Release 24.01 - Front Office
Pre-placement compliance validation for Equity & Futures when configured
As of version 24.01, if you are using the new Order Manager architecture, you can configure equity and future placements to be subject to compliance validation before placing.
If pre-placement compliance validation is enabled, then the equity and future placement is affected in the following way:
- The placement distribution is pre-allocated and any fills received/executed are distributed on that basis.
- The placement is created in a draft state when the compliance validation for the portfolios/placements is pending.
After the validation, if enabled, a ‘Can Proceed’ indicator is displayed at the placement level, reflecting the response from the compliance validation.
- If the ‘Can Proceed’ indicator displays a green arrow, any trading communication is released immediately, and the placement state changes to ‘Working’.
- If the ‘Can Proceed’ indicator displays a general prohibition sign, you must amend or cancel the placement.
- If the ‘Can Proceed’ indicator displays a yellow arrow, it means that there are compliance validation errors. You can override them with or without providing a reason.
- If the ‘Can Proceed’ indicator displays a blue arrow, you must request compliance approval.
- If the ‘Can Proceed’ indicator displays a yellow or blue arrow, any actions, such as setting an override, are monitored by SimCorp Dimension. This means that the placements are updated automatically when an override is set.
You can still amend your ‘Working’ placements. The following rules apply:
- Changes are subject to compliance validation (if enabled).
- The amendment to the placement is created in a draft state when the compliance validation for the portfolios/placements is pending.
- During the amendment process, you can preview the compliance validation in the placements blotter/grid.
- Changes are committed in the ‘Compliance Results’ applet, available when you right-click a placement in the placements blotter/grid and select ‘View Compliance Results’.
- If required, the amended placements can be reverted to their previous state.
Benefits
- Placements (for Equities and Futures) can be configured for validation
- Standard Compliance “user interfaces” are used for rule definition and then approval, where applicable.
- Placements that are Auto placed; Placed to favourite; Manual placed can all utilize this flow.
Illustrating viewing Compliance results during placement and amendment of placements:
In the Order Manager blotter the optional column “Can Proceed” can display the results provided from the Compliance rule evaluation:
Subscription based licensing
N/A
Sales module dependency
Order Manager & Compliance
Read more about previous releases
Release 23.10 - Front Office
Simulation Macros
Simulation Macros is an Asset Manager tool offering vast possibilities for automation and customization of workflows to create trade simulations. The concept has previously been known as ‘Custom Strategies’ but now it comes with significantly improved and simplified user experience and a lot of added functionality.
In the Asset Manager it is possible to create simulation and orders both manually and via build-in calculation tools. This includes tools for hedging, alignment, and targeting. Still, you may have specialized calculation logic that deviates from and goes beyond the standard functions. These calculations can be customized in Simulation Macros.
A Simulation Macro is a small piece of code that will be tailor-made according to your individual workflows, data, and calculation logic, and it can be delivered timely – independent of SimCorp Dimension releases. The output can be security, FX, and OTC simulations.
Furthermore, Simulation Macros have the capability of calling external REST APIs. This opens vast possibilities of integrating 3rd party and in-house software products into the portfolio construction in the Asset Manager.
Benefits
- Customization - tailored to individual needs.
- Automation – one-click execution of advanced logic.
- Integration – integration to 3rd party software via REST APIs.
Simulation Macro execution
Subscription based licensing
Asset Manager
Sales module dependency
Asset Manager – Simulation macros/Basic
Rule System Performance – Rule Scope Filtering
For an initial set of rule coding attributes (see details below), Compliance Manager has been enhanced to enable rules using those attributes to pre-filter the rule calculation to ‘cache’, and subsequently calculate on specific and relevant data, thus avoiding the need to load all positions and then subsequently decide what is relevant.
Note that in early tests, where individual rules had been coded to utilize this new pre-filtering, SimCorp observed a decrease of up to 90% in the calculation time required for certain specific rules paired with the supported attributes. This applies to both pre and post trade calculations.
The main messaging here is that clients looking to further improve their pre and post trade system performance should be cognizant of this enhancement as it can have a powerful upside.
The attributes currently supported are
- Country of the security
- Exchange country
- Instrument type
- Issuer country
- Portfolio
Through experience, the attributes above were deemed to benefit most (initially at least) from the pre-filtering. SimCorp will look to add more attributes based upon results and feedback from clients.
Note that the configuration of this new rule scope filtering is accessed via the ‘Additional properties / Advanced’ setting in the rule entry user interface.
Rule scope filtering
Further details of this change are noted in the release notes for 23.10 and have been added to the 23.10 Rule Builder Guide. Clients are encouraged to study this change because as noted above, the benefits could be significant.
Subscription based licensing
Compliance Manager
Sales module dependency
Compliance Manager – Base
Program trading
If you have migrated equities, futures, or both to the new Order Manager architecture the enhanced Programs trades functionality is now available.
Focus areas for Program trades enhancement:
- Better integration of Programs into the overall single orders user experience.
- New UI elements are available to handle Program trades execution efficiently.
- Added flexibility with order grouping, and routing the program to different destinations
- Enhanced filtering and grouping functionality allow to slice program efficiently.
- Added flexibility with order grouping, and routing the program to different destinations
- Improved support for routing programs to EMSs
- Better overall visibility of the program status and execution progress
- Increased performance for actions taken on large volumes of orders
New Programs UI
Programs execution
Programs functionality
List of functionality available for Program trades on New Order Manager Architecture
Subscription based licensing
Order Manager
Sales module dependency
Order Manager - Base
Market driven trading
If you are using the new Order Manager architecture, you can now use Market driven trading workflow for fixed income orders. This is an opportunity-based flow that starts with the trader deciding which securities to trade based on market movements and initiating an order afterwards. The further processing of the order is automated, so it becomes allocated shortly. For the user it looks lightweight, but it is a quite comprehensive workflow composed of Order Manager, Asset Manager and Compliance Manager application components.
