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- Reduced risk of settlement failure due to wrong/outdated internal SSIs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.
Subscription based licensing
Various
Sales module dependency
Various
Read more about previous releases
Release 24.01 IBOR
Reconciliation API
Access and enhance reconciliation results from outside Simcorp Dimension in real-time.
Benefits
Monitor the reconciliation process:
Access reconciliation runs with detailed statistics on auto-matched, unmatched items. Obtain a quick overview of the reconciliation status for efficient monitoring.
Analysis of results:
Retrieve a full list of reconciliation results for in-depth analysis and reporting.
Analyze deviations:
Calculate and analyze deviations between two or more reconciliation records to understand the breaks.
Insert comments:
Enhance collaboration by inserting comments directly on reconciliation results and help with breaks resolution.
Future versions will bring more end points and capabilities. Among others: classifying breaks, signing off the reconciliation results.
Subscription based licensing
Investment operation APIs
Sales module dependency
Reconciliation Manager
Communication Server DTCC CTM Connectivity Solution
A new Communication Server based connectivity solution for DTCC CTM has been developed. The new solution is a preconfigured connection package to make https calls to the CTM backend and integrates internally with the Communication Server that handles the business logic. All requests including polling status requests are generated by the business logic and forwarded to the connection solution, which then exchange it to CTM. Please note that the business logic is not part of this solution.
Benefits
This solution replaces the DCIGATE Communication Server and the 3rd party application DCI Gateway. The communication server connects directly to the CTM backend webservice and allows easier deployment.
Old versus new connectivity workflow
Subscription based licensing
N/A
Sales module dependency
Communication Server is available for all customers.
Dependency “Omgeo Central Trade Manager (CTM) – Adaptor”
Improved pricing flow for structured bonds with embedded caps and floors
We have made a significant enhancement to our pricing flow for structured bonds with embedded caps and floors. This improvement introduces valuable changes that directly impact your daily workflow, offering enhanced capabilities and making your pricing tasks more efficient and accurate.
What you can achieve
With this update, you now have the ability to calculate implied spreads or option-adjusted spreads along with their related sensitivities for a diverse range of structured bond instruments. This includes floating interest type bonds with caps and floors, super floaters, reverse floaters, floaters with variable components, floaters linked to risk-free rates, and multiple interest type bonds.
The enhancement supports features such as market data scenarios, delta vectors, convexity adjustments, and risk scenarios, empowering you with deeper insights into the risk associated with your investments.
Benefits
This enhancement is designed to streamline your pricing processes, providing you with a more accurate and comprehensive valuation of structured bonds. The improved pricing flow allows for a seamless calculation of implied spreads and option-adjusted spreads, ensuring that you can make well-informed decisions in managing your investments.
Other benefits
Enhanced Accuracy: The Quoted price + yield curve, structured products price method has been improved to eliminate residuals, ensuring more accurate results.
Efficient Performance: We have improved run-time performance, making the pricing process faster and more efficient, tailored to the specific characteristics of the bond instrument and pricing method.
Improved Transparency: The Explain Calculation spreadsheet has been updated to hold all calculations for the components, including Implied Spread Calculation tab for easy reference.
Error Reduction: Numerous corrections leading to more reliable pricing results.
Subscription based licensing
Various; Foundation
Sales module dependency
Various; Foundation
Do not calculate UDKRs" in applications, where needed
Now it is possible to exclude user-defined key ratios (UDKRs) from applications and services if you do not want them calculated. You can exclude UDKRs at the formula level and at the child-mapping level.
Excluding UDKRs streamlines the calculation process. When you have a single pricing setup, all UDKRs are calculated in all applications even if they are not needed. For example, they are not needed when UDKRs contain ESG key ratios that have scaling properties not available in e.g., Portfolio Calculation. Creating multiple pricing setups to remove unnecessary UDKR calculations can be very cumbersome. The new process of excluding certain UDKRs avoids unnecessary calculations where the results are not required and improves the calculation time.
