Release 23.07 ABOR

New impairment method for equity-like instruments and private equity

A new Impairment method, “Impairment to book value”, has been introduced among the already existing Financial Accounting Methods choices for Impairments.

The new method is available for the following instrument types:

• Equity
• Fund Certificate
• GDR/ADR
• Index Certificate
• Right
• Alternative Investments

When you select Impairment to book value in the Impairment setting, you can, for example:

• See how Impairment amount on a transaction updates holdings “Balance book value” and Impairment amount is stored in a separate balance.
• Use the native forms to book impairment transactions.
• You can book impairment for average and lot-based Profit/Loss methods.
• Book reversal transaction in case the accounting jurisdiction allows reversing previously impaired positions.

It is possible to easily migrate from using old impairment methods to a new one.

Benefits:

With this new method you will be able to:

• Comply with Impairment regulations for such jurisdictions as French GAAP, US Statutory and Tax, other local GAAPs that use impairments.
• Optimize impairment process by using native impairment forms and base filters
• Process reversal of impairments

Accrued interest EOP and Interest income per tax lot

Subscription based licensing

Investment Accounting Manager

Sales module dependency

Impairments

Release 23.04 ABOR

US GAAP

With this release, you can now book amounts calculated on partial pay downs to interest income for inflation linked bonds with irregular structure and expected credit losses. This enhancement applies to lots under the Available for Sale (AFS) and Held to Maturity (HTM) holding categories and is also integrated in the standard configuration solution for US GAAP.

To activate this logic for index bonds book value of coupons and redemptions a setting must be set to Standard, P/L in realized IA and the CL allowance setting set to CECL import in the Financial Accounting Method window.

This enhancement ensures that accounting for inflation linked bonds is compliant with US GAAP requirements for insurance companies since income calculated on partial pay downs can be treated as interest income or expense and not as capital gain or loss.

Once enhancement is activated the system populates pay downs on the Realized amortization and Index Realized amortization balances in the Profit/loss sub-window instead of the P/L book, Sec. and P/L book, Index fields so that these amounts could be booked to interest income or expense.

Enhanced pay downs for index bonds – interest income recognition

Subscription based licensing

Investment Accounting Manager

Sales module dependency

US-GAAP Credit Losses (CECL)

Accrued interest per tax lot

With this release, you will be able to calculate and finance book Accrued interest and interest income per tax lot.

The new Accrued interest per tax lot setting in the Financial Accounting Methods window is used to control the accrued interest calculation for tax lots. It is available in combination with Financial Accounting Method “Accrued interest dissolution principle” equal to “Incremental PC balance”. When you select Yes in the new Accrued interest per tax lot setting, you can, for example:

• View accrued interest and interest income for each tax lot in accrued interest transactions and Tax lot combined Adjustments
• Coupons amounts are split per tax lot
• Ex Coupon, Capitalization and Accrued interest currency revaluation are all covered by this solution.
• View Accrued interest EOP for each tax lot in View Positions > Match Holdings
• It is possible to use lot level Accrued Interest, Interest income and Coupon amounts for finance booking based on different lot characteristics
• All SCD native fields will be supported in Datawarehouse and here you will have all information need to report interest income and accrued interest on tax lot level.
• The portfolio calculation now supports calculations of accrued interest, accrued interest ex coupon, accrued capitalization etc. on tax lot level. Calculations can be seen in relevant fields in List FIFO and Match.
• It is possible to easily migrate the existing accrued interest positions from an old framework to a new Financial Accounting Method with the Accrued interest per lot setting set to Yes.

Benefits:

• With this new method you will be able to:

• Comply with regulatory accounting and reporting requirements on tax lot level
• Reduce operation risk of having some complicated business logic to derive tax lot level information for GL booking, reporting and to your data warehouse
• Reduce cost of maintenance given that the tax lot level accrued interest and interest income are now native to the system.

Accrued interest EOP and Interest income per tax lot

Accrued interest per lot – match holdings

Subscription based licensing

Investment Accounting Manager

Sales module dependency

Tax Lot and Adjustment Transactions

Release 23.01 ABOR

Align Hedge Adjustment calculation with some EOY/EOP conventions

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

You can now configure different approaches for hedge adjustment calculation in order to synchronize the results with EOP / EOY adjustment methods like Currency only, LOCOM 100 and LOCOM 100 Ccy.