Position Market Driven trading workflow
Workflow is authorizable on dealing desk level for all users, who have particular dealing desk setup marked as primary. Trader decides on a trade and receives an unsolicited execution from a platform. Select this trade in the Execution Inbox and choose Create Order and Match… from the context menu. Once window is opened trader can select pre-save portfolio distribution and modify it. Few allocation algorithms are available to distribute Quantity among portfolios. When details are populated, trader clicks Create and Allocate button – this initiates the process of checking broker restrictions, creating and processing orders through Asset Manager including compliance validation. Once released to Order Manager those orders are received, automatically matched with the unsolicited execution and allocated resulting in creation of back-office transactions.
Benefits
- Take advantage of short-lived, good trading opportunities
- A way for traders to be more autonomous and decide which securities to trade themselves based on market movements
- Executed trades not driven by original portfolio allocations - then post execution, allocation is done
Subscription based licensing
Traders
Sales module dependency
Order Manager
Release 23.07 Front Office
Benchmark Compression
In this release we introduce the concept of Benchmark Compression in the Asset Manager. This can significantly improve the system performance of the application.
Benchmarks - in particular fixed income benchmarks - can be very large and if you are managing multiple portfolios each with a large benchmark, data volumes can get massive and impact the user experience.
Compression means that rather than showing all security details of a benchmark, you can instead show the aggregated weights and key ratios in selected groups, defined by the user. In addition to this, we introduce a Batch Job that can pre-calculate and cache the relevant benchmarks. You can schedule the batch job to run before normal business hours so that the benchmark data is readily available when needed by the Asset Manager users.
Benefits:
While still having enough information from the benchmark, the data volumes can be reduced significantly. This means that the Asset Manager will load data much faster. Also, subsequent actions like creation of simulations and orders will be faster.
The ability to pre-calculate benchmarks also contributes to improved system performance. The magnitude of the improvement will depend on data and configuration, but tests in SimCorp's internal development environments have shown 4-5 times faster load times.
Compressed benchmark row per group
Subscription based licensing
Asset Manager
Sales module dependency
Part of Asset Manager – Simulations. Dependent on Index – Base.
Check draft / pending active rules on a pre-trade basis
You can now check draft and pending active rules on a pre-trade basis (this was previously only possible on a post-trade basis).
Individual users will need to be set up with the appropriate permissions to be able to access the ‘Test’ capability in the Asset Manager. The test capability of rules on a pre-trade basis will be available from within both the Portfolio Sheet and the Simulations Tab.
Benefits:
- Superior rule testing capabilities mitigate the risk in production of rules not working as expected on a pre-trade basis.
- Quicker time to market for new rules, less reliance on other users assisting in the process.
Subscription based licensing
Asset Manager
Compliance Manager
Sales module dependency
Asset Manager – Simulation
Compliance Manager – Pre-trade
Create released orders using FO API
With this release you can now to create released orders or program trades using new CreateReleasedOrders FO API commands.
Benefits:
- Allows you to create, pre-trade validate and release orders/program trades in one go using FO API instead of using separate commands for each step
- Orders can be aggregated using CreateReleasedOrdersBegin command if auto order aggregation is enabled via Order Defaults
Subscription based licensing
Asset Manager, SimCorp Dimension Foundation (Front Office API)
Sales module dependency
Asset Manager - Basic, Web Service Platform - Basic
Create Proxy US MBS Pool securities for the primary market
With this release, the capability to copy an existing Bond, Index Bond or ABS security in the SimCorp Dimension database has been extended to MBS securities. Data vendors typically cannot provide enough data to create a valid MBS security in SimCorp Dimension until trading commences in the secondary market.
Static data is either copied, defaulted or prompted for entry in Create Simulations popup or the Single Security Targeting applet.
Once validated and saved, the new securities can be used to create simulations and orders in the standard way.
Benefits:
Portfolio Managers can create a representative MBS proxy security in an efficient and timely manner to support an order flow in the primary market for MBSs.
Creating proxy MBS securities in Create Simulations
Subscription based licensing
Asset Manager
Sales module dependency
Part of Asset Manager – Simulations
OTC Options
Asset Manager now supports trading workflows for Trade Manager OTC Equity/Index Options via Contract Simulation and Modify Position:
- Bilateral - orders (see Order Manager section) and transaction-based done deal workflows for both position opening and closing (novation step-out/close/close dealer choice for orders only)
- Cleared - transaction-based done deal workflows for both position opening and closing (close)
Benefits:
Portfolio Managers can open and close positions in Equity/Index Options in a much more flexible, integrated and efficient way using Asset Manager
Subscription based licensing
Asset Manager, Trade Manager
Sales module dependency
Asset Manager - Simulations
Total Return Swap contract modelling – various enhancements
In this release, we have made the following improvements to support thr LIBOR discontinuation, this time in the Cash Management area:
TM TRS - Open the cash flow grid for manual Payment date and Fixing date changes
As of version 23.07, you can manually edit payment dates and fixing dates in the cash flow grids for the following TRS instruments in the Trade Manager:
- Bond swap
- Equity swap
- Index swap
Manual edits for payment dates in the cash flow grid
The enhancements to modify the payment dates apply to the funding leg with a Floating or Fixed interest type, as well as the performance leg.
You can edit these dates in the grid on the Cash flow tab on the Cash flow/Fixings > ... leg Cash flow sub-tab.
When you make any manual edits, SimCorp Dimension automatically selects the Has manual payment date check box in the grid, and the Irregular cash flow check box above the grid. You can clear the Has manual payment date check box to reset the date back to the parametric values. In addition, manual payment dates are always automatically aligned across the legs if the term date is the same.
