TEMENOS T24

Structured Products Builder

User Guide

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electronic or mechanical, for any purpose, without the express written permission of TEMENOS Holdings NV.

Copyright 2005 TEMENOS Holdings NV. All rights reserved.

Structured Products Builder

Table of Contents
Overview.................................................................................................................................................. 3
Setup ....................................................................................................................................................... 4
Creating a SY Trade Input Application ................................................................................................ 4
Defining a Structured Product .............................................................................................................. 8
Product Description .......................................................................................................................... 9
Event Definition .............................................................................................................................. 10
System Events ............................................................................................................................ 11
Unit Definition ................................................................................................................................. 12
Product Definition ........................................................................................................................... 16
Connect User Input Application to the Product .......................................................................... 20
Underlying Application Dependencies ............................................................................................... 21
Non Stop Processing ......................................................................................................................... 22
Delivery .............................................................................................................................................. 23
Delivery Interface ........................................................................................................................... 23
Product Level Configuration ........................................................................................................... 25
Unit Level Configuration ................................................................................................................. 26

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Structured Products Builder

Overview
The Structured Products Builder (SB) enables the construction of new instruments which can then be
published in the T24 Arrangement Architecture Product catalogue. These instruments are created by
combining various product types which can be represented in T24. This combination can happen
either at instrument initiation or at a time or event triggered point later.
A key principle of the Structured Products Builder is the ability to define a product in a straightforward
way without the need for lengthy setup, or creation of any code. This also includes the re-use of
common components such as product events, and the existing functionality in T24.
The configuration of a product is the combination of events and units of work to synthesise the
features of a Structured Product using the underlying T24 modules as the building blocks for that
product.
The key applications of the Product Builder are illustrated below.

The functionality provided in the Structured Products Builder (SB) module is dependant upon the
Structured Products (SY) module also being installed in the T24 environment.

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Setup
This section describes the construction of a new Structured Product, the related input application, the
Accounting setup, and considerations.

Creating a SY Trade Input Application

EB.TABLE.DEFINITION is a core T24 application that allows ‘dynamic templates’ to be created. In
the case of Structured Products EB.TABLE.DEFINITION provides the facility to create the input
applications that will capture data and input Structured Product transactions – e.g. SY.OTCCRAN.
These applications must provide the input fields required to successfully process a SY trade through
the underlying T24 applications, for the product in question. They also include any field properties and
application vetting.

The following example illustrates the EB.TABLE.DEFINITION record for OTCCRAN.

EB.TABLE.DEFINITION

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Any cross validation of the field values on the above input application requires a separate routine
which is defined in EB.TABLE.PROCEDURES. The id of this record is the same as the input
application – e.g. SY.OTCCRAN

EB.TABLE.PROCEDURES

To ensure that all versions of the input applications (plus the ‘non version’ application) operate
correctly within the SY module, the following VERSION and VERSION.CONTROL setup is required.
Each of the applications created in the previous step require a VERSION.CONTROL record that
must have the following field values: -

INPUT.RTN – SY.INTERFACE
AUTH.RTN – SY.INTERFACE
NON.VERSION.RUN - Y

VERSION.CONTROL

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All VERSIONs of the above applications must then have the EXC.INC.RTN field set to ‘Yes’.

VERSION

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If required, auto numbering of each of the above applications can be implemented by defining them in
AUTO.ID.START and in PGM.AUTOM.ID on the COMPANY record(s) as per the following
example: -

AUTO.ID.START

COMPANY

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Defining a Structured Product

The configuration of a product is the combination of events and units of work to synthesise the
features of a Structured Product, using the underlying T24 modules as the building blocks for that
product.
Structured Products are defined using the Product Builder (SB) and consist of a series of functional
elements which include the following: -
• Product Lifecycle Event definitions – describes the possible T24 events which can happen to a
product (e.g. Create, Input, Maturity, Knock out)
• Product Unit definitions – acts as the mechanism for exposing other T24 modules to the structured
products module. Defines the actions/units of work to perform when an event takes place
(including any rules, decisions, calculations, etc.)
• Product Definitions – records each structured product definition, using elements drawn from the
Product Lifecycle Event, Product Unit and Product Feature tables.

Product Builder Workflow

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Structured Products Builder

The following sections describe the tables required to create a new Structured Product and their
context.
Once a product has been successfully constructed it should be published in the AA Product Catalogue,
prior to being traded. This is described in the Structured Products User Guide.

