Alchemy TreasuryOne is an integrated straight-through-processing platform with rich functionality for deal capture, position tracking, risk management and settlement of transactions across all asset classes and instruments. TreasuryOne has been implemented and live at client sites for over a year in Pakistan.

TreasuryOne implements pre-trade checks within a robust paperless workflow across front, middle, and back-office functions. Designed and developed under the guidance of treasury professionals, TreasuryOne increases visibility into treasury activity, reduces trading costs and improves operational efficiency and control.

 

 

 

 

 

 

 

 

TreasuryOne Features

Treasury Desk Summary Overview:

Money Market

Forex Market

Equity Market

Deals Capture and Pricing

Deals Capture and Pricing

Deals Capture and Pricing

Limit Management

Limit Management

Limit Management

Settlement

Settlement

Settlement

Portfolio Management

Multiple Revaluation Methodologies

Portfolio Management

CRR/SLR Tracking

Nostro Management

Position Keeping and Monitoring

Blotter Management

Blotter Management

Blotter Management 

Reports

Reports

 Reports

UQA (Reporting tool for users)

UQA (Reporting tool for users)

UQA (Reporting tool for users)

SBP MMCRS Integrated

SBP FXCRS Integrated

 

MISYS Core Banking Integrated

MISYS Core Banking Integrated

MISYS Core Banking Integrated

STAR Integrated

STAR Integrated

 

SWIFT Messaging

SWIFT Messaging

 

Reuters Rates Import

Reuters Rates Import

Price Feed Import

Detailed Features:

Money Market Front and Middle Office

Tickets

Information Screens

Call / Clean

State Bank Account Blotters Bank level and Treasury level

Repo/Reverse Repo

Maturity Profile (daily)

OMO/Discounting

Maturity Gaps (Long-term and Short-term)

Outright Sale/Purchase

Inventory Book

SARR (Sale Against Reverse Repo)

Inter-Bank Outstanding Deals

Inter-branch (TT)

Inventory Status and tracking

Miscellaneous -Withdrawals/Deposits to SBP

CRR/SCRR metrics tracking

  

Portfolio and deals MTM And revaluation display

  

Profit and Loss Real time display

Workflow

Limits Engine

Four Eye principal input and control for tickets

Ability to Stop ticket on potential limit breach

Ticket return, append ability.

Current Limit Status Screen

Tickets approval limits

Product limits check

Ability to cancel tickets before authorization

Pre trade limits check

Ability to cancel tickets after authorization

Counterparty credit limits

Ability to cancel tickets after day-end
(in certain cases)

Dealer intraday trading limits

  

Approver/Authorizer limits

  

Brokerage authorization control

  

Audit trail to track and display limits positions

  

Ability for temporary enhancement of limits

Others

Middle office analytics
(Alchemy Risk Manager required)

SARR Offset and Monitoring

VAR – Value at Risk reports

Alerts when user logins to system including:


Incremental VAR

  • Maturities

Duration and Convexity

  • HFT (and other alerts)


Instrument pricing calculators

  • Coupons

  

 

Money Market Back Office

Daily Processes

Tickets settlement

Day Start for Money Market

Access to Money Market Tickets

Branch Balances for State Bank Accounts

Deal Verification

Deal Confirmations for multiple deal ticket types

Deal Authorization

Money Market Monitoring (M3) integrated

SGL Prints for certain deal types

Day End for Money Market

Ticket Prints for all deal types

Price feeds upload (automated)

OMO/Discounting Documents’ Prints

Ability to mark status of confirmations received from counter parties

Discounting Annexure

  

SWIFT Message (MT 320)

 

Integration with Core banking

Workflow

Accounting Module (GL)

Four Eye principal input and control for tickets

Automated Voucher Generation

Ticket return, append ability


Daily maturity accounting

Tickets approval limits

Inventory Accounting

Ability to cancel tickets before authorization

Fully detailed Money Market Accounting for all deal types

Ability to cancel tickets after authorization

Day Start/End Accounting

Ability to cancel tickets after day-end
(in certain cases)

Audit Trail for Activity


 

Export of SoC (accounts) reports:

  

  • Brokerage Accounting Manual voucher entry for GL

  

  • Reval Accounting

  

  • Year end accounting

 

FX Front and Middle Office

Tickets

Information Screens

FX Today / Forward / Split

FX Blotter and Deal Monitor

FX Placement & Borrowing

Impact on MM Blotter and SBP Reports

FX Misc (NOSTRO Transfer etc)

Maturity Profiles

FX Swap

FEEL (Runtime)

FX-TMU Import/Export/Remittance

COP Monitoring and Limits

FX-TMU Foreign Bills Purchase

Nostro monitoring

FX-TMU Partial and complete take ups

Swap Profitability calculator

Fx-TMU Closeouts

Maturity Gaps

  

MTM /Revaluation

 

Profit and Loss Realtime display

Workflow

Limits Engine

Four Eye principal input and control for tickets

Ability to Stop ticket on potential limit breach

Ticket return, append ability.