Hedge adjustment behavior is regulated at the Financial Accounting Methods via dedicated Hedge adjustment methods setting. Three options are available:

• None is the default value which corresponds to the previous calculation approach
• LOCOM 100 HGB - corresponds to the new calculation logic. The adjustments to book value done through the hedge adjustment transaction cannot bring the book value below redemption price of the security in question. This option corresponds to EOP/ EOY adjustment method = LOCOM 100 or LOCOM 100 Ccy for hedged positions
• No market adj HGB - corresponds to the new calculation logic. The security adjustment component should not be generated at all for the security in question. This option corresponds to EOP/EOY adjustment method = Currency only for hedged positions

Since only security adjustment component can affect Book Value at Holdings as a result of hedge adjustment, only that one is subject to change under LOCOM 100 HGB and No marker adj HGB options.

Security adjustment RF and Hedge adjustment netted are calculated in the same way despite of option specified under Hedge adjustment methods

Hedge adjustment under new logic can be calculated at the Hedge Adjustment transaction and at the Hedge Priced Termination transaction.

Hedged item holdings as a result of the hedge adjustment booked at 12-11-2021, where Hedge adjustment method = “ LOCOM 100 HGB” at the MAIN framework and Hedge adjustment method = “None” at the GROUP framework

It is also possible to simulate hedge adjustment under Portfolio Calculation.

Subscription based licensing

Hedge Accounting

Sales module dependency

Hedge Accounting

New supported instrument for NAIC – Alternative investments

A new SimCorp Dimension instrument is supported for NAIC accounting – Alternative investments.

For Alternative investment, "Balance NAIC carrying value QC/PC" are populated on End-of-Period transactions based on Market price or Book value, accordingly to FAM setting "SVO rating for NAIC".

If "SVO rating for NAIC" is “Market Always”, on End-of-Period transactions “Balance NAIC carrying value” are updated at the market and the difference between book value and NAIC is put in “Balance NAIC security adj.”

Accounting for "Balance NAIC actual cost QC/PC" is also supported for Alternative investments.

NAIC related balances shown in “View positions - Holdings” for instrument type “Alternative investment”.

It’s possible to define on the FAM level how Alternative investment balances are reduced on “Capital return” transaction with and without quantity:

• "Capital return with quantity" can be "Reduction proportional to quantity" or "Reduction proportional to cost"
• "Capital return without quantity" can be "Simple reduction" or "Reduction proportional to cost".

Subscription based licensing

NAIC

Sales module dependency

NAIC AND
Fair Value Classification AND
Tax Lot Based Postings and PFC Results AND
General Data Pool for Reporting AND
Tax lots

Introduce new split field for US GAAP reporting

A new holding key called “ITS/RTS intent” and a split field “Split by ITS/RTS intent” are introduced in order to support proper reporting under US GAAP accounting.

ITS/RTS stands for Intended to sell / Required to sell categorization which is mandatory according to CECL model for Available for Sale (AFS) holding positions under US GAAP accounting.

This holding key and split field are available for the instrument types: Bond, ABS, US pool and Index bond.

ITS/RTS intent split could be configured at the Financial Accounting Principles. Values for the holding key are stored at the dedicated “ITS/RTS Intents" form It is impossible to have Split by ITS/RTS intent populated with empty ITS/RTS intent column at the FAP.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

US-GAAP credit losses (CECL)

Enabled separate accounting and settlement for ETD derivatives

A new logic of handling some exchange traded derivatives instruments is introduced.

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 accounting values.

New logic is supported for Futures, Options, IRF and FRA instrument types.

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 the 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 FAP level 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, exercise options, expiry options, reallocations, maturity.

Extended instrument and transaction coverage is expected with next releases.

Subscription based licensing

Foundations

Sales module dependency

Technical Base
Futures & Options

EMIR Refit: Enable possibility to update collateralization codes where the names are the same

Support proper reporting on collateralization under European Market Infrastructure Regulation (EMIR) due to introduced changes which will take effect since Q4 2022.

Being able to report under old regulation (using old collateralization names and collateralization codes) and under new ones after upgrade and delivery (using new codes and names). New codes will be supplied by RCoE:

Dark lines are existing collateralization names and codes for ESMA requirements for your collateral legal agreement. Light lines are examples of new codes with identical names but different codes.

Subscription based licensing

EMIR

Sales module dependency

EMIR

Release 22.10 ABOR

Investment Accounting: Hedge Accounting excluding pull-to-par effect

SimCorp Dimension’s support for hedge accounting under the Freezing method has been improved (note: the freezing method is applicable under German GAAP (HGB)). It is now possible to calculate hedge adjustment based on the price excluding pull-to-par effect and considering the credit spread from the inception date.