The preconfigured OTCCRAN product is used in the illustrations throughout this section.

Product Description

The initial step is to create a SY.PRODUCT.DESCRIPTION record which records the basic
description of the product. This is illustrated in the following example.

SY.PRODUCT.DESCRIPTION

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Event Definition

The application SY.EVENT.DEFINITION enables the definition of the events that take place during
the lifecycle of a Structured Product – e.g. Create, Input, Maturity, Knock out, Kick in, Fixing Dates, etc.
These definitions act as a template for the SY.EVENT record instances that are automatically created
per transaction during transaction processing.
Events can map to T24 functions, to other T24 events, and can be defined to be triggered ad-hoc by
the user or an external process.

Features that can be applied to events include the following: -

• Allow event to run more than once during the lifecycle of a single deal.
• Set an event to take place on scheduled dates, at regular frequencies, on an ad hoc basis, or at
specific stages of the product lifecycle.
• Define the last event in a product’s lifecycle, after which no further events may take place.
• For Scheduled and Rolling events - define the phase in the COB that the event takes place.

The following example illustrates a daily event related to an OTCCRAN.

SY.EVENT.DEFINTION

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System Events

The following generic SY.EVENT.DEFINITION records are available in T24. These are triggered
when a standard T24 action (e.g. Reverse) that isn’t defined on the SY.PRODUCT.DEFINITION
takes place.
E.g. When a SY deal is reversed and a ‘Reverse’ event hasn’t been defined on the related Product
Definition, the sySystemReverse event is triggered to reverse the underlying trades.

sySystemAuthorise – Generic Authorise plug in

sySystemAuthoriseReversal – Generic Authorise Reversal plug in
sySystemReverse – Generic Reversal plug in
sySystemDelete – Generic Delete plug in
sySystemDeleteAmendment – Generic Delete Amendment plug in

Authorise Plugin

All ‘System Events’ are prefixed sySystem and must not be changed. Should a deviation from the
normal product lifecycle be required a new event with an appropriate event type needs to be setup for
that specific purpose.

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Unit Definition

The table SY.UNIT.DEFINITION enables the creation and modification of the Units of work for a
specified Structured Product.
A Unit represents a component part of a Structured Product and will usually be a Deal through an
existing T24 application/VERSION, but can also be a unit of work or piece of processing to be carried
out during the product lifecycle (e.g. an external API call, which passes information to another system).
The Unit also encapsulates a bi-directional mapping between the Structured Product and the
underlying T24 application/VERSION. I.e. populates the required data on the underlying application.
An operation on a Unit is triggered when an Event is processed during the Structured Product lifecycle.
For example the input of a new Callable Range Accrual Note trade would trigger a Unit that creates an
underlying MM.MONEY.MARKET.
These definitions act as a template for the SY.UNIT record instances that are automatically created
per transaction during transaction processing.

The following example illustrates a SY.UNIT.DEFINITION record: -

SY.UNIT.DEFINITION – Description

SY.UNIT.DEFINITION – Mapping

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SY.UNIT.DEFINTION – Virtual Fields

Units also allow for logical data manipulation and calculation through the use of Product based
Variables (Virtual Fields) which allow the product to gather information from other parts of T24 without
having this captured on the T24 User Input Application. This data can then be manipulated in various
ways.
Using the product variables it’s possible to introduce logic into the processing and filter out units of
work if they are not required under defined conditions.

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Any number of variables can be associated with the product and the source data taken from any part
of T24 with the use of drilldowns. Standard mathematical functions are also provided. This variable
can be either transitory (a working variable) or stored. Setting stored will mean that this information is
stored on the transaction and can be used by subsequent units of work. E.g. this could be used for
rate setting or monitoring for barrier breaches.

Recommendation – When implementing a new product, a drill down to the SY input application should
be defined to store the values that are not automatically mapped across to SY.TRANSACTION on a
single unit when the deal is initially created.

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The EB.FORMAT.ENTRY id specified on the unit definition is used to map data from the SY trade
input application, SY.EVENT, SY.UNIT, SY.TRANSACTION and product variables to the
underlying T24 applications.
The mapping record (EB.FORMAT.ENTRY) is associated to the operation that is being applied to
the underlying deal.

