SCANRATE - Enhancement of terms and conditions on Danish domestic bonds using ScanRate data

Project Requirement Specification V1.0

Project Title

: SCANRATE Enhancement of terms and conditions on Danish

domestic bonds using ScanRate data

DE Number(s) Live Date Project Type Version Status Date

: DE24040 : TBD : DE : 1.0 : Issued : 31/08/2012

PRS Author

: Barbara Roslan-Krasinska

Project Manager

: Rick Mohlmann

This document contains information proprietary to Thomson Reuters Limited and may not be reproduced, disclosed or used in whole or part without the express written permission of Reuters Limited.

Internal Only

Project Title

Distribution Document History

# 1 Description Initial Draft and high level requirements Author Barbara RoslanKrasinska Version 0.1 Date 31-August-2012

References
# 1 Document / Material DRG Request for DE24040 Location (Hyperlink / URL) http://data.apac.ime.reuters.com/de/reqsummary.asp?IntReq uirementId=24040

Internal Only

Project Title

Contents
When adding the table of contents, select From Template in the Formats list. This will automatically include hyperlinks to the headers in the document. DISTRIBUTION ......................................................................................... 2 DOCUMENT HISTORY ................................................................................ 2 REFERENCES ............................................................................................ 2 CONTENTS ................................................................................................ 3 BUSINESS JUSTIFICATION ....................................................................... 4 PROJECT OVERVIEW ................................................................................. 5 PROJECT OUTLINE .................................................................................... 5 1.1 SCOPE ........................................................................................... 5 Source ................................................................................................ 5 Historical bonds updates ....................................................................... 6 PROJECT REQUIREMENTS ............................................................................ 6 2.1 AMOUNTOUTSTANDING UPDATES ............................................................ 6 2.2 ADDING NEW ISSUES.......................................................................... 7 2.3 UPDATING ISSUES ................................................................................. 7 2.4 SPECIAL CASE OF AMOUNT OUTSTANDING FOR NEW ISSUES AND UPDATES: ................ 8 2.5 HISTORICAL BONDS INFORMATION STORED IN ARCHIVES .................................... 8 2.6 VENDOR DATABASE AND TOOLS.............................................................. 8 VIPER ............................................................................................... 10 BondSummary and BondDetails............................................................ 10 Status and Exception .......................................................................... 10 Pre/Post Overlay ................................................................................ 10 Field Level Auditing ............................................................................. 10 Report ............................................................................................... 10 Score and Edit Rule Information ........................................................... 10 Operation Log .................................................................................... 10

Internal Only

Project Title

Business Justification
Scanrate is the provider of data for the majority of Danish bonds universe (1,6k out of 2,6k). Bonds sent by ScanRate are covered and mortgage instruments. Since 2010 Thomson Reuters receives four types of files with bonds Terms and Conditions and cash flows data. The current semi automated usage limits to only one of the files received from ScanRate which is AmountOutstanding file. This file is used via an automation tool (macro in MSExcel) and as bulk upload for Amount Outstanding History. Other files contents are used only as a source of data for analysts therefore require a lot of manual effort. Usage of GDL (Generic Data Loader) for files: AmountOutstanding, TermsandConditionsNewIssues and TermsandConditions would significantly increase the quality of amount outstanding information for Danish covered bonds as well as quality of new issues and timeliness and accuracy of updates, especially Issuance Details/First Yield, Issuance Details/First Yield Price which are crucial for market coverage. The biggest gains of full coverage of Scanrate files will be:

Fast and timely and not requiring manual intervention update of amount outstanding information to GovCorp Adding value to Danish bonds already in GovCorp by updating crucial terms and conditions like: Issuance Details/First Yield, Issuance Details/First Yield Price. Adding new issues correctly for the first time and automated updates with crucial details afterwards Ability to check and see the history of amount outstanding sent by vendor on bond level Less manual intervention on Danish market

Internal Only

Project Title

Project Overview
The project plan is to automate usage of three out of four upcoming files from Scanrate: AmountOutstanding file updates to amount information on bond level, currently in use TermsandConditionsNewIssues Terms and Conditions for new bonds TermsandConditions updates on the bonds sent earlier in TermsandConditionsNewIssues. The updates may touch several fields but often the update touches main two fields like: Issuance Details/First Yield, Issuance Details/First Yield Price which are crucial for market coverage. PrepaymentRates and CashFlow files, no possibility to use so far, as no fields in GC where the data could be put in. We propose to use Generic Data Loader (GDL) to build a database for ScanRate instruments and load amount information, new issues and updates to Danish bonds automatically. We plan to add other tools and features that could be used by analysts for example:

VIPER Overlay Report Bond Summary Bond Detail Score Exception Field level auditing

Project Outline
1.1 Scope
Scanrate universe consists of approximately 1600 active instruments: covered and mortgage bonds.

