SAR 2.1300 2.5300 2.7800

9,999,999,999,999 STC

5 1 M Libid minus 50bp USD 1.9650 2.4650 2.5900

9,999,999,999,999 SABIC

The following are the steps to prepare the final call rates update:

1. Take a print out of the call rates from the DBR_Today.xls file in “I” drive.

2. Update Systematics as follows:

Open RDC\pcicalt1\user id\password

Type IMX1

For fixed rates indices from 1 to 5, type 1


Then update the current rates and the effective date. You should be careful which line you update.

Use the previous sheets for the last month to help you know what to do.


For Tiered Rates indices from 1 to 5, type M

Update the current rate and effective date as before.


Then take print out.

At each step, you should be careful with updating data and which line you input. This process in done on a monthly basis. Consequently so mistakes could happen at any time.


Monthly GL:M Queries

You use GL:M Queries to calculate the average and actual balances of certain products of the bank at the beginning of the month. Also, you use GL:M to make comparisons betyouen two months to find out the differences and the status of the bank respectively. Moreover, you can find out the status of the bank’s profits and know if they have gone up or down for all products.

FTP User 1. Open I: FTP Yield Curves\Monthly\GL:M Queries\Monthly GL:M Balances as shown below:

This Excel sheet contains the monthly GL:M balances for the previous months.

2. Insert a new sheet and rename it to the month ended. Copy the sheet of the last month and paste it into the new one.

3. Then delete all the old numbers and data for the old month.

4. After that, copy the data from the GL:M, which you will see in the next step.

GL:M Queries


Using GL:M queries, you can get the balance of each product to make the final report for the end of the month.

FTP User 1. Open the GL:M system.

2. Type gu vlm------------- ON cquls

3. Type br on the line then press Enter.


4. At the top of the display, write the actual two months and the average. After that, find the variable for the selected product from the GL Queries that have the entire range of variables for all products (saved in a Word file). It gives you quite long balances, so print (.b to reach the final balance of the selected product.

5. Copy the total amounts and then paste them into the Excel sheet which should be equal to zero as shown in the screen below:


6. Check the difference betyouen the end and the beginning of the month to be sure about the reality of the numbers.

7. Open the GL:M interface.

8. Print VJ0 (zero)------- cquls\enter

9. Choose account movement and type (br in the front of it.

10. Put the variable as usual but it should be in two lines only. So, copy the first two lines of the GL Query variable and paste it as the following screen shows:



Exchange Rate Revaluation

This process is done on the last day of the month and sent to the Oracle operator.

FTP User 1. Open the original Exchange Rate (template).

2. Open fx_mm_reval rates dated dd_mm_yyyy sent from Risk Management.

3. Select the fx_mm_reval rates sheet and copy it.

4. Paste this sheet into the original one. It will be executed automatically.

5. Save the file as Ex_Rate_yyyymm. Take a print out for the new file and the file received from Risk Management

6. Send the file by e-mail to the Oracle operator.


FTP (Funds Transfer Pricing (on Sendero)

The purpose of Funds Transfer Pricing is to centralize the interest rate risk of the bank into one management unit that charges or compensates at market rates for the use or supply of funds to business units. The principal objectives of the FTP methodology are to reflect the bank’s natural gaps and to provide interest rate risk management opportunities in an attempt to optimize the risk/income relationships according to ALCO’s balance sheet strategy. The process is made each month to produce FTP reports and to transfer the price of funds to every transaction available in the DMS database.

In order to run FTP, the yield curves and the key rates should be updated. FTP imports different currencies’ pool rates and yield curves on a monthly basis. On the other side, DMS imports data from text files produced by Riyad Bank business unit systems. After importing all data, the FTP process transfers a price to every transaction in DMS.

Daily and monthly tasks are performed to do the complete FTP-DMS cycle, such as Daily Board Rates, Monthly Pool Rates, Monthly Yield Curves, etc.


Reuters Daily Board Yield Rates Curves

Pool Rates

Bloomberg

DMS

FTP

Monthly Backup

You have to make a backup for FTP before doing anything else at this point in the procedure. The backup process is as follows.

Backup process

FTP User 1. Go to the Sendback icon in the full FTP (Sendero system) and open it.