EB.FORMAT.ENTRY

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Product Definition

SY.PRODUCT.DEFINITION provides parameterisation of the product and connections between

Units and Events. It defines the SY.EVENT(s) that take place throughout a product’s lifecycle and the
related operations on SY.UNIT(s) that are performed when that event takes place, thus creating a full
product lifecycle.
The SY.PRODUCT.DEFINITION record id is the same as the related
SY.PRODUCT.DESCRIPTION record. SY.PRODUCT.DEFINITION acts as a template for the
SY.PRODUCT record instances that are automatically created per transaction, during processing.
N.B. - The field COMPLETE indicates that the Product is completed and can be traded. Once set to
YES this is a no change field.

The basic parameters that can be defined on the product include: -

• Does the product require a Deposit
• Should the underlying trades be hidden from the portfolio valuation
• A routine to calculate product valuation
• A Sub Asset Type and Product Category (these can be defaulted from system wide default)
• Delivery messages

Any dependencies between events can be configured using the DEPENDENCY field. E.g. A daily event
to check whether a contract has ‘kicked out’ is dependent upon the trade having been authorised.
The field ACTIVE is associated to the event and specifies whether this EVENT and related
dependencies are active. Any events that are not ACTIVE will raise an error.
OPERATION, UNIT.DEF and INSTANCE are associated multi-value fields. The values of “New”,
“Input”, Reverse”, “Authorise”, “Delete”, “Verify” and “Run” can be entered in OPERATION and defines
the function that the field UNIT.DEF which is linked to SY.UNIT will perform.

The product also records the ‘Sweep’ settings. These settings allow entries with the specified
transaction type(s) to be automatically posted back to the Customer’s account during the product
lifecycle – e.g. a monthly interest payment. These settings are defined at product level in
SY.PRODUCT.DEFINITION fields SWEEP.ACCT and SWEEP.TXNS.

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SY.PRODUCT.DEFINITION Accounting settings

The above accounting settings take precedence over the system wide settings on SY.PARAMETER.

Further information on transaction sweeping entries, can be found in the ‘Sweep Txns’ section under
Accounting Process in the Structured Products User Guide.

A product definition is illustrated in the following example.

SY.PRODUCT.DEFINITION – Description

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SY.PRODUCT.DEFINITION – Sweeping

SY.PRODUCT.DEFINITION – Events

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The SUB.ASSET.TYPE applied to the product is linked to an associated ASSET.TYPE illustrated in

the following example.

ASSET.TYPE

SUB.ASSET.TYPE

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Connect User Input Application to the Product

The SY.PRODUCT.INTERFACE
application provides the link between the
SY.PRODUCT.DEFINITION, and the input application created in EB.TABLE.DEFINITION.
Therefore each Structured Product requires a unique input application. The link is provided by the
PRODUCT.DEFINITION field on SY.PRODUCT.INTERFACE.
Additionally, SY.PRODUCT.INTERFACE provides the facility to define the common mandatory
fields for a product and their mapping to SY.TRANSACTION for core processing.

SY.PRODUCT.INTERFACE

Once the SY.PRODUCT.INTERFACE record is authorised it is linked to the product definition. No

other User Input Applications can then be attached to this product.

SY.PRODUCT.DEFINITION

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Underlying Application Dependencies

The following applications are covered within the 4 Structured Products described in the Appendix of
the Structured Products User Guide: -
• MM.MONEY.MARKET
• DX.TRADE
• DX.CO.ASSIGN.MANUAL
• DX.CO.EXERCISE.MANUAL
• DX.CO.EXPIRE.MANUAL
• SEC.TRADE
• FOREX

When constructing new products, the mechanics of the underlying applications need to be taken into
consideration.
An example of this is MM.MONEY.MARKET which can be set to mature at Start of Day via the field
MATURE.AT.SOD. So, when a Structured Product with an underlying MM.MONEY.MARKET is
constructed, the setting that will be applied to this field needs to be considered in conjunction with the
COB.PHASE of the product’s Maturity event – i.e. the underlying MM.MONEY.MARKET needs to
mature before the SY Maturity event takes place. In this instance they could both be configured to
mature at Start of Day.

