Release 24.04 IBOR
Ability to leverage the Counterparty SSIs from CTM ALERT database
New dedicated settlement fields on transactions make it possible now to capture the Counterparty’s settlement instructions from the ALERT database, on a trade-by-trade basis. The retrieval and updating of transactions can be done seamlessly during the trade confirmation process in Simcorp Dimension, or imported from external files. The new SSIs can then be used to generate Settlement instructions.
Moreover, it is possible to decide on Counterparty level whether they can be trusted with the SSIs from ALERT per instrument group, and use this decision actively when generating instructions.
Benefits
- Reduced risk of settlement failure due to wrong/outdated internal SSIs
- Reduced pressure on internal Counterparty SSIs maintenance
- Increased operational efficiency
Dedicated fields for storing the imported Counterparty’s SSI
Decision to use SSI from ALERT can be done on instrument group level, for each Party of type “Counterparty”
Subscription based licensing
Settlement Manager
Sales module dependency
OMGEO Central Trade Manager - Adaptor
Overview of accounts and their Cash integrity
Cash and Payment reconciliation across multiple accounts pose a lot of complexities. One of them could be ensuring data accuracy and consistency. A new Integrity Check dashboard gives an aggregated view of all your accounts and their cash integrity, allowing for a more focused approach to solving breaks.
Benefits
- Unified view – all accounts and their integrity checks in one place
- Ability to prioritize solving breaks for accounts with integrity anomalies
- Ability to view the cash integrity calculations over several executions
- Ability to drill down to the reconciliation records associated with the account directly from the dashboard.
Example of a dashboard and underlying data open from the widget
Subscription based licensing
Reconciliations Manager
Sales module dependency
Reconciliations Manager
Integration with YieldBook
YieldBook is a best of breed financial analytics platform that specialises on valuation of complex instruments including mortgage-backed securities (MBS) and asset-backed securities (ABS).
With the new interface, you can now seamlessly integrate SimCorp Dimension with YieldBook.
This enhancement utilizes the security-protected External Calculation framework and a new External Calculation Result Mapping window, enabling the retrieval of any MBS-specific key ratios. The streamlined process can connect to the YieldBook web API or XML API, unlocking enhanced capabilities for valuing a wider range of structured financial instruments within SimCorp Dimension, namely:
- ABS
- US MBS Pool
- TBA
- CMO
Benefits
This integration significantly improves efficiency and accuracy in valuing complex instruments such as ABSs, US MBS Pools, TBAs, and CMOs. Access to both end-of-day and intra-day analytics on demand eliminates delays and enhances decision-making agility in Front Office applications in an audit proof operation with mitigated operational efforts and risk.
Future Enhancements
The initial release focuses on retrieval of key ratios for MBSs across the SimCorp Dimension, with the potential future iterations concentrating on deeper integration:
- Introduction of Flexible Pricing Configuration.
- Activation of Key Rate Durations.
- Provision of User Defined Market Data.
- Integration of Scenario Analysis within the Risks Module.
- Support for YieldBook Dials.
- Retrieval of Cash Flow Information for ABS/CMOs.
Subscription based licensing
Yield Book/Basic
Sales module dependency
Various; Foundation plus "External Calculations" - Basic
Enable theoretical valuation of Australian Capital Indexed Bonds
You can now use the full flow for Australian Capital Indexed Bonds, including the calculation of fair theoretical value and key ratios such as breakeven inflation rate, implied spread, money yield, real yield.
In addition, you have the capability to build an Inflation Curve that predicts future Australian Consumer Price Indices, leveraging market quotes from Australian Zero-Coupon Inflation Swaps while considering peculiarities of the Australian market.
Benefits
This enhancement offers support to investors in the Australian capital market by enabling them to:
- Develop effective strategies to hedge against inflation.