TM TRS - TRS payment delay, see Release Notes about this feature
TRS – TRS Payment Delay
As of version 23.07, you can capture bond, equity, and index swap trades in the Trade Manager that link to alternative reference rates with a payment delay.
A payment delay is a key feature of the "in arrears" framework that is used by the alternative reference rates that are replacing LIBOR. A payment delay or "payment days lag" is all about the delayed (swap) payments. The observation period is the same, the interest is calculated in the same way, but the payment is paid n business days following the period end date. The advantage of this structure is that it gives more time for the payment.
With this enhancement, TRS instruments in the Trade Manager with an OIS leg are aligned with the other swaps with an OIS leg that are already supported in the Trade Manager.
TRS - prevent proceeds pay out upon close, partial close, maturity
TRS – enhanced handling of proceeds at close, partial close and maturity
As of version 23.07, the proceeds functionality has been extended for TRS instruments to control proceed amount payments when closing or reducing a position.
With this enhancement, you can withhold proceed amount payments at close, partial close, or maturity of transactions until the scheduled payment date for any holding or holding segment.
To support this enhancement, the Do not trigger payments on TRS close transaction check box has been added for TRS contracts.
Subscription based licensing
Trader Manager, OTC Advanced
Sales module dependency
N/A
Release 23.04 Front Office
Fund level Global Rules
It is now possible for clients to assign Global Rules directly to folders in Compliance Manager. This means that all portfolio-based assignment units in the hierarchy can now be referenced and utilized in a Global Rule.
It should also be noted that this new capability is also supported via the Rule Assignment API and can therefore be used to assign rule to folders from an external system/source.
Benefits:
- Reduces the total number of individual rules that need to be created by clients (save time/effort/cost)
- On-going rule maintenance effort becomes more efficient (saves time/effort/cost)
- Functional completion of a targeted workflow
Assigning a Global Rule to a Folder
Subscription based licensing
Compliance Manager
Sales module dependency
Compliance Manager – Basic
Asset Manager system performance improvement
With this release, User Defined Key Ratios (UDKRs) pre-configured in the Asset Manager Field Configuration window are loaded into Asset Manager memory.
Benefits:
- Speeds up data selection loading time and reduces memory consumption by loading UDKRs from Field Configuration setup.
- Keeps in memory only UDKRs defined in the Asset Manager Field Configuration window, instead of loading all UDKRs from pricing profiles into memory.
Field Configuration setup.
Subscription based licensing
Asset Manager
Sales module dependency
Asset Manager – Basic
FX swap renovation
A new FX swap model based on FX outright method now supports a direct order flow in Asset Manager. The main enhancements of this flow are the following:
- You can add Near and Far leg fills on separate rows in the Order Execution window, save them and create corresponding Near and Far leg FX Forward transactions
- Three new fields are added to the grid of the Order Execution window and to the Execution Details applet: FX instrument type, FX swap leg, Execution reference
- A separate field for Far leg forward rate is also available in Order Execution and Best Execution tabs of the Order Execution window and Best Execution Information – Portfolio Orders sub-window
- Import of FX Forward fills and transactions related to FX swap orders is supported via Data Format Setup
FX swap direct order execution
Subscription based licensing
Asset Manager and add-ons
Sales module dependency
Asset Manager – Basic
Release 23.01 Front Office
Custom Strategies in the Multiple Portfolio View
Custom Strategies is a strong tool to execute customized workflows for simulation creation with a single click, and the Custom Strategies module is continuously improved.
In addition to execution from the Portfolio Sheet applet it is now also possible to execute them from the Multiple Portfolio View applet. This makes it easy e.g., to select a security across multiple portfolios and execute the Custom Strategy on them.
Subscription based licensing
Part of existing Custom Strategies sales module
Sales module dependency
Part of existing Custom Strategies sales module
Security Request in Asset Manager
A number of enhancements have been made to Security Requests
Update Existing Security (22.10)
The ability to update an existing security has been added to the current ability to request a new security, with the functions split into two separate actions to control the bulk update of securities already in SimCorp Dimension. The Status of the check when a requested security already exists in the system has changed from Error to Skipped. If an update is required, the right-click option ‘Update Security Data’ will reset the Status field to Requested. This sends the security request to the existing ad hoc security request process, the same process as for a missing security. If the security exists but is "hidden", then this hidden condition is indicated in the Error reason/comment field.
New Security Applet – Request status showing option to update an existing security
Request based on alternative security IDs (23.01)
Requesting a security based on alternative identification types, such as FIGI, is now possible. Checking the ‘Include in new security request’ box in Security Identification Systems makes the selected Identification System available in Asset Manager’s New Security applet. The resultant successful request will stamp, in this example, the FIGI for the security in the security’s Alternative Security Identifications sub window.
Enabling an additional Security Identification System to the New Security Request options
Add Exchange code to security requests (23.01)
For non-unique identifiers, it is now possible to add the exchange code to a request. This is designed to avoid situations such as requests made to Bloomberg for an ISIN that is traded across multiple exchanges, where Bloomberg would reject such a non-unique ISIN request without the exchange code.
New Security applet – showing a new request using ISIN + Exchange and the resultant imported record
Subscription based licensing
Asset Manager
Sales module dependency
Asset Manager - Simulations
FX swap renovation
A new FX swap model is now available for simulation and order generation based on the FX outright method. This means that you can create an FX swap represented as two FX forwards in the front office holdings for both the near and far legs of the swap. The main benefits of this model are the following:
- You can view the near and far leg of an FX swap in both currencies in the position view applets as two FX forwards or four currency leg positions. Previously, the near leg position was represented as cash on the related bank accounts
- You can view forecasted cash effect of both legs in the Cash Viewer applet with payment instrument type FX forward
- You can distinguish new FX swaps represented as FX forwards from ordinary FX forwards
- You can still view FX swap simulations and orders as one entity in the Simulations and the Order Outbox applets
The new FX swap model supports a portfolio order flow with destination Order Manager only. In addition, this new FX swap is supported only on New Order Manager Architecture. The direct order flow will be supported in a future release.
