Create Custom Benchmarks

Provide Entity Details

In the Create New Custom Benchmark wizard's Details page, you can provide the details about the custom benchmark entity. Based on the policy you select, you need to provide the appropriate information.

To add basic custom benchmark entity details:

1. In the Effective Date, specify the effective date for the custom benchmark entity. Or use the Date selector to provide the appropriate date for the custom benchmark entity.
   This field identifies the date by which the entity is eligible for processing. You can specify an effective date in the past or future. By default, you see the system date as the effective date.

2. In the Entity ID box, type a unique id for the entity.

3. In the Entity Name box, type a name for the entity.
   You see the Details page with the list of the selected policy's field groups and their corresponding fields.

4. Provide appropriate information for each field, as needed.

5. Click Next. 
   You see the selected custom benchmark index type page. 

Provide Custom Benchmark Details

In the Create New Custom Benchmark wizard's custom index type page, you can provide appropriate information for the custom index benchmark type, as needed.

Currency Conversion Benchmark

In the Create New Custom Benchmark wizard's Currency conversion page, you can provide the currency conversion benchmark details, as needed.

To provide currency conversion details:

1. In the Effective Date box, the system displays the given effective date in the Details page.
   You can enter the earliest date of the custom benchmark (CIDX), otherwise you can enter an effective date equal to the inception date of the CIDX.

2. Click the Source Entity Name list to select the required source entity for the currency conversion.
   By default, you see the list of all the available source entity names.

3. Click the FX Source Rule list to select a FX rule for the FX rate. The FX source rule identifies the original source data to use for the FX rate, in the order of top-down preference. The FX source rule lists only those sources that are assigned to the foreign exchange (FXG) feed type and are available to the user’s business group. The sequence of the sources tells the Entity Build engine the priority.
   By default, you see the list of all the available FX source rules.

4. Click the Source list to select the source interface under which the source entity is stored.
   By default, you see the list of all the available source interfaces.

5. Click the Source Performance Model list to select the source performance model under which the source entity data is stored.
   When you click the list, the source performance model details are displayed in a detailed grid format with Id, Description, Update User, Type, Update Date and Identifier.

6. In the Source Base Currency box, the system identifies the base currency to convert from.
   By default, the system displays the base currency associated with the selected source entity.

7. In the Target Base Currency box, the system identifies the base currency to convert to.
   By default, the system displays the base currency you entered for the custom benchmark on the Details page.

8. Click Next to provide assignment details.

Blended Weighted Index Benchmark

In the Create New Custom Benchmark wizard's Blended Weighted Index page, you can provide the blended weighted index benchmark details, as needed.

To provide blended weighted index benchmark details:

1. In the Effective Date box, the system displays the given effective date in the Details page.
   You can enter the earliest date of the custom benchmark (CIDX), otherwise you can enter an effective date equal to the inception date of the CIDX. 

2. Click the FX Source Rule list to select a FX rule for the FX rate. The FX source rule identifies the original source data to use for the FX rate, in the order of top-down preference. The FX source rule lists only those sources that are assigned to the foreign exchange (FXG) feed type and are available to the user’s business group. The sequence of the sources tells the Entity Build engine the priority.
   By default, you see the list of all the available FX source rules.

3. In the Base Currency box, the system identifies the base currency of the custom benchmark.
   By default, the system displays the base currency you entered for the custom benchmark on the Details page.

4. Click the Target Performance Model list to select the target performance model to build the source entity data.
   When you click the list, the target performance model details are displayed in a detailed grid format with Id, Description, Update User, Type, Update Date and Identifier.

5. When you select the target performance model, the system displays the levels and sub levels associated with that model in a grid format at the bottom of the page.

6. Under the Source Data column heading, double-click a cell in the grid, corresponding to a target dictionary node, to define values for the Blended Weighted Index.
   You see the Total dialog box corresponding to the target dictionary node.

7. Click the Entity list to select a source entity to assign it to the selected target dictionary node.
   After you save your changes, this value appears in the Source Entity column of the target dictionary grid. In addition, the Base Currency of the selected source entity displays in the target dictionary grid.

8. Click the Source list to select the source interface under which the source entity is stored.
   After you save your changes, this value appears in the Source column of the target dictionary grid.