- Evaluate risk exposures associated with Australian Capital Indexed Bonds utilizing metrics such as duration, convexity, and spread duration to assess interest rate risk, credit risk, and overall portfolio risk.
- Access the impact of various market scenarios on portfolio returns and risk measures.
- Analyse movements in the yield curve and their implications on portfolio positioning and strategy, including the Inflation Curve.
- Allocate and monitor performance of inflation-related attributions in FIPA flow.
Subscription based licensing
Various; Foundation
Sales module dependency
Various; Foundation
TM TRS Basket/Basic
You can now manage total return swap (TRS) baskets in the Trade Manager, including setting up Equity swap, basket and Bond swap basket, creating basket adjustments, handling payments and resets, and creating novation step-out or close transactions. This enhancement simplifies the process of exchanging the total returns of a basket of assets for periodic cash flows in the Trade Manager.
Key features:
- Capture TRS Baskets: You can now capture TRS baskets with either equities or bonds as the underlying assets in the Trade Manager. TRS basket in the Trade Manager includes the following instruments:
Benefits
- Enables clients to use Trade Manager to manage and create Bond Swap baskets and Equity Swap baskets
- Enables clients to create and save baskets in a one step process.
Subscription based licensing
TM TRS
Sales module dependency
TM TRS Basket/Basic
LIBOR Reform: support rounding rules on Trade Manager swaps
SimCorp Dimension now supports rounding rules that can be applied to the compounded rate used in Accrued Interest calculation on all Trade Manager swaps where one or both legs are linked to Overnight reference free rates, in this way the system will comply with the market standard dictated by the LIBOR reform.
Benefits
- Allows users to apply rounding rules on Trade Manager OIS legs and comply with the market standard;
- Enables calculation of rounded Accrued interest amounts upon entering a swap contract, or upon closing a swap contract or in the analytics applications in SimCorp Dimension.
Subscription based licensing
LIBOR Reform package
Sales module dependency
TM Overnight Index Swaps
TM TRS: support IBoxx
SimCorp Dimension now supports front-to-back solution for Standardized Total Return Swaps (TRS) on iBOXX bond indices. The IBOXX TRS trading conventions are embedded in the existing instrument type Index Swap in the Trade Manager so that the standard contract conventions are triggered under a particular configuration. As for any total return swap, a user can capture the IBOXX TRS trade in the Trade Manager, book total return swap resets payments, increase/unwind the position and mature the contract. Accrued Amount at the time of entering into a new trade or closing out a trade, as well as Performance amounts on TRS resets are calculated based on the IBOXX Standardized TRS Trading Convention Guide from the IHS Markit website.
Benefits
- Enables users to trade and manage a highly liquid standardized total return swap contract based on iBoxx bond indices;
- Allows users to simplify the trade capture and apply Iboxx standard conventions as defaults on the existing Index swap instrument upon a particular configuration.
Subscription based licensing
TM TRS
Sales module dependency
TM Index Swaps
LIBOR Reform: support rounding rules on TM swaps
SimCorp Dimension now supports rounding rules that can be applied to the compounded rate used in Accrued Interest calculation on all Trade Manager swaps where one or both legs are linked to Overnight reference free rates, in this way the system will comply with the market standard dictated by the LIBOR reform.
Benefits
- Allows users to apply rounding rules on TM OIS legs and comply with the market standard;
- Enables calculation of rounded Accrued interest amounts upon entering a swap contract, or upon closing a swap contract or in the analytics applications in SimCorp Dimension.
Subscription based licensing
LIBOR Reform package
Sales module dependency
TM Overnight Index Swaps
Consolidation of instrument modules
The following instruments will be removed, with adoption of the long standing Global Standard Solutions required for these models from release 24.10.
Benefits
- Adherence with SimCorp Global Standards, alignment with core FtB workflows and benefit from modelling upgrades where appropriate.
- Simplification of processes.
- Existing, historic transactions will be retained within your database.
Various
Sales module dependency
Various
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