2. Open the file then click on Backup.

Import Yield Curves in FTP

As you know already from earlier steps in this manual, Monthly Yield Curves contain different currencies that include:

SAR: which has SIBOR, SIBED, SIBED TD, and SIBED TD 1M which are taken from daily rates and long term rates

USD, GBP, EURO, and JPY: which have LIBOR, LIBED, and LIBED TD. These currencies are taken from daily rates and long term rates. Sometimes there are periods not found in the daily data. This information will be taken from Y-C, but this occurs only for the offer rate (SIBOR/LIBOR).

FTP User 1. Open FTP, and select File.

2. Open the ???? spreadsheet and select all currencies, then open them.

3. Open File again and import the spreadsheet data.

4. Open MID-ON and print.

5. Open Pool_Rates 2005 and print. It should be for the period for the month just ended.

6. Open Key Rate in FTP then input data.

7. Save and close.


7. Choose the suitable currency for the sheet opened. Click on (import file contains column labels then save and close.

8. After finishing all the currencies, you will need to finish the key rate in the same way.

9. For more help: Use the form of the Latest_Yield_Curve that has the list of all currencies to help you to avoid repeating mistakes as shown below in the next page.

10. Position of Y_C is: I: FTP Yield Curves\Latest_Yield_Curve.


Monthly FTP process

There are two drives:

FTP called partial takes less than 3m loans.

CPS called full takes all the loans.

Steps

1. Receive the FTP-GL Validation Report from the Oracle administrator and compare all of the balances on this sheet with the Monthly GL:M balances. If you find a difference betyouen the two sheets, go back to the administrator for correction.

2. Open (J drive: ( FTP Group on ‘FcdeiswJ)\FTP_current data\FTP interface\DMS import files\current month.


Importing data in DMS

First, be sure that you make a backup before you begin this procedure.

The purpose of the Sendero Data Management System (DMS is to provide a central data warehouse that can be used by IPS-Sendero’s analytical products or by third party software. Sendero DMS also includes application interface capabilities that transform data for use by other IPS-Sendero products, such as FTP and Impromptu.

FTP User 1. Open DMS and go to Process then Batch.

2. Run the program and check date and update (last day of the month).

3. Check batch.

4. To check the status of the files, go to setup then batch.

5. To be sure that the DMS imported, open J: FTP_current_data> FTP_interface> DMS_import_files>current_month then check files ended by (err)> open them and check errors = 0.


Reconciliation (DMS system)

Gives a summary of the bank’s products in the database.

1. Open DMS and select the product.

2. Go to reports \Query\Summary

3. Choose first rectangle (record status), second record (currency code)\proceed.

4. Do these steps for each product and compare them with the GL:M reports.

Impromptu Reporting software provided by Cognos. This software uses DMS as database to retrieve data and report them in an organized way.

1. Open Impromptu, then open file \FTP reports\Balancing Reports.

2. Choose the file and open by password.

3. Print the results.

4. Reconcile DMS, Impromptu, and GL:M results.


FTP uploading process

Prepares the FTP system to receive data from the Excel spreadsheets used for rate retrieval, spread, and yield curve calculations.

1. Open FTP then go to utilities\purge (purge: delete the files before making a new process)

2. Choose transfer tables (do not purge result tables ever). Then purge all\ok.

3. Go to process\batch processing\select DMS tables.

DMS Tables are:

Capital and Reserve Demand Deposits Domestic Investment Due From Banks Due To Banks Loans System Overdrafts Repos Saving Accounts Time Deposits Midas Time Deposits system Time Deposits system 2 Wholesale Loans (only in full system)

1. After selecting the DMS tables, change the effective date, which will be the end of the month.

2. Go to result, click new and write the name of the month and the year as yyyymm, then process and wait.

3. In case there is an error in one of the products, just purge the product itself and reprocess the same product again and alone.

4. Go to reports\run reports\select reports\static\transfer margins\application balances.

5. Choose result table\ yyyymm.


6. Run the reports and print the results.

7. Reconcile FTP report with Impromptu.

8. Compare FTP report of this month with the last month.


Exporting Data In exporting data, FTP takes the customer ID and transfer rate only to send to the Oracle administrator. He will then send the data to the reporting unit. There are two runs:

A partial run is done every month for quarters when a full is done first

A full run is done every quarter before partial and always ends CPS.

