Release 23.10 ABOR

Enhance Hedge Adjustment logic to be compatible with „Default booking date“ FAM equal to „Payment date“ under BilMoG regulation

SimCorp Dimension’s support for hedge accounting under the freezing method has been improved (note: the freezing method is applicable under German GAAP (HGB)).

Due to internal accounting and reporting requirements saving banks in Germany may perform accounting based on the trade date booking or payment date booking. Hedge accounting should be done as of trade date for any position. 

With this enhancement it is possible to properly calculate hedge accounting values and hedge effectiveness for positions where Financial Accounting Method “Default booking date” is equal to “Payment date”. 

A new field, namely “Start pricing date” was added to Hedge Relationship Manager form. This field contains the date based on which hedge adjustment values are calculated, for instance the trade date of the position.

Start pricing date is compatible only with Hedge adjustment method = “Freeze” and “Hedge risk free price adjustment method” = “Dollar offset – Retrospective (constant spread and curve)” configured at the Hedge Types 

Subscription based licensing

Hedge Accounting

Sales module dependency

Hedge Accounting

Enabled separate accounting and settlement for ETD derivatives: enable Nominal Matching for CFD

A nominal methods logic of handling some exchange traded derivatives instruments was extended to address CFD instrument type.

It assumes configuring the dedicated data for nominal framework which regulates how positions are processed for settlement purposes: applying average or tax lot logic. Before treatment for settlement purposes has been taken from accounting framework defined as CASH one.

As a result of new implementation market value calculations in the Collateral Manager, Asset Manager, Risk / Performance area can be done based on the nominal framework and are not derived from the accounting values.

You can use the Nominal Methods window to configure the profit/loss method for settlement. This setting specifies how positions are handled with an average or a tax lot-based logic. Values available in the "Profit/Loss method for settlement" correspond to all possible options under "Profit/Loss method" for instruments in question which were compatible with the CASH framework before.

If tax lot based Profit/Loss method for settlement setting is selected under Nominal Methods, than position is accounted per lots under Nominal framework. To view or to specify matching information for nominal framework at the transaction level the Transaction Match on Nominal Level sub-window was added. 

New logic can be configured at the Financial Accounting Principles via introducing the Nominal methods setup at the Nominal Method column instead of specifying the CASH framework column.

Following transactions are supported: dealer transactions, variation margin payments, special close-out, interest accrual and payments, stock loan fees accruals and payments, proceed payments, reallocations, maturity, CFD Roll Over.

Subscription based licensing

Foundations

Sales module dependency

Technical Base Module
CFD

Interest rate swap support for NAIC accounting

A new SimCorp Dimension instrument is supported for NAIC accounting – Interest rate swap. 

We support NAIC accounting for IRS with non-average PL methods, without Match manual and with “End of Period” method “Market”. 

There are limitations to handling of up-front amount for NAIC, thus it must be realized through Profit/Loss on opening. 

Benefits

With this new enhancement you will be able to:

• Track changes to NAIC value through the lifecycle of interest rate swap
• Report on the native NAIC fields populated by the system
• Have consistent NAIC accounting across many security types

Accrued interest EOP and Interest income per tax lot

Subscription based licensing

NAIC

Sales module dependency

NAIC Reporting

Create Accounting balances in Investment Forecasting (Position Calculation - Middle Office Calculation Manager) using existing Finance booking setups based on PCL frameworks

Finance schemes and finance account assignments based on PCL frameworks already used for day-to-day general ledger bookings can be used to create simulated Finance Transactions for investment forecasting. 

Benefits

Existing finance schemes and finance account assignments for PCL frameworks can be re-used when forecasting:

• Optimize by only maintain one set of finance booking setups
• Reflect changes to finance booking setup immediately in forecasting
• Save time by not needing reconciliation between more finance booking setups

Setup PCL framework to be used for simulating Finance Transactions

Subscription based licensing

Investment Forecasting

Sales module dependency

Investment Forecasting

Enhance handling of reversals of system owned transactions

SimCorp Dimension’s support for system owned transactions has been improved.

As of 23.10 it is possible to ensure that system owned reversals are saved on original status when triggered by temp change. 

A new Transaction option setting ‘Save system owned reversals on original status when triggered by temp change’ can be activated in the system. 

This enables the system to apply correct Period closure dates to the payments and is the recommended transaction option setting.

Transaction option > Back Office > Transaction reversing options > “Save system owned reversals on original status when triggered by temp change”

Subscription based licensing

Investment Accounting Manager

Sales module dependency

System-owned transactions, Period Closure