9. Click the Model list to select the source performance model under which the source entity data is stored. 

10. In the Model Node box, the system displays the Total level of the performance model.
    You can assign nodes below the Total level by double-clicking the Total link. The Dictionary Node Selection dialog box appears showing the structure of the target performance model selected. If the performance model has a level below Total, the level 2 grouping is displayed. Select the appropriate node in the tree structure and click Save.

11. In the Weight box, enter a desired target weight of the node for the blended weighted index, as required.
    When you define a blended benchmark, the target weights typically add up to 100%. However, you can define weights that do not total 100%. This can apply to derivative products and their respective custom benchmarks, and carve outs for analysis purposes.

12. Click OK to save the changes.
    You see the assigned values for the dictionary node appears in the target dictionary grid.

13. Similarly, select and assign source entity for the remaining dictionary nodes, as needed.

14. Select Build index to include a security level data check box to build the security level by entity.
    By default, this option is not selected. If you select this check box, the Do not build Target Dictionary below assigned level check box becomes unavailable.

15. Select Do not build Target Dictionary below assigned level check box to enable the entity build process to build the target performance model from the assignment node up to the total level for the model.
    By default, this option is selected. Otherwise, clear this check box to enable the entity build process to build the target performance model all the way down to its lowest level.

16. Click Next to provide assignment details.

Floating Weight Benchmark

In the Create New Custom Benchmark wizard's Floating Weight page, you can provide the floating weight benchmark details, as needed. You can define static weights by entering initial weights for the custom benchmark, or active weights by identifying a reference entity to use as the source of weights for the custom benchmark.

Pre-requisite: Before you create a Floating Weight benchmark, make sure you set up the Business Calendar and Date Rule to identify the reset dates for the benchmark.

To provide floating weight benchmark details:

1. In the Effective Date box, the system displays the given effective date in the Details page.
   You can enter the earliest date of the custom benchmark (CIDX), otherwise you can enter an effective date equal to the inception date of the CIDX. 

2. Click the FX Source Rule list to select a FX source rule for the FX rate.
   By default, you see the list of all the available FX source rules. 

3. Click the Target Performance Model list to select the target performance model to build the source entity data.
   When you select the target performance model, the system displays the levels and sub levels associated with that model in a grid format at the bottom of the page.

4. Double-click a cell corresponding to a dictionary node, under the Source Data column heading, in the Target Performance Model grid to populate that node in the target dictionary.
   You see the Total dialog box corresponding to the target dictionary node.

5. Assign values for Entity, Source, Model, Model and Weight data for the node, and click OK.

6. Similarly, select and assign source entity for the remaining dictionary nodes, as needed.
   After you assign values for each node, those values appear in the target dictionary grid.

7. In the Target Base Currency box, the system displays the base currency you entered for the custom benchmark on the Details page.

8. In the Weights Based on section, select either one of the option:
   - Defined Weights. If you select this option, you can create a Static Floating Weight Benchmark. By default, this option is selected.
   - Reference Entity's Weights. If you select this option, you can create an Active Floating Weight Benchmark. Once you select this option, the Reference Entity Name list is enabled.

9. Click the Reference Entity Name list to identify a reference entity to use as the source of weights for the floating weight benchmark.
   This option is enabled only for Active Floating Weight Benchmark.

10. Click the Reset Date Rule list to select a reset date rule for the floating weight benchmark. 
    A reset date is a date on which the system no longer floats from previous values but resets to the original or last updated weights for the benchmark. The system uses the Reset date rule to determine the weights to use, where the weights are calculated based on the component index returns between the reset dates. 

11. Select Build index to include a security level data check box to build the security level by entity.
    By default, this option is not selected. If you select this check box, the Do not build Target Dictionary below assigned level check box becomes unavailable.

12. Select Do not build Target Dictionary below assigned level check box to enable the entity build process to build the target performance model from the assignment node up to the total level for the model.
    By default, this option is selected. Otherwise, clear this check box to enable the entity build process to build the target performance model all the way down to its lowest level.

13. Click Next to provide assignment details.

Floating Aggregate Benchmark

In the Create New Custom Benchmark wizard's Floating Aggregate page, you can provide the floating aggregate benchmark details, as needed.

To provide floating aggregate benchmark details:

1. In the Effective Date box, the system displays the given effective date in the Details page.
   You can enter the earliest date of the custom benchmark (CIDX), otherwise you can enter an effective date equal to the inception date of the CIDX.