Calculation approach is regulated under the Hedge Types window in the Hedge risk free price adjustment methods field:

• None is the default value which corresponds to the old calculation approach.
• If you select Dollar offset - Retrospective (constant spread and curve) you can see prices calculated excluding pull-to-par effect with spread fixed at the inception date in the Hedge risk free price adjusted field of the Hedge Adjustments - Multi window or of the Hedge - Price Termination window.

The newly configured Hedge risk free price adjusted is the basis for calculating the Risk free price change, Security adjustment, Security adjustment risk free, and Hedge adjustment netted values.

Caption: Calculated Hedge Risk free price adjusted at the Hedge Adjustment transaction.

Hedge risk free price adjusted can be simulated in the Portfolio Calculation together with Hedge Adjustment under List Hedge Holding sub-window.

Subscription based licensing

Hedge Accounting

Sales module dependency

Hedge Accounting

Support for additional price points in SVO Ratings window

Additional price point fields are now available in the SVO Ratings window. In 2021, NAIC exposed the expansion of price points for structured securities from the existing 5 to 19.

You can specify 14 new price point fields (for example Price 1.A, Price 1.B, Price 1.C, Price 1.D, Price 1.E, and Price 1.F) in the window in addition to the 5 already existing price point fields (Price 1 to Price 5).

The 5 original price point fields are thresholds for defining the SVO rating (which is a number from 1 to 6). The complete set of 19 price point fields are thresholds for defining the NAIC category (which is a letter from A to G).

You can specify the 5 original price point fields that are used for end-of-period transaction generation or all 19 price point fields in the window, that can be used in NAIC reporting. The NAIC value calculation in end-of-period transactions is unchanged.

Caption: Example of new fields in SVO ratings table

Subscription based licensing

NAIC

Sales module dependency

NAIC Reporting, Fair Value Classification AND
tax lot based postings and PFC results AND
General Data Pool for Reporting AND
Tax Lots

Release 22.07 ABOR

US Tax Specialities – 166 Impairments

Under US Tax regulation insurance companies are obliged to change the accounting treatment of 43R securities (instrument type ABS in SimCorp Dimension) that are impaired and subject to a charge-off. It is now possible in SimCorp Dimension to reallocate from the Original Issue Discount setup to NAIC accounting principles. This can be done using a dedicated ReclassTXSTBM transaction in the Business Model Reclassification screen.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

US Tax Specialities

OID – Fix coupon rate for ABS’s and US pools with OID

As of SimCorp Dimension release 22.07, the possibility to fix coupon rates for pool factor based instruments issued with significant discount and for which interest appreciation calculations are based on estimated or contractual CF's is enabled in SimCorp Dimension.

This complies with US TAX requirements and ensures smooth Original Issue Discount (OID) and Market Discount (MD) amortisation since allows to avoid any jumps provoked by the coupon rate change.

Specifically, now it is possible for ABS's and US pools which:

• are issued with original issue discount, has floating coupon rates and utilize imported estimated CF’s with no coupon rates for interest appreciation calculations;
• are issued with original issue discount, has floating coupon rates and utilize contractual CF’s for interest appreciation calculations;
• are issued without original issue discount, has floating coupon rates and utilize imported estimated CF's with no coupon rates imported for interest appreciation calculations;
• are issued without original issue discount, has floating coupon rates and utilize contractual CF’s for interest appreciation calculations

to fix coupon rate at issue date in the CF used for Original Issue Discount (OID) amortisation and fix the coupon rate at acquisition date in the CF used for Market Discount (MD), Acquisition Premium (AP) or Market Premium ( jMP) amortisation.

Caption: US TAX OID - fixing coupon rates for ABS in MD case example

Subscription based licensing

Investment Accounting Manager

Sales module dependency

US Tax Specialities

US-GAAP CECL - import of CL allowance and calculation of interest appreciation with IA basis WAC+CPR activated for US Pools

To comply with US GAAP requirements the possibility to import CL allowance for US pool tax lots in accordance with CECL requirements as well as run interest appreciation calculations based on the CF to which IA basis WAC+CPR applies is introduced in SimCorp Dimension.