FX swap simulations and orders that use the new FX swap model are created and handled in the same way as previously by using the existing menus and options in Asset Manager.
However, the template used for creation of a new FX swap should now include a link to FX forward template with FX instrument type of either FX swap or FX synthetic swap. This linked FX forward security will be used for saving a new FX swap as two FX forwards in the front office holdings.
Templates used for creation of a new FX swap.
In the Simulations and Order Outbox applets you can identify FX swaps with corresponding Security IDs by using Instrument type or Instrument sub-type fields as before.
In the position view applets new FX swaps are shown as FX forward positions with corresponding Linked Security ID from the template.
Two new fields are added across Asset Manager’s applets to identify FX swaps among FX forwards: FX instrument type and FX swap leg. In addition, you can use the existing Instrument sub-type field which now displays FX swap for FX forward instrument type positions belonging to the new FX swap model.
Representation of a new FX swap in Portfolio Sheet.
The way in which new FX swaps are represented in the Cash Viewer applet has also changed. You can now see the cash effect of the near and far legs of FX swap simulations, orders and transactions on existing balances. You can identify the related FX swap currency leg values that contributed to this balance in the Details section by looking at new fields - Payment FX instrument type and Payment FX swap leg.
Representation of a new FX swap in Cash Viewer Details.
If portfolios containing new FX swap simulations and orders are included in the compliance segment, Compliance Manager will treat them as two linked FX forwards.
Representation of a new FX swap in Compliance Details.
A new FX swap order is still released to Order Manager as one entity of instrument type FX swap. The new is when these orders are executed and allocated in Order Manager, two linked FX forward transactions (for the near and far legs) are created now for each order allocation. Previously, one FX swap transaction was created per each order allocation.
Another enhancement is that you can add new fields to the Order Outbox applet to track the far leg amounts in addition to existing Amount fields used for the near leg. The new fields include:
- Far leg amount open
- Far leg amount placed
- Far leg amount filled
- Far leg amount executed
- Far leg amount cancelled
Representation of a new FX swap in Order Outbox and Linked Transactions applets.
Generated transactions are linked by sharing the same execution reference. You can see this in the Execution reference field on the Additional Data sub-window of the Dealer FX Forwards window. In addition, FX instrument type and FX swap leg is populated on the linked transactions. FX instrument type is FX swap on both transactions if USI is not empty and is the same on both legs of the swap. Otherwise, FX instrument type is FX synthetic swap.
The Near leg FX swap transaction generated after OM allocation.
As the new model for FX swaps is based on the FX outright method, pricing of the instrument legs which are interpreted as FX forwards in the Front Office Holdings must be based on the FX forward instrument type. In order to get new FX swaps priced, you must have a pricing definition that covers FX forwards. A new FX swap is not priced with pricing methods set up for the FX swap instrument type.
The same is valid for the Financial Accounting Principles in that you must have it set up for the FX forward instrument type and not the FX swap instrument type.
If you want positions based on the new FX swaps to be considered as a hedge, when working with hedge ratio definitions, you must include the FX forward instrument type in the segment you select for the Hedge field in the Hedge Ratios window. Alternatively, you must select the FX forward instrument type in the Instruments section and specify the Minimum days to maturity for the legs of the new FX swap legs to consider them as a hedge.
New FX swap falls into FX Forward instrument type segment in Hedge Ratios.
At the same time, you can still use FX swap as Target Instrument Type, if you want to roll existing positions with new FX swap.
New FX swap as Target Instrument Type in FX Roll Defaults.
Any new security group codes for the new FX swap legs must be based on the FX forward instrument type. In addition, an FX swap leg field has been added to Security Group Codes window to help you distinguish those related to FX swaps.
We also added support for new FX swaps in the Front Office API workflows:
- you can create and modify orders for new FX swaps by using the existing Front Office API commands CreateOrders and ModifyOrders. There is no change in functionality for these API requests
- the two key fields you can use to identify an FX outright swap are now added to the GET PortfolioSheet API command as request parameters: FXInstrumentType and FXswapleg
- the PaymentFXInstrumentType and PaymentFXswapleg fields are also available as parameters for your CashDetails GET requests. These help you identify cash for FX swap forecasts, and their related currency legs for a selected date
- you can create a temporary validation of simulated orders with ValidateSimulatedOrders API command which now supports new FX swaps
Subscription based licensing
Asset Manager and add-ons
Sales module dependency
Order Manager and add-ons
Cash forecast for trading around the clock
Technology has turned the exchanges into a seamless global market where you can trade 24 hours a day by moving from one time zone to another. More and more companies are embracing the opportunities of trading in markets across the globe. Being located in one region does not restrict you from exploring others but be sure you have the technology to cover you from any unpleasant effects, so you can safely get benefits of the world-wide diversification.
For portfolio managers who invest in securities traded on exchanges in different time zones, it is vital to have an accurate cash forecast. This is particularly important in scenarios where order execution lead times can extend over multiple days and where you need to establish the cash situation at the expected payment date. Having a smart forecast of cash balances in these scenarios help guard against going short of cash or run up an overdraft.
The cash forecast algorithm has now been enhanced to adjust for the geographically-spread trading. The expected payment date is automatically generated and adjusted as per exchange trading hours that results in defining the cash movement dates which you can see in the Cash Viewer applet of Asset Manager. In addition, the same adjusted cash ladder is referenced when you evaluate your cash balance rules daily.