Current Limit Status Screen

Tickets approval limits

Pre trade limits check

Ability to cancel tickets before authorization

Currency limits

Ability to cancel tickets after authorization

Dealer intraday trading limits

Ability to cancel tickets after day-end (in certain cases)

Approver/Authorizer limits


 

Brokerage authorization control

  

Audit trail to track and display limits positions

  

Ability for temporary enhancement of limits

Middle office analytics
(Alchemy Risk Manager required)

  

VAR – Value at Risk reports

  

Incremental VAR

  

Duration and Convexity

  

Instrument pricing calculators

  

 

FX Back Office

Daily Processes

Tickets settlement

Day Start for Forex Market

Access to FX Tickets

FC Asset/liabilities balances

Deal Verification

Deal Confirmations

Deal Authorization

Ticket Prints for all deal types

SGL Prints for certain deal types

Ability to upload Price Feeds for Forex Market (Reval Rates)

Ticket Prints for all deal types

Ability to mark status of confirmations received from counter parties

OMO/Discounting Documents’ Prints

Forex Market Accounting for all deal types

Discounting Annexure

Day End for Forex Market

SWIFT Message (MT 320)

Day End Accounting for Forex Market

Integration with Core banking

SWIFT Messages (MT 202,300,210)

  

Workflow

Accounting Module (GL)

Four Eye principal input and control for tickets

Automated Voucher Generation

Ticket return, append ability

Daily maturity accounting

Tickets approval limits

Fully detailed FX Accounting for all deal types

Ability to cancel tickets before authorization

Day Start/End Accounting

Ability to cancel tickets after authorization

Audit Trail for Activity

Ability to cancel tickets after day-end (in certain cases)

Export of SoC (accounts) reports

 

Brokerage Accounting Manual voucher entry for GL

 

 

Equity Front and Middle Office

Tickets

Information Screens

Equity Ready

Equity Blotter

 

Trading Portfolio

 

Investment Portfolio

 

Bonus Shares Portfolio

 

Top 50 Analytics

 

EQ Breach Limits Indication

Workflow

Limits Engine

Four Eye principal input and control for tickets

Ability to Stop ticket on potential limit breach

Ticket return, append ability.

Current Limit Status Screen

Tickets approval limits

Pre trade limits check

Ability to cancel tickets before authorization

Dealer intraday trading limits

Ability to cancel tickets after authorization

Approver/Authorizer limits

Ability to cancel tickets after day-end (in certain cases)

Brokerage authorization control

Ability to change the settlement dates of authorized deals (in case of unexpected holidays)

Audit trail to track and display limits positions

  

Ability for temporary enhancement of limits

 

 

Equity Back Office

Daily Processes

Tickets settlement

Day Start for Equity Market

Access to Equity Tickets

Deal Confirmations

Deal Verification

Ticket Prints for all deal types

Deal Authorization

Ability to upload Price Feeds for Equity Market (Revaluation Rates)

Ticket Prints for all deal types

Ability to mark status of dividends received from counter parties

Integration with Core banking

Equity Market Accounting for all deal types

Automated Voucher Generation

Day End Accounting for Equity Market

Daily maturity accounting

Day End for Equity Market

Fully detailed Equity Accounting for all deal types

 

Day Start/End Accounting

 

Audit Trail for Activity

Workflow

Accounting Module (GL)

Four Eye principal input and control for tickets

Brokerage Accounting Manual voucher entry for GL

Ticket return, append ability

Manual vouchers for recording of dividends after the Ex-dividend date.