Specifically, it is now possible to activate CECL import functionality for the US pool instrument type at US GAAP framework and simultaneously support for this tax lot:

• possibility to amortize lots acquired at premium based on the contractual cash flow to which interest appreciation basis WAC+CPR applies;
• possibility to accrete lots acquired at discount based on the contractual cash flow to which interest appreciation basis WAC+CPR applies

Both – tax lots with prospective and retrospective recalculation of the yield - are compliant with this change.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

US-GAAP credit losses (CECL)

Sold tax lots in Portfolio Calculation period calculations

In order to fulfill ‘roll-forward report’ requirements (i.e. to report beginning period balance, changes, and end of period balance) the Portfolio Calculation table reporting on lots may now include lots that were sold within the reporting period i.e., lots that are no longer active on reporting date.

Subscription based licensing

Foundations

Sales module dependency

Tax Lots

Simulation of yield-based amortization for bonds bought at par in Portfolio Calculation

‘Unrealised Real. Int. Appr. xC’ fields have been added in ‘Portfolio Calculation - List Fifo and Match’.

In ‘Unrealised Real. Int. Appr. xC’ fields, interest appreciation is calculated and updated for all cases where the mathematical adjustment transaction is simulated in the Portfolio Calculation.

Premium and discount fields are not updated when lots are acquired at par.

This enhancement is particularly interesting when handling index bonds.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

Technical Base Module

New fields support in Portfolio calculation – FIFO and Match details

As of release 22.07, additional fields were added to Portfolio calculation FIFO and Match table.

Those fields are: Clean value QC, Clean value PC, Dirty value PC, Dirty value QC.

The fields are calculated by distributing the corresponding position values proportionally based on lot nominals. In addition, the following fields were enabled for Period closure frameworks in Portfolio calculation FIFO and Match table:

Unrealized P/L book value QC, Unrealised P/L book Sec. PC, Unrealised P/L book, Ccy PC, Unrealized P/L cost value QC, Unrealised P/L cost Sec. PC, Unrealised P/L cost, Ccy PC.

This enables simpler configuration for reporting accounting figures for accounting regimes that are operating under lot accounting.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

Tax Lots

Finance fields – simplified configuration and maintenance

As of release 22.07, you can set up framework specific finance fields without specifying an accounting framework.

This simplifies building and maintaining finance schemes, since now instead of using separate finance fields per framework you can reuse one field for all frameworks. The framework from which the finance field is taken to book Finance transactions is decided by the framework in the Finance scheme.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

Technical Base Module

Storing external accrued interest for trade control

As of release 22.07, it is possible to store external accrued interest QC on the trade transactions for interest bearing instruments.

You can store externally obtained (from a trade file of upstream front office system or custodian) traded accrued interest in quotation currency and via the “Trade control” module reconcile externally obtained values with what SimCorp Dimension calculates.

This process can help dedect errors earlier i.e. already during the transaction creation. E.g., wrong security master information in SimCorp Dimension could result in a wrong traded accrued interest which can now be detected on trade entry already.

Subscription based licensing

Foundations

Sales module dependency

Technical Base Module

Release 22.04 ABOR

Collateral Management - Incoming margin call negotiation – Automation

When communicating margin calls via MarginSphere, the collateral management solution receives incoming margin calls from counterparties. You will now be able to automate agree and dispute margin call actions. By enabling the new service Margin Call Negotiator and settings on the Collateral Pool, you can configure the system to automatically:

• agree on margin calls within tolerance (abs.)
• dispute margin calls out of tolerance (abs.)
• agree on lower margin call amount

Caption. The new Margin Call Negotiator allows you to auto-agree or auto-dispute your margin calls.

Subscription based licensing

Collateral Manager and Collateral Manager MarginSphere Adaptor

Sales module dependency

Margin Manager and Collateral Manager MarginSphere Adaptor

General reconciliation – Increase auto-match rates with funnel reconciliation

Funnel reconciliation allows users to reconcile across multiple reconciliation lines. The data is first subject to the reconciliation rules defined in the first reconciliation line, then, if there is a match, a Match Status is applied, and that data is not submitted to subsequent lines. If not successfully matched based on this first line, the data ‘passes’ to the subsequent line for matching, and so on across all reconciliation lines.

The reconciliation stops at the very first found match without any consideration on the quality of the match. It also does not attempt to find higher quality matches in the following reconciliation lines and this means that we do not always find the best match.

From 22.04 it will be possible to assign, for each reconciliation line, a match level threshold via the new “Max level for forcing rematch” field.