When a simulation or order is created, Asset Manager checks that the related exchange on the security is open for today. If it is not open, then Asset Manager rolls the expected trade date to the next available trading day when the exchange is open adjusted for local time. In addition, if an Exchange opens or closes while you are working with your simulations and orders in Asset Manager, the expected payment date adjustment is made dynamically with a maximum delay of a minute.
For instance, if the current local date and time (let it coincide here with the SimCorp Dimension database date and time) is 28 November 2022 17:30h CET, the equivalent time in London stock exchange is 16:30h, you will see that your simulations and orders in LSE are rolled to the next business day as the exchange closes at 16:30h London time which is equivalent to 17:30h CET.
What do you need to make it work? Import the trading hours you get from the market holidays provider into Exchanges/Markets window and get it working without any additional configurations.
Exchange Trading Hours screen
This enhancement supports simulations, and orders for the following instrument types:
- Equity like - Equity, right, fund certificate, GDR/ADR, and index certificate
- Future like - Future, CFD, FRA, and IRF
- Option like - Option, warrant, and covered warrant
- Bond like - Bond, index bond, ABS, SSD, CD, CP, and US pool
Subscription based licensing
Asset Manager
Sales module dependency
Asset Manager – Base
Asset Manager – Simulations
Asse Manager – Order Outbox
Asset Manager – Cash Viewer
FX swap trading
Order Manager now supports the receipt of a new FX swap portfolio order (see FX swap renovation section in Portfolio Analysis enhancements) which can be placed to the market electronically via FIX (or be traded using the existing manual "Capture" and the "Bid Entry and Take" workflows) that result in the execution being allocated and then distributed using the existing allocation methods.
The FX swap is represented in Order Manager as a single order line during the workflows, with leg specific information shown on all relevant windows.
After execution and allocation from OM, the resulting allocation instruction will result in a transaction for each leg of the swap, representing the two FX forwards that make up the new FX swap as described previously. This is a key benefit for trading, such that the 2-leg flow is fully supported in the trading environment.
The post trade workflows for the amend allocation either trader or back office initiated remain unchanged, other than for the number of transactions involved.
The changes here have been delivered on the New Order Manager Architecture which provides significant performance improvements over earlier releases, as well as the ability to enrich the order routing data in OM using the Trading Automation and Enrichment API.
Subscription based licensing
Order Manager and add-ons
Sales module dependency
Asset Manager and add-ons
Equities and futures available on the New Order Manager Architecture
A limited set of trading functionality for equities and futures has been migrated onto the New Order Manager Architecture (NOMA) and is now available for clients trading single orders with the TS Imagine EMS to migrate over to NOMA.
The new architecture provides major benefits in system performance for clients with large order volumes, provides faster throughput of orders and for fill processing, as well as a better user experience for traders handling large numbers of orders in OM.
In addition, the new EMS order shaping synchronization capabilities allows traders using the TS Imagine EMS to create blocks in the EMS from new single orders that have been routed from the Order Manager and have that block shape automatically mirrored in their Order Manager blotter, reducing the need to switch focus between the OMS and EMS blotters during the trading process.
Please refer to the release notes for more detail on the workflows and instrument types supported in NOMA as part of this release.
Subscription based licensing
Order Manager
Sales module dependency
Order Manager – Base
Order Manager – FIX Connectivity
New Rule Audit Report
The Rule Audit Report in Compliance Manager has been comprehensively re-designed. The re-design has been made to enhance the quantity and quality of information provided in the report, both for internal users and for external auditors.
The main enhancement of the new report is that it details the actual change(s) that have been made from rule version to rule version. In addition to now signaling the actual change made between versions, the new report can cover any/all changes made to a rule.
New Compliance Manager Audit Report
Subscription based licensing
Compliance Manager
Sales module dependency
Compliance Manager - Base
Rule version scrolling
Continuing the theme of improved rule auditing capability, it is now possible to scroll ‘online’ between versions of a rule. If you are on the latest version of a rule, you can now ‘page through’ the previous versions of the rule without needing to run any paper or online report.
The ability to scroll between rule version is invoked by selecting the ‘View History’ option when you have your cursor highlighting a rule or when you already have the rule open. Note that you can also invoke a scroller grid and this will show you how the attributes of the rule were configured across each version (in a tabular format).
The major difference between the scrolling capability and the Rule Audit Report is that although the rule scrolling will allow you to move quickly from version to version, the information provided does not actually highlight the changes made from version to version, it purely shows you the attributes of each rule at that given point in time. The intention here is that the rule scrolling is intended to be more of a ‘quick view’ on the rule history while the Rule Audit Report is a more formal and detailed report that would also be valuable and appropriate for external purposes.
Rule scrolling
Subscription based licensing
Compliance Manager
Sales module dependency
Compliance Manager – Base
Heterogeneous accrual settings for Trade Manager swaps
There is now support for ‘Accrued interest conventions’ on all Trade manager swap legs, which will enable users to configure heterogeneous settings for coupon versus accrued interest conventions and at the same time it will improve the migration abilities of our tool which allows to move APL swaps into the Trade manager
Subscription based licensing
OTC Advanced, Trade Manager
Sales module dependency
Trade Manager
Asset Manager enhancements (various extensions)
Enhanced Funding leg of the Asset swap
The Asset swap instrument in the Trade manager is enhanced and support added for two additional interest types on the Funding leg. Users can now trade the asset swaps where the funding or receive leg is based on ‘Fixed’ and ‘Daily Fixings’ interest types in addition to the previously existing ‘Floating‘ interest
Support Floating rate bond as underlying instrument on the Asset swap
The underlying types on the asset leg of the Asset swap has been extended and support added for the Floating rate bonds that can be selected as the underlying instrument on the Asset swap. This enhancement will cover all regular FRNs including floaters with sub-fixings and those quoted either in the domestic or foreign currency as compared to the funding leg currency.