When you do the partial or full run, go back to (J drive: FTP_current_data\FTP interface\FTP OPS interface\current_month\(choose product to see the old months and see what products are selected.

To make adjustments to the products, go to setup\export then do editing.

How to export

1. Open DMS\process\export data

2. Select products, which will be dependent on partial or full.

3. Then run.

After sending FTP files to the Oracle administrator, he will send back a report that you should check and compare with your own transfer margin report. Normally, you will find small differences betyouen numbers so neglect them.

Next, you will get a sheet from the Reporting Dept. from OPS (Organizational Profitability System contains the statement of income.


Monthly Backup

You have to make a backup for FTP before doing anything else at this point in the procedure. The backup process is as follows.

Backup process

FTP User 1. Go to the Sendback icon in the full FTP (Sendero system and open it.

2. Open the file then click on Backup.


Monthly Treasury Report

This report is done after making the FTP monthly full report. The steps are as follow:

1. Open Impromptu, then open file.

2. Open: fcdftp\my document\FTP reports\treasury report\monthly reports.

3. Choose each product and open.

4. Check the date of sheet and total number then compare it with the DMS report for each product.

5. Save as\ \choose yyyymm\save as type PDF format\save.

How to make access to the server (full or partial)

1. Right click mouse on the My Computer icon in the full or partial system.

2. Choose Manage, and then select Local Users and Groups.

3. Open Users, then right click the mouse and choose New User.

4. Fill in your information then click Create.

5. On your PC, right click the mouse on the My Computer icon.

6. Then go to properties\advanced\environmental variables\new\fill your information\ok.

7. After that, make a link to the server by mapping as usual.

How to install FTP & DMS software


1. After making access to the full and partial servers, next you install software.

2. Copy the files that are in FTP Backup, which are:

SQL_NET.OLD, SQL_NET.ORA, TNSNAMES.OLD, TNSNAMES.ORA

3. Open C:ORANT\Network\admin\, paste the files, and then install.


TD Analysis

The TD (time deposit analysis exports data as flow charts and shows the status of the bank during the last fourteen (14 months.

Preparing TD analysis reports

1. Take a back up by copying the following files to your local drive. These files are located in //J: fcdeisw/FTP Interface/0TD_Analysis/TDA/

TD_Analysis.mbd TD_rep.pps TD_rep.xls

Note: In the FCIESW Server copy Systematic.dat and Midas.dat from the current month’s data to the last month’s folder (with format yyyymm).

Opening the TD_Analysis.mbd Access file in FCDEISW

1. Choose the month that you want to run. (If you want to run two months, select the1st month after the latest imported files, and select the number of months missing).

2. After that the system runds the procedure, and it will convert the Systematic.dat and Midas.dat files to txt files.

3. Import the SYS.txt and MIDAS.txt files. Then, the system will run the queries. Excel files will be exported to use them in the following run.

4. Close the (Access mbd file.

Opening TD_rep.xls and update links

1. Enable macros\password: ftp\no for links.

2. Go to the worksheets and in cell C8 type the month you want to process.

3. Save Excel file.

4. \Edit\Links\select all files to be linked except the last file, which is located in D drive (no need to select it \choose open source.


5. After the update done\close every file separately.

6. Save TD_rep.xls.

7. Update the top 20 corporate and top 20 consumers names in sheet 5p, starting Cell C29 and downward.

8. Save TD_rep.xls>keep it open to link it to PoyourPoint.

Opening TD_rep.pps and update links

1. Cancel for links.

2. Update dates in the first page, and update the MKT share graph if it is sent from Hamad Besher.

3. \Edit\Links\select all files to be linked\choose update now.

4. After the update done\save TD_rep.pps.

5. Save PoyourPoint file\save it as Adobe Acrobat Format\go to file\print\select printer to be Adobe Distiller\save it as the processing month name.

6. You have to check names and numbers by printing reports from DMS\reports\summary\choose customer id, customer name.

7. Compare the last month with current month.



END OF THIS DOCUMENT

Documents

FIRM User Procedures€¦ · Web viewDepartment / Location Finance Division, Head Office Players FTP User and Administrator Product or Service Description Funds Transfer Pricing Reports