If the first found match is a match status level that is under or equal to the chosen value, the system will ignore this match and continue to search for a better one using the next reconciliation lines, respecting the priority order and the threshold for each line.

If the next found match is also under the threshold setup for that specific reconciliation line, it will continue to the next line and so on until a match that is above the threshold is found.

If no match is found that is above the threshold, then the system reverts to the very first found match (the one from the reconciliation line with the highest priority).

This enhancement results in higher quality matches and increased auto-match rate.

Caption : Setup a match level threshold independently for each reconciliation line

Subscription based licensing

Reconciliation Manager

Sales module dependency

Reconciliation Manager OR General Reconciliation

Hedge Effectiveness Monitor – View calculation results of Hedge Effectiveness

As of 22.04 it is possible to verify results of hedge effectiveness using the dedicated Hedge Effectiveness Monitor.

The application provides the possibility to view the calculation results of hedge effectiveness along with calculation details per hedge relationship. Also, in case any calculation has failed, respective error logs are shown and can be inspected.

Caption: Calculated results for hedge effectiveness can be investigated in the Hegde Effectiveness Monitor

Subscription based licensing

Hedge Accounting

Sales module dependency

Hedge Accounting
Strategy Manager
Market Data Stress Test or Asset Manager
User Defined Stress Tests

IFRS9 – Import of CL Allowance for XpressInstruments

As of version 22.04, support of certain IFRS9 rules for XpressInstruments has been added.

Specifically, it is possible to import, book, FX revaluate and dissolve CL allowance amounts for XpressInstrument positions applicable for IFRS 9 accounting rules in Stages 1 and 2. Calculation of the CL allowance as well as automatic determination of the credit impairment stage is not supported. CL Allowance amounts calculated outside of SimCorp Dimension may be imported using the existing Credit Loss Allowance transaction.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

IFRS 9 Impairments

US TAX – Enable IA method BV daily coupon no ccy for instruments with OID

As of version 22.04, it is possible to amortize instruments issued with original issue discount in accordance with interest appreciation method “Book value daily coupon no ccy” following US TAX rules.

The interest appreciation method “Book value daily coupon no ccy” is based on a synthetic cash flow with coupons distributed over the whole period as if there were coupon term every day. The application of this method to applicable instruments applying original issue discount (OID) ensures smooth amortization without any jumps in cases when tax lot is acquired at premium or discount that is relatively small in comparison to the coupon rate.

The method is supported for bonds, ABS and US pools issued with original issue discount and also applies to both cases - when OID amortization is calculated based on contractual cash flow and when amortization is based on imported estimated cash flows.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

US Tax Specialties

Private Debt – Extended support for multiple intraday loan facility contract events

As of version 22.04, extended support has been added for multiple loan facility contract events on the same day (intraday). This improves the administration and accounting workflows for loan facilities.

Previously, this was possible up-to a maximum of 5 consecutive intraday events. It is now possible to define and book as many intraday events for loan facilities, and for the related contracts, as applicable.

Subscription based licensing

Investment Accounting Manager, Private Debt

Sales module dependency

Private Debt

Financial statement structure and link to Finance & G/L accounts

As of version 22.04 the Reporting Taxonomy window to create G/L and Finance account mapping structures for your financial statements has been added

A reporting taxonomy describes the structure of financial reports and maps the line items into the right categories and sub-categories.

With this data structure and a link to finance accounts and G/L accounts, SimCorp Dimension has the necessary information to establish a range of financial statements (for example, IFRS financial statements or US GAAP financial statements). You no longer need to use free codes to map your G/L accounts into categories of financial statements.

Caption: Combining reporting taxonomy, finance transaction data or G/L holdings, Data Warehouse and BI can produce a financial statement as shown in this balance sheet example.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

No dependencies

Financial statement structure and link to Finance & G/L accounts - enable valid period for setup

As of version 22.04, it is possible to define a “From date” field in the reporting taxonomy “Import” and “View” applets. The field “From date” is now a key field (with the setup ID) for reporting taxonomy setup. It is the stating “valid from” date for reporting taxonomy configuration setup.

This enables the versioning of reporting taxonomy setups in case there are changes in the financial statement structures. This enables you to apply the correct taxonomy per reporting period. When running period comparisons e.g. in SimCorp BI it needs to be decided based on which taxonomy the comparison should be performed.

Caption: You can now define a “From date” field in the reporting taxonomy “Import” and “View” applets.

Subscription based licensing

Investment Accounting Manager

Sales module dependency

No dependencies