Subscription based licensing
OTC Advanced, Trade Manager
Sales module dependency
Trade Manager
Release 22.10 Front Office
Compliance – Post-trade API
As an addition to the two existing Compliance related APIs (Front Office API, Rule Assignment API), SimCorp have in this release now formally released a third Compliance API. This API is referred to as the ‘Post-trade API’.
Like the former APIs that have been delivered, the new API allows you to perform actions/functions in Compliance Manager that were previously only possible from inside the application. This gives you added flexibility should you wish to embed some of the Compliance Manager functionality into your own specific applications, thus easing certain associated daily tasks by triggering them from an application/solution external to Compliance Manager. In this case, the function that is supported by the new Post-trade API is to allow for the re-calculation of rules after you have performed an investigation and taken remedial action on compliance failures/data exceptions. This suits use cases where individual post-trade rules have failed, and the user needs to revalidate them again without having to do this manually by using the Post-trade Monitor or by re-running the post-trade validations using a batch job.
The new Compliance Post-trade API offers the following features:
- Validate rules—You can validate assignment units for one, several, or all rules (by providing no rules) for today.
- Validate rules historically—You can validate assignment units for one, several, or all rules for a specific calculation date.
- Get status of validation—You can check on the status of a previously run validation by supplying the Operation ID (that was returned when the validation request was placed).
- Cancel validation—You can cancel a validation request that is queued and not yet started for assignment units by supplying the relevant Operation ID (that was returned when the validation request was placed).
- Get high-level results—You can retrieve the results from a previous validation request. The results returned are equivalent to those you can see in the Result Details section of the Post-trade Monitor in Compliance Manager.
- Get result details—You can retrieve result details from a previous validation request and possible rule ID. The results returned are similar to those you can display from the Post-trade Monitor when you click Result Details.
- Test re-validation – The user can use the API in a validation test mode if required. Test mode would typically mean that the validations would not be written to the database until the user was satisfied with the results.
Benefits
- Enables the use of external workflow tools to automate parts of the breach and exception handling.
- Provides portfolio managers access to (intraday) post-trade validations and breaches.
- Validates new compliance rules for periods in the past without affecting existing post-trade results.
Subscription based licensing
Compliance Manager
Sales module dependency
Compliance Manager - Base
Enhancements of Custom Strategies in the Asset Manager
As of version 22.10, you can use risk-free rates (RFR) for loan facilities contracts. This support is a part of the LIBOR reform enhancements.
You can apply a risk-free rate in the Pricing option field for the contract. This new setting makes the Risk-Free Rate Fixings sub-window available on the Loan Facilities static data window.
You cannot manually insert or delete rows in the sub-window. Rows are inserted or deleted from the sub-window based on changes made in the Contracts grid such as:
- Setting the Pricing option field to Risk-free rate (inserts)
- Setting the Pricing option field to something other than Risk-free rate (deletes)
- Deleting the contract (deletes)
Risk-Free Rates conventions have been added to the grid on the Contracts tab. These fields are:
- Compounding method
- Spread compounding
- Round rate (decimals)
- Holiday adjust fixings
- Holiday calendar for fixing
- Day count
- Shift observation period
For the risk-free rate, you can edit the Compounding method, Round rate (decimals), Holiday calendar for fixings, and Day count fields. However, the Fixing reference date field cannot be edited.
Subscription based licensing
Part of existing Custom Strategies sales module
Sales module dependency
Part of existing Custom Strategies sales module
Release 22.07 Front Office
Axioma Multi Factor Risk – new modules
The Axioma multi factor risk model is a best of breed risk model preferred by many leading financial institutions. With this module and the partnership between SimCorp and Qontigo, the operational efforts and risk of interfacing between SimCorp Dimension and the Axioma risk models is minimized.
The operating model is based on loading the multi-factor models, factor sensitivities, and covariance matrix, from daily files and then the SimCorp Risk engine provides the calculation, aggregation and nominal scaling for Ex-Ante Risk including parametric VaR.
Optionally, corresponding Axioma unitized price sensitivities can loaded be into “User defined key ratios”.
The strength of this is two-fold:
- It allows “what-if” trade simulations in the Asset Manager to show the impact on Axioma multi factor risk sensitivities and parametric VaR, at both a security level and a sub-total aggregated level. (Alongside SimCorp calculated price-based sensitivities, thus provide transparency and explanation of any investment decision in one place.) This is very powerful as enables both and audit proof reporting solution as well as a dynamic front office analysis & monitoring of the advanced risk analytics.
- It enables limit monitoring for pre-trade simulations as well as post trade reporting.
Benefits
Harness the power of the partnership
- Differentiates from the competition by maximizing the return of your or your client’s portfolio within the allotted risk budget.
- Measures and understand risks using a combination of traditional risk sensitivities alongside best-of-breed multi factor models.
- Leverages integrated and consistent advanced risk analytics in SimCorp Dimension
- Go to market faster with new models and strategies
- Model Back testing in an audit proof and consistent manner across Front and Middle Offices.
Eliminates painful operational efforts by:
- Reducing data reconciliation of systems and integration.
- Efficiently manages exception handling.
- Avoiding key person dependencies.