To use this functionality, you can specify in which applications or services UDKRs can be excluded from the calculations by using the Exclude from field in the Key Ratio Mapping window. Right-click in the two where you have a UDKR to exclude and select Exclude from. In the Select Applications/Services sub-window, you can specify where the UDKRs must be excluded. Currently, the list of applications or services includes:
- Middle-Office Position Calculation
- Performance Calculation
- Portfolio Calculation
- Pricing and Key Ratio Calculation
- Pricing and Key Ratio Service
- Risk Measurement
Benefits
Improve usage of UDKRs by allowing for specification of where to have the UDKRs calculated. This will reduce calculation time and improve performance for applications or services listed previously.
Subscription based licensing
Various; Foundation
Sales module dependency
Various; Foundation
Roll over interest for Straight Repos in Trade Manager
From 24.01, it is now possible to roll-over repo interest for repo roll-over transactions and notifications for cancellable repos and Evergreen repos. When a Straight Repo in Trade Manager is rolled-over (effectively closing the original repo trade and opening a new), Dimension did previously not support the possibility to roll-over interest from the closed part to the opened part. From 24.01 this is now possible for Straight Repos to check a check-box labelled “Roll over interest” under the conventions tab. The repo interest is then calculated across the closed and the opened repo and settled at maturity for the opened repo.
This functionality is only applied for:
- Straight Repos (i.e. not for Sell Buy Back agreements)
- Fixed rate repos (i.e. not for floating rate repos)
Benefits
- Enables users to follow market practice for repo roll-overs
- Enables users to follow market practice for cancellable and Evergreen repos
Subscription based licensing
Trade Manager
Sales module dependency
Money Market – Security Finance
Release 23.10 IBOR
Include known CPI values in ZCIS curve construction
You can now include known Consumer Price Index (CPI) values when estimating Zero Coupon Inflation Swaps (ZCIS) curve used for valuation of Inflation-linked instruments.
Benefits
Get consistent and correct Prices for Inflation-linked instruments by following Market Standards and including known CPI values in estimation of Zero-Coupon Inflation Swap Curves
Subscription based licensing
Various; Foundation
Sales module dependency
Various; Foundation
Release 23.07 IBOR
Monthly tenors in inflation curves
With this release we introduce monthly tenors in inflation curve estimation to apply with market standards.
Furthermore, Explain calculation is now available as part of inflation curve estimation to ensure transparency of the calculations.
Benefits:
With the introduction of monthly tenors in inflation curve, the enhanced inflation curves are now more in line with market standards as well as supporting data from data vendors.
Monthly tenors are typically used in the short end of the inflation curve, so the new enhancement will enable better valuation of inflation linked derivatives within this range.
Furthermore, Explain calculation has been enabled for inflation curve estimation to support transparency of the underlying calculations.
Subscription based licensing
Various; Foundation
Sales module dependency
Various; Foundation
Risk Factor Sensitivities in Pricing and Key Ratios Calculation
You can now calculate 1st order and 2nd order risk factor sensitivities with a Pricing and Key Ratios Calculation (PKR Calculation) instead of a Key Ratio Calculation. The results obtained can be extracted and utilized in Middle Office applications, such as Performance Calculation for Factor Based FIPA.
Benefits:
The introduction of Pricing and Key Ratios Calculation as a central hub for calculating, storing, and managing key ratios offers several advantages over Key Ratios Calculation. These benefits include:
- Support for a range of dates in calculations
- Support for User Define Key Ratios
- Enables position-based pricing
- Support for holding segments
- Capability to recalculate erroneous positions, ensuring accuracy
By incorporating risk factor sensitivity calculations into PKR Calculation, the need for running Key Ratios Calculation is eliminated. This streamlines the client's workflow and enhances the consistency, uniformity, and centralization of risk factor sensitivities and other key ratios.
Subscription based licensing
Various: Foundation + Middle office packages
Sales module dependency
Various: Foundation + Middle office packages
OTC Rates Swaption contract modelling – various enhancements
In this release, we have made the following improvements to swaptions contract:
Swaptions: Support for mid-curve / forward-starting contracts
From 23.07 it now possible to handle so-called mid-curve or forward staring swaptions in the Trade Manager.
For the instrument types “Swaption, fixed/float” and “Swaption, OIS” you can now define a forward starting period for the underlying swap after the exercise date. Previously, that forward starting period was limited to 99 days but can now be set to e.g. 5 years.