2. Click the Exchange Rate Source Rule list to select the exchange rate for the source, if needed (optional).

3. Click the Float Model list to select a float model for the custom index, if needed (optional).

4. The Float model is used to gather the returns used to float the weights in the custom index definition. In the Target Base Currency box, the system displays the base currency you entered for the custom benchmark on the Details page.

5. Click the Float Reset Date Rule list to select a float reset date rule for the floating aggregate benchmark. 

6. Click the Aggregate Model list to select the aggregate model to build the source entity data.

7. Click the Rollup Level list to select a roll up level for the benchmark calculation.
   Based on the aggregate model you selected, the Rollup Level list gets populated.

8. Select Build Security Level check box to build the security level by entity.
   By default, this option is not selected. If you select this check box, the Do not build Target Dictionary below assigned level check box becomes unavailable.

9. Select Do not build Target Dictionary below assigned level check box to enable the entity build process to build the target performance model from the assignment node up to the total level for the model.
   By default, this option is selected. Otherwise, clear this check box to enable the entity build process to build the target performance model all the way down to its lowest level.

10. In the Source Entities to Aggregate grid, click the Entity ID list to select a source entity.
    Once you select the source entity, the Entity name and Base Currency are auto-populated.

11. Click the Source list to select the source interface under which the source entity is stored.

12. In Weight in Aggregate box, enter a value for the source, as needed.

13. Click the plus sign to add more source entities to the aggregate.

14. Click Next to provide assignment details.

Hedge Index Benchmark

In the Create New Custom Benchmark wizard's Hedge Index page, you can provide the hedge index benchmark details, as needed.

To provide hedge index benchmark details:

1. Click the Source Entity Name list to select the required source entity for the hedge index benchmark.
   By default, you see the list of all the available source entity names.

2. Click the FX Source Rule list to select a FX rule for the FX rate. The FX source rule identifies the original source data to use for the FX rate, in the order of top-down preference. The FX source rule lists only those sources that are assigned to the foreign exchange (FXG) feed type and are available to the user’s business group. The sequence of the sources tells the Entity Build engine the priority.
   By default, you see the list of all the available FX source rules.

3. Click the Source list to select the source interface under which the source entity is stored.
   By default, you see the list of all the available source interfaces.

4. Click the Source Performance Model list to select the source performance model under which the source entity data is stored.
   When you click the list, the source performance model details are displayed in a detailed grid format with Id, Description, Update User, Type, Update Date and Identifier.

5. In Percent Hedge box, enter the percentage amount of the currency for hedge.
   The default value is 100 percent.

6. In the Source Base Currency box, the system identifies the base currency to hedge from.
   By default, the system displays the base currency associated with the selected source entity.

7. In the Target Base Currency box, the system identifies the base currency to hedge to.
   By default, the system displays the base currency you entered for the custom benchmark on the Details page.

8. Click Next to provide assignment details.

Linked Benchmark

A Linked benchmark links different entities, such as indexes or custom indexes, at the Total level over time. You can create a Linked custom benchmark by linking the history of multiple indexes under a single index.
You can create a Hurdle based benchmark with a return specified as a certain number of basis points relative to a source benchmark.

In the Create New Custom Benchmark wizard's Linked Benchmark page, you can provide the Linked benchmark details, as needed.

To provide linked benchmark details:

1. In the Effective Date box, the system displays the given effective date in the Details page.
   You can enter the earliest date of the custom benchmark (CIDX), otherwise you can enter an effective date equal to the inception date of the CIDX.

2. Select the type of Linked benchmark. Option include:
   - Linked. If you select this option, you can create a custom linked benchmark. By default, this option is selected.
   - Hurdle Rate. If you select this option, you can create a Hurdle based benchmark.

3. Click the FX Source Rule list to select a FX rule for the FX rate.
   By default, you see the list of all the available FX source rules. 

4. Click the Target Performance Model list to select the target performance model to build the source entity data.
   When you select the target performance model, the system displays the levels and sub levels associated with that model in a grid format at the bottom of the page.

5. Double-click a cell corresponding to a dictionary node, under the Source Data column heading, in the Target Performance Model grid to populate that node in the target dictionary.
   You see the Total dialog box corresponding to the target dictionary node.

6. Assign values for Entity, Source, Model, Model and Weight data for the node, and click OK.

7. Similarly, select and assign source entity for the remaining dictionary nodes, as needed.
   After you assign values for each node, those values appear in the target dictionary grid.

8. In the Target Base Currency box, the system displays the base currency you entered for the custom benchmark on the Details page.