Subscription based licensing
Requires Risk Analysis Manager and (VaR Parametric or Ex-Ante Volatility) Recommends Risk Analytics for AM integration Recommend Compliance Manager for CM integration
Sales module dependency
Risk Reporting and (VaR- Parametric or Ex-Ante Volatility) Recommends: · Asset Manager – Risk Analytics [for AM integration] · Compliance Manager – Risk Analytics [for CM integration] · Risk Analysis Manager [for EOD analysis on-screen] Plus, the other usual optional modules from the internal risk model: · Risk Analysis Manager Alerts · Risk Analysis Manager Analytics Dashboard · Fund look Through – Risk Management · Index look Through – Risk Management
Risk Analysis Manager; Internal risk enhancements
With release 22.04 it became possible to not only include specific risk volatilities but also imported correlations between specific risks in the Parametric VaR and ex-ante volatility models. With release 22.07 it has become easier to import specific risk data from external vendors. Specific risk is particularly useful for equities, alternatives and other instrument types where the risk factor mapping is not sufficiently explaining the price movements. It is also useful for all instruments where a multi factor sensitivity expansion is preferred. The specific risk correlations are particularly useful for securities where there is a great deal of idiosyncratic risk and where some are highly correlated. The specific risk inclusion is available in Risk Measurement as well as Asset Manager and Compliance Manager.
It is now also possible to choose between two alternatives for importing to the Covariance Manager. Previously you would import risk factor volatilities and correlations via two separate files. It is now possible to import a covariance file instead. This eases your import operations if your covariance source solution has the format of covariances: You would no longer have to transform the data before importing it.
Finally, we have for all risk solutions enhanced the system performance of the Risk Measurement if you are decomposing the funds. We have enabled the possibility to use the prepared decomposition batch job and as this is possible to load balance on multiple servers you can decrease the execution time by adding more hardware.
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Investment Forecasting & Solvency – various enhancements
With release 22.04 we introduced the possibility to use Dirty Value Total (market value) as an alternative to Dirty value for the Schuldsheindarlehen (Schuldschein, SSDs) instruments in the Solvency calculation. With release 22.07 we have also enabled this in the what-if simulations and investment forecasting. This implies that the SSDs are covered according to market best practice also when simulating holding and market data changes in the short and long term forecasts.
The latest recommendation from the German GDV (Association of Insurance Companies in Germany) is to use Modified Duration YTM for the Solvency Spread Risk coverage. With this enhancement it is possible to choose between Modified Spread Duration (the sole option previously) and Modified Duration YTM.
The following new balance fields have been added in Position Results for analysis and forecasting; Accrued interest EOP, Balance variation margin QC/PC, Unrealized Ccy Neg. Adj. PC, Balance CL allowance QC/PC, Balance CL allowance Ccy adj. PC. These results are important in IFRS9 reporting.
More analytics have been added to the Position Results API: Attribute configuration, Alternative Investments, Solvency II & Delta Vectors. You can for example use the API to extract data to the SimCorp BI solution or other solutions where these important analytics are used for monitoring, downstream processing and reporting outside SimCorp Dimension.
Subscription based licensing
Strategy Manager & various add-ons
Sales module dependency
Strategy Manager – Calculations
Strategy Manager - Market Data Stress Test
Strategy Manager - What-if and Horizon Analysis
Strategy Manager - Position Calculation API
Strategy Manager - Reinvestment component
Valuation and Market Data - major enhancements
For the LIBOR reform, SimCorp is committed to make sure our clients can handle the cessation of LIBOR rates. This has again meant that we have added a couple of features:
- Prior to release 22.07 it was possible to have only one convention per currency for the swaption standard contracts. Now you can apply the conventions per standard contract which means full flexibility in the Hull White pricing of the swaptions.
- It is now also possible to apply a daily reference rate per standard contract to price OIS based swaptions correctly using the Hull White pricing model.
For Forward Rate notes, you can calculate the YTM yield key ratio with forward rates. Previously the YTM Yield was calculated estimating the cash flows by rolling the last known fixing. Both methods are possible everywhere the YTM Yield is calculated in SimCorp Dimension, providing more flexibility to the user.
Subscription based licensing
Various
Sales module dependency
Various
Compliance Manager – Use .NET Formula Editor
As of version 22.07, you can now open the Formulas.Net Editor directly from Compliance Manager’s Attribute Configuration window when you want to create and use custom .NET formulas in Compliance Manager for holdings based rules
If the new option in the screen shot above has been made visible to you, it should be noted that; ‘Create Formula’ enables you to create a .NET formula based on your own domain-specific formula language.
This new capability provides clients with a number of distinct benefits;
- Time to market. Client no longer need to wait for SimCorp to produce these formulas, the client is now self-sufficient.
- Reduced cost. Clients can now create the requisite formulas on their own.
- Software consistency. This addition brings Compliance Manager in line with the capabilities of the Asset Manager when it comes to the creation of formulas.
Subscription based licensing
Compliance Manager
Sales module dependency
Compliance Manager Base
Compliance Manager – Additional Online Compliance capabilities
In 22.07 the Online Compliance applet available in Asset Manager, has been enhanced, so that simulations and pending orders (also in the form of preliminary transactions) can also be included in the results. Previously, only released orders and held positions were included. This means that portfolio managers can get a more accurate compliance view in the Online Compliance applet.
To include simulations and pending orders in your Online Compliance applet:
- Select the required data selection in Asset Manager, and add the Online Compliance applet to your layout if not already added and selected.
- Select a filter from the Filter section, such as All.
- Ensure that the Validation source field has been added to the main grid of the Online Compliance applet.
- Select the All check box.
- Click Validate.
This new capability provides clients with a number of benefits;
- Additional scope flexibility in the online compliance calculations
- Improved system performance (see Release Notes)
- More accurate and more update compliance values based on additional orders and transactions
- Reduce effort in recalculating orders that should not have initially been raised due to compliance issues
Subscription based licensing
Compliance Manager
Sales module dependency
Compliance Manager Base
Value Based Characteristic Order Workflow (MBS)
The Characteristic Order workflow allows portfolio managers to raise orders based on targeted security characteristics such as a range of credit ratings. The trading desk are then able to fill the order with a real security that fit the required characteristics, based on availability and conditions in the market.