Source
Scanrate files can be accessed via the following link: ftp://ThomsonReutersFTP:hf12tjtw10@ftp.scanrate.dk/Data/ThomsonReutersTermsAndCondi tions All files are sent to ftp once a day around 17.00-18.00 CET. Files are shown in ASC order by date. They are sent in .csv format, after two weeks files are being compressed and included in Archive directory shown at the bottom of page. Apart from AmountOutstanding file that is updated every day, not all the other file types have to be available on ftp daily. Once a month a large TermsandConditions file is sent with all details of outstanding active bonds.

Internal Only

Project Title

Historical bonds updates

In Archive directory we can find full history of instruments updated in the past. Files stored start with files sent back in 2010.

Project Requirements
2.1 AmountOutstanding updates
Currently the Nordic Team has to maintain daily process for Amount Outstanding updates which consists of several tasks like: Searching for right file in source ftp Running macro in New ScanRate tool Uploading received file in New Issues Bulk Upload tool (http://gc.ejv.ime.reuters.com/cgi-bin/new_issuess/new_issues.pl?SERVER=HPGCDB1&MAIL_SERVER=HPCMODB1) Checking results of upload Correcting information loaded if necessary (up-scoring bonds)

The Scanrate Ts and Cs process will replace current tasks and will allow easier and faster turnaround of data without manual intervention. The average number of rows/ISINs in each file is around 150-250.

Internal Only

Project Title

The proposed solution: extracting data from file (ISIN, Date, Amount) adding it to vendor database loading the amount info extracted from file to GovCorp database (tables: amt_outsd_hist, asset, iss_def) based on detailed mapping results of each load ( bonds score, exceptions) being able to be easily checked by analysts (report)

Tables that are in scope: Asset Amt_oust_hist Asset_status_hist Iss_def

2.2 Adding New Issues

We will receive 56 fields with bonds data in file: TermsandConditionsNewIsuues. Some of the fields might be blank however basic fields are always populated. We need to build the mapping for these fields to approximately 21 GovCorp tables and add defaults where necessary so the bonds are correctly represented in GovCorp. Tables that are in scope: Asset Asset2 Amt_oust_hist Asset_status_hist Asset_ident Call_terms Call_sched Iss_def Int_def Denom_info Data_source Clearing_system Cntry_of_issue Enhancements Orig_iss_info Notes Prin_def Put_sched Put_terms Rate_sched Trading_restrict

2.3

Updating issues

We will receive 56 fields with bonds data in file: TermsandConditions. If the bond has been added to GovCorp earlier manually we would still like the update to go through to GC database. The update should cover the information that is in the vendor files and missing or incorrect in GovCorp.

Internal Only Tables that are in scope: Asset Asset2 Amt_oust_hist Asset_status_hist Asset_ident Call_terms Call_sched Iss_def Int_def Denom_info Data_source Clearing_system Cntry_of_issue Enhancements Orig_iss_info Notes Prin_def Put_sched Put_terms Rate_sched Trading_restrict

Project Title

2.4 Special case of amount outstanding for new issues and updates:
When a new bond is added to TermsandConditionsNewIssues file it lacks amount information. The amount is sent later in AmountOustanding file. However the update file TermsnandConditions still does not contain amount information (it is presented as 0.0001 which is incorrect). So we need to have a solution for storing amount information and linking it to terms and conditions, so when an update comes only to TermsandConditions file the amount info is not deleted from GovCorp.

2.5 Historical bonds information stored in Archives

Information about old updates is stored in Archive directory on ftp. For the complete information in vendor database we should retrieve data from archives and present its contents to analysts view via GDL vendor database.