Another example is an underlying DX.TRADE. If margin is not applicable the Initial and variation
margin calculations would need to be set to ‘NO.IM’ and ‘NO.VM’ respectively on
DX.CONTRACT.MASTER. Additionally, if the underlying contract of the option is a security then a
corresponding SECURITY.MASTER contract needs to be set up.

N.B. – The underlying trade from an exercised option needs to have the DX ref stamped in
LINK.REFERENCE when the option uses a local API to perform the closeout processing.

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Non Stop Processing

The field NS.OPERATION in EB.TABLE.DEFINITION enables Non-Stop Processing functionality
for dynamic tables. One of the following values must be applied to the EB.TABLE .DEFINITION for
each product, where Non Stop Processing is required.

ALL Application allows NS processing for New or Amend if NS active for company
NEW Application allows NS processing for NEW only
NOD Can be run Non Stop even NS is not installed

N.B. - The underlying trades of the Structured Product (e.g. MM.MONEY.MARKET) need to be
considered in relation to Non-Stop Processing, when selecting the appropriate value. The
recommended value is ‘NEW’.
Non-stop processing also needs to be installed to successfully input trades for products that have
SY.EVENT.DEFINITION records set with COB.PHASE – Start of Day or Close of Business.

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Delivery
The Structured Products module uses standard T24 soft delivery messages. These can be attached
either at product level per event or, at unit level per event.
By using the standard T24 delivery configuration EB.ACTIVITY records can be attached at different
stages in the configured product to produce specific delivery messages.

N.B. – Any delivery that is normally generated from the underlying applications is suppressed when it
is linked to a Structured Product

Delivery Interface

The standard EB.ADVICES messages 5000 (Structured Product Trade Confirmation) and 5100
(Structured Product Deal Termination) are available with Structured Products and are illustrated below.

Standard Trade Confirmation

Standard Trade Termination

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It is possible to map more detailed information as presented to the Delivery Interface.

The Structured Products module exposes the following information to the Delivery Interface:

Section Position Description

Input Record 1 Record from application used to enter the Structured Products Deal
Input Record 3 SY.TRANSACTION record for the deal
Input Record 5 SY.UNIT record (if processing a unit-level message)
Input Record 7.1 Record key of application used to enter the Structured Products Deal
Input Record 7.2 SY.TRANSACTION record key for the deal.
Input Record 7.3 SY.UNIT record key (if processing a unit-level message)
Input Record 7.4 SY.EVENT record key
Header 8.1 Company Code
Header 8.2 ‘Customer Company’ Code
Header 8.5 Currency for the deal, taken from the SY.TRANSACTION record.
Header 8.6 User’s department code
Header 8.7 Customer (from SY.TRANSACTION)
Header 8.8 SY.TRANSACTION record key.
Header 8.9 Language of Customer (from 8.7)
Header 8.10 Account (from SY.TRANSACTION, FROM.ACCOUNT)
Header 8.11 Value

Full configuration of the actual message output / format as detailed in DE.FORMAT.PRINT can be
configured to suit individual requirements.
Please see Delivery User Guide for more details of how this can be achieved.

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Product Level Configuration

At this level of configuration EB.ACTIVITY records can be specified at each EVENT level depending
on when delivery is required to be produced.
As seen in the following example EB.ACTIVITY records have been specified at multiple EVENT
stages. Firstly a delivery messages will be produced at the ‘New’ stage of the contract as specified
next to the PPDCREATE event and field OPERATION.
This event is a user configured SY.EVENT.DEFINITION so could be used if required in unique
instances when delivery is required.

Adding multiple delivery messages to a Product Definition

Also in this example, delivery is being specified at the sySystemAuthorise and sySystemReverse
events stage which is more common practice. These are system released SY.EVENT.DEFINITION
records and have to be added to the SY.PRODUCT.DEFINITION record to achieve delivery
messages. Although no OPERATION has been specified in these cases, the messages are still
generated at contract Authorisation and Reversal.

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Unit Level Configuration

Similar to the configuration in SY.PRODUCT.DEFINITION, delivery can be configured at the unit

definition level.
Again depending on configuration these messages can be created at the Input, Authorisation or
Reversal stage depending upon the requirement.
As seen in the following example, the SY.UNIT.DEFINITION record PPD.DEPOSIT has an
EB.ACTIVITY field set on Authorise.
In this instance delivery is generated when this Unit of work is processed.

SY.UNIT.DEFINITION set for delivery on Authorise

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