Subscription based licensing
Trader Manager, OTC Advanced
Sales module dependency
N/A
LIBOR discontinuation / ARR
In this release, we have made the following improvements to support the LIBOR discontinuation, this time in the Cash Management area:
LIBOR discontinuation: Cash flow forecast of (Alternative Reference Rates) ARR products in the Cash Management Module
As of version 23.07, you can forecast cash flows for the alternative reference rates (ARR) products in Cash Management based on the latest known fixing rates.
You can calculate forecast for instrument types such as bonds, IRSs, and TRSs based on compounded daily rates. If there are no new rates for these types of instruments available for the forecast period, SimCorp Dimension takes the last known values to calculate forecasts in Cash Management.
Previously, it was impossible to perform such forecasts in the absence of values for the requested period. But now SimCorp Dimension uses the rates from the static data windows. The Fixing rate values for bonds and IRSs are taken from the Bonds window and the Transaction IR swaps OIS basis - Trade - Trade Manager window, respectively. While the Fixing rate values for TRSs are in the Total Return Swaps window.
Subscription based licensing
Cash Management
Sales module dependency
N/A
Total Return Swap contract modelling – various enhancements
In this release, we have made the following improvements to TRS contract modelling:
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 IBOR
Affiliated Debt
This module extends the cash management capabilities for the financial institutions which manage credit lines (internal but can also be applied to external credit lines).
Key capabilities are:
- Initiate, store and maintain single- or multi-currency affiliated debt commitments
- Process penalty and overdraft fees accruals and payments with calculation details available
- Calculate interest accruals and payments
- It is possible to configure notification in case funding limits are breached
- Forecast cash flows for affiliated funding contracts
- Provide overview from both sides simultaneously from lender as well as from borrower perspective (in case both sides are managed in the system)
Example of configuring breached commitment limit check for Affiliated Debt contracts
Subscription based licensing
Money Market - Affiliated Debt
Sales module dependency
Foundations, IBOR Base Module
Enabled electronic collateral cash interest statement communication
AcadiaSoft MarginSphere® is a margin confirmation community where counterparties engaged in collateral management electronically confirm margin calls, substitutions, and interest statements. The current SimCorp Dimension version enables users to communicate and match interest statements from Margin Manager via AcadiaSoft MarginSphere.
Benefits:
- Enables electronic communication of interest statements in line with current industry standard.
Communicate monthly Cash Interest Statements via AcadiaSoft MarginSphere
Subscription based licensing
Collateral Manager and Collateral Manager - AcadiaSoft Adaptor
Sales module dependency
Margin Manager and Collateral Manager MarginSphere Adaptor
Release 23.01 IBOR
Collateral Management – Cash Interest Statement in Margin Manager
You can now calculate a monthly interest statement for cash posted or received as collateral, represented by the call money instrument type in SimCorp Dimension. You can view the calculated interest amount including daily movements and accruals in a new Interest Statement Tracker applet in Margin Manager application. The interest statement is calculated from the first calendar day to the last calendar day of the month.
Enhanced Margin Manager application - Interest Statement view
Subscription based licensing
Collateral Manager
Sales module dependency
Margin Manager
Collateral Manager
New corporate action free codes, available in Corporate Action Manager and Corporate Action Elections
The number of corporate action free codes is tripled. The addition of 12 new corporate action free codes can support enhanced data and thereby more informed decision making on elections.
12 new Corporate Action free Codes available in both Corporate Action Manager & Corporate Action elections.
Subscription based licensing
Corporate Actions Manager
Sales module dependency
Corporate Actions STP Manager, Equities
Asset Service Hub
The Asset Service Hub is a cloud-based, hosted, and managed connectivity service, offering pre-defined interfaces for major industry institutions. It provides faster onboarding of counterparties (e.g. custodians or external fund managers) and improved data interoperability. Interface definition, data mapping and normalization, and Standard Platform configuration is developed and maintained by SimCorp, so that customer need fewer resources to handle these tasks. SimCorp also operates the connectivity to onboarded counterparties, further reducing the workload for technical exception management by customer resources.