2.6 Vendor Database and Tools

We will receive around 1.6k active instruments with 56 Terms and Conditions fields. We should store all information both historical and current in one place accessible to analysts. The idea is that analyst can click and pick any ISIN and will see all BondDetails sent by Scanrate together with updates sent whlist life of a bond.

Tables
We should build the following tables in Scanrate database:

AMOUNT all data fields taken from AmountOutstanding file

Fields to be there:

Internal Only Isin isin_nm ProductionDate prod_dt OutstandingAmountFaceValue - amount

Project Title

ISSUE all data fields taken from TermsandConditionsNew and TermsandConditions

Fields to be there: Isin isin_nm Description - description Issuance Details/Issue Currency iss_curr Issuance Details/Redemption - redemption Issuance Details/Issue Date - iss_dt Issuance Details/Market of Issue iss_market Issuance Details/Issuer name issuer_name Issuance Details/Private Placement private_placement Issuance Details/First Yield- first_yld Issuance Details/First Yield Date - first_yld_dt Issuance Details/First Yield Price - first_yld_px Issuance Details/Warrants - warrant Instrument type code instrument_type_cd Principal Payments/Maturity Date maturity_dt Principal Payments/Redemption schedule redemption_sched Principal Payments/Final Redemption Value redemption_val Series Number series_nm Call Schedule/Min. Notice min_call_notice Call Schedule/Type call_sched_type Call effective date call_eff_dt Call end date call_end_dt Call frequency code call_freq_cd Call method code call_method_cd Call price call_px Call type code call_type_cd Clearing System clearing_system Coupon Payments/Coupon Currency pay_curr Coupon Payments/Coupon Type - coupon_type Coupon Payments/Current Coupon current_coupon Coupon Payments/Dated Date dated_dt Coupon Payments/First Coupon first_coupon Coupon Payments/Frequency pay_freq Exchanges - exchanges Face Value (in 000's) initial_iss_amt Final Call price final_call_px First reset date first_reset_dt Most Recent Coupon Payment Date recent_pay_dt Interest rate formula int_formula Cap rate - cap Floor rate- floor Is Debt Guranteed? is_guaranteed Market Conventions/Day Count day_count Market Conventions/Holiday- holiday Market Conventions/Min. denomination min_denom Market Conventions/Min. increment min_increment Market Conventions/Price Quote px_quote Market Conventions/Price Rounding px_rounding Market Conventions/Ex-Dividend ex_dividend Market Conventions/Settlement - settlement Offer coupon rate offer_cpn_rt Payment Overview/Ownership - ownership

Internal Only Payment Overview/Seniority - seniority Payment Overview/Status - status Price Quote Convention - px_quote_conv Tap Issue Flag tap_iss_fl Tap End date tap_end_dt The key field should be ISIN (isin_nm)

Project Title

VIPER
Scanrate provides us with a field describing an issuer name. We need to match issuer name sent by vendor with party_id in GovCorp database, so the bonds are correctly attached to particular issuer and represented in GC. Viper should be used for that in order to automate the task as much as possible.

BondSummary and BondDetails

To gain maximum efficiency from GDL from analyst point of view being able to see all vendor data for one bond including basic Terms and Conditions and amount outstanding historical changes. In BondSummary there should be possibilities to search by ISIN, by date, by status, exception etc. In BondDetails we should see complete data sent by vendor for this particular bond.

Status and Exception

There is a possibility that some crucial data is not sent by vendor or not recognized by mapping and therefore the bond cannot be correctly added. Such instruments should be stuck in exceptions. Possible exception that might appear in Scanrate universe: NIS issuer not matched in VIPER BAD missing crucial data in files

Pre/Post Overlay
Analysts should be able to amend incorrect data sent by vendor or add missing parts of it via pre and post Overlay tools

Field Level Auditing

Analysts should be able to see when each change of bonds detail has happened and how was it translated to GovCorp.

Report
Reports should be available for easier change and exception management

Score and Edit Rule Information

This tool is crucial for analysts to assess if data sent by Scanrate is correctly fed to GovCorp.

Operation Log
This tool should be available for analysts to be able to check the manual

10

Internal Only intervention to GDL for Scanrate.

Project Title

11