9. In the Annual Adjustment box, specify the number of basis point to adjust over a period of time.
   This option is enabled only for Hurdle type Linked benchmark.

10. Check Adjust for compounding check box to calculate hurdle-based returns adjusted for compounding.
    This option is enabled only for Hurdle type Linked benchmark.

11. Click Next to provide assignment details.

Constrained Index Benchmark

The Constrained Index Benchmark allows you to constrain, or limit, the weight of a security or segment level of a vendor-supplied index. Two types of constraints are supported: Cap constraint and Fixed Constraint. For more details, refer Benchmark Management User Guide.

In the Create New Custom Benchmark wizard's Constrained Index page, you can provide the Constrained Index benchmark details, as needed.

To provide constrained index benchmark details:

1. In the Effective Date box, the system displays the given effective date in the Details page.
   You can enter the earliest date of the custom benchmark (CIDX), otherwise you can enter an effective date equal to the inception date of the CIDX.

2. Click the Source Entity Name list to select the required source entity for the constrained index benchmark.
   By default, you see the list of all the available source entity names.

3. Click the Source list to select the source interface under which the source entity is stored.
   By default, you see the list of all the available source interfaces.

4. Click the Target Performance Model list to select the target performance model to build the source entity data.
   When you select the target performance model, the system displays the levels and sub levels associated with that model as well as columns for Constraint Flag, Weight %, and Security Level Constraints in a grid format at the bottom of the page. For the every available model level and sub level, specify the constraint flag and weight percentage, as needed.

5. Click the Constraint Flag list to indicate the type of constraint. Options include:
   - Sector Cap. A cap constraint sets the upper limit that the weight of a segment or security can take in the target custom benchmark. 
   - Sector Fixed. A fixed constraint sets the exact weight that a segment or security takes in the target custom benchmark.

6. In the Weight % box, enter the weight to set for the Fixed or Cap constraint.

7. Click the Define Security button to constrain individual securities for the level.
   You see the Securities Selector dialog box displaying securities that belong to that specific level.

8. Select the securities to constrain, enter the Constraint Flag and Weight information, and click OK.

9. Similarly, select and assign Constraint Flag and Weight information for the remaining levels, as needed.

10. Click Next to provide assignment details.

Exclusion Benchmark

An exclusion benchmark allows you to exclude segments or constituents from a vendor-supplied index.

In the Create New Custom Benchmark wizard's Exclusion page, you can provide the Exclusion benchmark details, as needed.

To provide exclusion benchmark details:

1. In the Effective Date box, the system displays the given effective date in the Details page.
   You can enter the earliest date of the custom benchmark (CIDX), otherwise you can enter an effective date equal to the inception date of the CIDX.

2. Click the Source Entity Name list to select the required source entity for the exclusion benchmark.
   By default, you see the list of all the available source entity names.

3. Click the Source list to select the source interface under which the source entity is stored.
   By default, you see the list of all the available source interfaces.

4. Click the Target Performance Model list to select the target performance model to build the source entity data.
   When you select the target performance model, the system displays the levels and sub levels associated with that model as well as columns for Exclude and Security Level Exclude in a grid format at the bottom of the page. For the every available model level and sub level, specify the exclude option, as needed.

5. Select the Exclude check box respective to a dictionary level to exclude the entire level.
   The system displays the word All beside the check box to indicate all segments and/or securities within that level are excluded. If you select a dictionary level that includes sub levels, the system displays the word All beside the check box of each related sub level to indicate its exclusion.

6. Click the Define Securities button respective to a dictionary level, to exclude one or more securities within a level, as needed.
   You see the Security Selector displaying the securities belonging to the selected level.

7. Select the securities to exclude and click OK.

8. Similarly, exclude the entire level or exclude one or more securities within a level for the remaining levels, as needed.

9. Click Next to provide assignment details.

Provide Assignment Details

To add assignment details:

1. In the Benchmark page, you assign benchmarks, as needed for the entity.

2. In the Peer Group Association page, you assign peer groups, as needed for the entity.

3. In the Disclosures page, select one or more disclosures as needed for the entity.

4. In the Asset Mix Policy page, select one or more asset mix policies as needed for the entity.

5. In the Fee Schedule page, select a fee schedule for the entity.

6. Click Save to save the Custom Benchmark entity.
   You see a message stating successful Custom Benchmark entity creation. The system generates the Custom Benchmark entity and lists it in the Indices workspace.