The Asset Service Hub can facilitate an integration and data normalization for the following processes:
- Trade Capture from external fund managers
- Tax Reclaims Handling with custodians
- Reconciliation processes with custodians
Benefits
- Reduced IT expenditure and operational risk
- Increased timeliness and quality of data
- Faster onboarding of new custodians and external fund managers
Subscription based licensing
Asset Service Hub
Sales module dependency
N/A
Cap/Floors fixing in arrears
For the LIBOR reform, SimCorp is committed to making sure clients can handle the cessation of LIBOR rates. A couple of enhancements are now available:
- Because of LIBOR reform, caps/floors and collars are now fixed in-arrears where payments based on a compounded alternative reference rate such as SOFR or SONIA, and support to fixed in-arrears caps is now added. The enhancement can be used in workflow such as: registration of SMF for RFR caps, calculation of correct accruals and theoretical value, expiration of caps.
- You can now add more than one bank holiday calendar per currency to each contract on IRS standard contracts. That allows to switch to IRS standard contracts linked to Risk-free rates.
Subscription based licensing
N/A
Sales module dependency
LIBOR reform
Decomposition of index forwards
You can now decompose index forwards in the following areas of SimCorp Dimension:
- Portfolio Calculation
- Asset Manager
- Performance Calculation
Decomposition for index forwards is similar to index futures and index TRS. The decomposition works for directly held index forwards as well as index forwards that are a component of a fund.
You can create index forwards from equity forward instruments in the Trade Manager where the underlying is an index security linked to an index or benchmark. However, the Index type of decomposition was not available previously for index forwards in these cases.
To enable the decomposition for index forwards, ensure you have a row in the Decomposition Profiles window where the Decomposition type field is set to Index contracts.
Subscription based licensing
N/A
Sales module dependency
Various
Pricing of forward starting cross-currency swaps with mark-to-market notional adjustments in the case of unknown FX rate
You now have support for valuation of a forward starting cross-currency swaps with mark-to-market adjustments in the cases when the counterparties have not agreed upon the initial FX rate at the trade execution. It is normal market practice that the FX rate is not known in advance when the trade is executed since the contract can start say 5 years from now. The enhancement covers Trade manager forward starting cross-currency swaps.
Forward starting cross-currency swap with mark-to-market adjustments – market case when the initial FX rate is not agreed in advance
Subscription based licensing
N/A
Sales module dependency
Various
Enhanced pricing for BRL futures with variation margins
Pricing of Brazilian DI futures before and after booking a variation margin is now in line with how regular interest-rate futures with a daily settlement are handled by SimCorp Dimension. Until now, BRL DI futures were priced like zero-coupon bonds, which does not distinguish between pre- and post-booking of variation margin. With this enhancement BRL DI futures are treated like any mark-to-market exchange-traded future.
This enhancement covers the following three price methods:
- Quoted price + yield curve
- Quoted price
- Theoretical price
Valuation of BRL DI futures – the market value of the future gets to zero after the variation margin has been settled
For all three price methods, the dirty price is calculated as follows:
‘Dirty price = Quoted price - last known price’, where:
- Quoted price is the latest quoted price (for the Quoted price and Quoted price + yield curve price methods) or the price calculated based on the CDI rate for today (for the Theoretical price method)
- Last known price is the price from the trade or the last variation margin, if any.
Subscription based licensing
N/A
Sales module dependency
Various
Release 22.10 IBOR
Enhanced settlement data
In SimCorp Dimension Release 22.10 we are strengthening our custodian partnerships further by providing an enhanced settlement data application in the Settlement Manager. The new application enables import of real-time settlement information that is normally not available in a SWIFT message. The enhanced data provides a very capable exception handling tool that allows you to identify failed trades earlier and resolve issues faster.
Caption: Enhanced settlement data application - exception handling.
Subscription based licensing
Settlement Manager
Sales module dependency
Settlement Manager
Repo: cash-driven trade processing
Cash-driven repos are now supported in Trade Manager and Asset Manager. With a cash-driven repo, the user can enter the cash settlement amount and SimCorp Dimension calculates the nominal of the collateral in the Trade Manager. This enhanced functionality will then support repo trades based on either
- If the notional of the underlying asset is entered together with clean price and initial margin percent, then the cash settlement amount is calculated (existing functionality)
- If the cash settlement amount is entered together with clean price and initial margin percent, then then the notional of the underlying asset is calculated (new functionality)
Subscription based licensing
Part of existing Repo modules
Sales module dependency
Part of existing Repo modules
Support for cross-currency Asset Swaps
We have added support for Cross-currency Asset swaps that should be configured via the ‘Asset swap fixed/float’ instrument in the Trade manager.