By raising Value Based Characteristic Orders, further flexibility is offered by providing the trading desk with a target value rather than nominal along with an upper threshold value. Specifically, this enables a workflow where the trading desk are given discretion over which specific ABS/MBS securities (where the value of the security decreases over time as the underlying mortgages are repaid) to trade.
Subscription based licensing
Order Manager, Asset Manager
Sales module dependency
Order Manager – Base
Asset Manager – Base
Asset Manager - Characteristic Orders
Asset Manager - Order Outbox
Asset Manager - Simulations
New security request applet in Asset Manager
It is now possible to request the import and set up of a security not already in SimCorp Dimension, direct from Asset Manager. A very small piece of custom Communication Server configuration will link the request from Asset Manager into your existing ad hoc security request process and feedback on the request will be displayed in the new applet.
The applet is split into two sections:
- New Security Requests - the ID type (e.g. CUSIP) and the ID are specified and the request is made
- Request Status - feedback on the request process is received and displayed; Requested, Finished (i.e. successful import and set up) and Error (with error reason to enable local corrective action or escalation outside of Asset Manager to the data team to take place).
Once a request is finished it is possible to right mouse click and:
- Open Related - launches the security static data record window
- Add New Simulation - opens Create Simulations pop up, populated with the Finished Security IDs
- Select as Single Security - switches focus to the Single Security Targeting applet, populated with the Finished Security IDs
Subscription based licensing
Asset Manager
Sales module dependency
Asset Manager - Simulations
Custom Strategies applet
With the 22.07 release of SimCorp Dimension, we have introduced the Custom Strategies applet which is a new and improved way of defining and executing custom strategies as known from the Strategies Definition applet. Until now, all strategies have been set up in the Strategy Definition applet and executed from the Portfolio Sheet in a panel with a wizard that goes through the different execution steps. Now, we have introduced the Custom Strategies applet that in the longer term will replace the Strategy Definition.
In the Custom Strategy you can create custom strategies that are based on .NET formulas developed specifically for one client. The user interface is much simpler than in the previous module and has fewer settings. Also, for the strategy execution you will see a much more trimmed user experience. Rather than the wizard, it will only bring up a small popup-window to prompt for custom arguments. If you don’t need these, you can even skip this step for a true one-click experience.
Subscription based licensing
Asset Manager
Sales module dependency
Asset Manager – Custom Strategies
Create new simulations from Custom Strategies
Custom Strategies is a powerful tool that allows you to automate your own specific workflows and calculations and integrate them into the Asset Manager. A custom strategy is based on a .NET formula developed specifically for one client and imported into SimCorp Dimension. Based on input data from the Asset Manager, the strategy can perform the customised calculation and create simulations – i.e., suggested trades. Until now, the custom strategies were able to create simulations in existing lines. This meant that you could increase or decrease the amounts held in the lines seen in the Asset Manager. As of 22.07 it is now also possible to create simulations in new positions that are not currently held in the portfolio or present e.g., via the benchmark. This is an important enrichment to the custom strategies and widens the range of use-cases this tool can apply to.
Subscription based licensing
Asset Manager
Sales module dependency
Asset Manager – Custom Strategies
Release 22.04 Front Office
Rule tagging
It is now possible, either through the batch process or through the Validation Groups Applet to split post trade calculations into logical groups. This means that when running a post trade validation for a single portfolio or a group of portfolios, it will not be a requirement to run all active rules. This major functional enhancement has been a long-standing request of numerous clients and in functional terms is referred to as ‘Validation Tagging’.
This major new enhancement has been developed in response to feedback from clients who noted that calculating post trade compliance against all rules at the same time does not necessarily reflect their needs and can lead to certain duplication of process and general result output inefficiencies. A good example would be where clients run their initial calculations in the morning when they have yet to receive updated fund prices, or they calculate benchmark rules when that data, too, is yet to be made available. Both these scenarios would lead to wasted and unnecessary calculation time.
Validation Tagging will allow you to run post trade compliance in a sequence that much better fits day-to-day operational processes. Another major benefit of potentially splitting the scope of your post trade calculations into different groups would be the ability to ‘front run’ certain calculations where data/prices are available early and therefore potentially reducing or splitting the overall operational calculation ‘window’.
Caption: A set of portfolio rules divided into logical groups using validation tagging
Subscription based licensing
Compliance Manager
Sales module dependency
Compliance Manager- Base
TBA Roll & Round Robin
TBAs are a heavily traded and extremely liquid part of the US fixed income market. In release 22.04, functionality has been delivered to roll TBA positions to future months and take advantage of Tradeweb’s Round Robin facility to step out of matching long and short contract positions with different counterparties, incurring no execution costs.
TBA Roll
- Dedicated window to roll multiple nominals based TBA positions across different TBA products
- Roll full amount, % or portion of existing position
- Roll into next month’s TBA or select subsequent maturities
- Simulations or orders (via Assign Values) are created with a contingent link to ensure the rolls are traded together
TBA roll window:
Round Robin
- Dedicated window for an algorithm to automatically create valid Round Robin pairs from TBA positions selected
- Ability to select a counterparty to reassign any net TBA balance to
- Simulations or orders (via Assign Values) are created with a unique contingent link per pair to ensure the Round Robin trades are identified as such by Tradeweb
Round Robin window:
Split by counterparty, introduced in release 21.07, is necessary for this functionality to work as designed.
Stipulations (characteristics of the mortgage pools delivered if the TBA is held to maturity) have been added to Asset Manager. These are persisted on any simulations created from an existing position.
Subscription based licensing
Asset Manager
Sales module dependency
Asset Manager- Simulations; TBA Traded for Investment