Tickets approval limits

 

Ability to cancel tickets before authorization

 

Ability to cancel tickets after authorization

 

Ability to cancel tickets after day-end (in certain cases)

 

 

Organizational setup and infrastructure

Third party integration

Notification and Alerts Module

SBP MMCRS Integrated

System wide alerts sent to relevant users on screens

SBP FXCRS Integrated

Alerts for instrument maturities, coupons

MISYS Core Banking Integrated (MM, FX, EQ Desks)

Day start/end alerts, pending ticket and voucher notifications

STAR Integrated

Notification for unconfirmed deals

SWIFT Messaging Integrated

Users Setup/Control

Custom and flexible User Roles

Role-based privileges

Page-level User security

Audit Trail for each user activity

Strong Password checks

User Lock/Unlock mechanism

User account suspension

Password expiry

User screen timeout

Single login and multiple login checks

Full Audit trail of user actions

Reuters price feeds upload integrated

 

 

Workflow

TreasuryOne has a flexible, robust 4 stage workflow in place for tickets (front, middle to back) and a 2 stage workflow for back office GL voucher entries. The workflow also works with middle office components to control limits, pre trade checks and performs user audit to monitor data input.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UQA – Universal Query Analyzer tools

The UQA Tools enable user to query the TreasuryOne database and generate reports on their own based on various inputs, such as date, time, counterparty name, dealer id, instrument type, deal type, etc. In this way, several on demand reports can be designed, named and generated by the users themselves. The UQA tools provide an easy quick way to generate custom reports for audits, users and management requests.

LIST OF REPORTS

Money Market

  1. Realized Capital Gain / Loss
  1. Accrued Interest Summary
  1. Accrued Interest Detail
  1. Money Market Portfolio
  1. Mark to Market by Classification
  1. Maturity Gap
  1. Maturity Profile
  1. Cash Reserve Requirement Summary
  1. Money Market Daily Activity
  1. Discounting Annexure
  1. Money Market Statistics by Product
  1. Brokerage Summary
  1. Brokerage Breakup
  1. Brokerage Payment Letter
  1. PKRV Historical Rates
  1. Security Usage Trail
  1. Vouchers By Users
  1. MISYS Vouchers Reconciliation

Forex Market

  1. Foreign Exchange Position
  1. Foreign Exchange Exposure Limit (FEEL)
  1. FC Asset / Liability
  1. Interbank Gain / Loss
  1. TMU Profitability
  1. TMU Statistics
  1. Mark to Market Revaluation by Currency

  1. Maturity Gap
  1. Maturity Profile
  1. Nostro Accounts Balances by Currency
  1. Nostro Accounts Balances – Detailed
  1. Nostro Accounts Revaluation
  1. Nostro Gap
  1. Project Nostros
  1. Our / Their Nostro Balances
  1. Outstanding Deals by Currency
  1. Outstanding Deals by Type (Buy or Sell)
  1. Counterparty Limits
  1. Counterparty Exposure
  1. Limit Availability and Utilization by Counterparty
  1. Historical FEEL and NOP
  1. Historical Forex Rates
  1. Dealers Position
  1. Split Deals
  1. Yearly Volume Comparison
  1. Yearly Profit in PKR Comparison
  1. Yearly Number of Deals Comparison
  1. Yearly Brokerage Comparison
  1. Yearly Brokerage by Month
  1. Brokerage Summary
  1. Brokerage Breakup
  1. Brokerage Payment Letter
  1. Vouchers by Users

Equity Market

  1. Equity Mark to Market
  1. Capital Gain / Loss
  1. Equity Position
  1. Equity by Classification
  1. Equity Settlement
  1. Exposure Limit
  1. Daily Activity
  1. Scrip Settlement Calendar
  1. Brokerage Summary
  1. Brokerage Breakup
  1. Vouchers by Users

User Admin

  1. User Password Reset
  1. User Role Privileges Summary
  1. User Role Rights Summary
  1. User Profile

 

 


 

Here what we covered on Saturday at the Treasury Risk crash course at the Karachi Marriot (thank you Agnes for the notes). The one day Treasury Risk workshop in Dubai is now locked in on the 18th of March 2010 at the Dusit Thani in Dubai. You can download the nomination form here for the workshop.

First, to view trends from a much broader perspective, in general the practical as opposed to the quant/ data way to view distributions (effectiveness, behaviour, relationships). This is be one with the generator function (Nassim Taleb and Fooled by Randomness) or what we call the Nirvana effect.

Second, what is really happening when model price match market prices, especially in illiquid markets such as the one year FX swap space here in Karachi, Pakistan.

Third the difference between economic capital, regulatory capital and loss capital.

Fourth, linking Value at Risk limits to Stop loss limits and linking stop loss limits to book size and risk appetite.

Fourth, the second definition of Convexity, the fact that asset prices tend to rise by more and fall by less when interest rates change and the criteria for asset liability management and hence asset selection based on convexity (convexity of assets > convexity of liabilities).

Fifth, the allocation of portfolio assets by ALM criteria (duration and convexity)

Sixth, normally distributed actual returns are a reflection that a risk manager has not added value (similar to a coin toss) and that skewness is something to be viewed favorably, provided that it is skewed in the direction that meets existing risk return philosophy.