Cross-currency Asset swap is a combination of bond purchases and currency swaps, which allows a trader to purchase a fixed-rate bond in a foreign currency (e.g., GBP), pay fixed coupon in the same foreign currency as the bond (e.g., GBP) and at the same time receive floating coupon in domestic currency (e.g., EUR). There is normally a physical exchange of notional amounts at the start and the end of the cross-currency asset swap contract.
Subscription based licensing
Part of existing Asset Swap modules
Sales module dependency
Part of existing Asset Swap modules
Release 22.07 IBOR
Collateral Management: Accept pledge – Automation
When communicating margin calls via MarginSphere, the collateral management solution receives incoming pledges from counterparties which are then either accepted or rejected by the collateral manager. This change now allows the user to automate the accept pledge action. By enabling new settings on the Collateral Pool - Auto accept pledges, users can configure the system to automatically accept the pledge.
Subscription based licensing
Collateral Manager and Collateral Manager MarginSphere Adaptor
Sales module dependency
Collateral Manager and Collateral Manager MarginSphere Adaptor
Collateral Management: Send outbound margin call – Automation
When communicating margin calls via MarginSphere, outbound margin calls are filtered out and sent by pressing the Margin Call icon and right click menu item Create Margin Call . Users will now be able to automate Create Margin Call action by enabling new settings on the Collateral Pool - Auto send outgoing margin call, users can configure the system to automatically send outbound margin calls via MarginSphere to counterparty on occasion of saved collateral result (via batch, by the server or manually) in SimCorp Dimension.
Subscription based licensing
Collateral Manager and Collateral Manager MarginSphere Adaptor
Sales module dependency
Collateral Manager and Collateral Manager MarginSphere Adaptor
Call on rights – new Cash option
To support the flow of dividends via intermediate securities, the EXRI event (that follows a RHDI event, for example) has been enhanced with a cash option. The generated two-legged transaction decreases the interim position like a sell at price 0 (worthless) and credits the bank account with the cash amount. The cash can be taxed like a normal dividend , for example via restitution expected, restitution per dividend, coupon/dividend and coupon/dividend tax.
Caption: EXRI cash static data and SWIFT example
Caption: EXRI cash transaction
Subscription based licensing
Foundations
Sales module dependency
N/A
CSDR - Create Penalty Payment and Accrued Penalty in create job
This enhancement ensures compliance with EU's Central Security Depositories Regulation (CSDR) requirements for calculation of cash penalties in case of the settlement of a transaction fails.
CSDR Accrued Penalties and Penalty payments can be generated and saved via a create Screen ‘Create Penalties’.
Accrued Penalties will be saved as credit/charge ALM transactions and Penalty Payments will be saved as Credit/charge Cash transactions.
A batch job task ‘Create Penalties – execute’ was created to ensure the new create screen can be run via batch jobs.
Subscription based licensing
TBD
Sales module dependency
CSD-R Core
Effective Date for Trade Manager Total Return Swaps
For Trade Manager Total Return Swaps (TRS), it is now possible to model contracts with support for Effective Date (ED). This augments the pre-existing support for Trade Date (TD), Settlement Date (SD) logic.
- Contracts in TM may now include an Effective Date. System defaults are applied to TD where ED is not required.
- Where invoked, all calculations reference ED throughout the contract lifecycle
- This enhancement removes a blocker for TRS when compared to the APL
Subscription based licensing
Various
Sales module dependency
Various
Evergreen Repo in the Trade Manager
Evergreen repos are open ended but may have a 180 day termination arrangement. This can be triggered by either party. This extends the current cancellable offering to include more market practices.
- Repo becomes further enabled in SimCorp Dimension
- Supports a significant client gap
Scope:
- Only calendar days are used (not business days)
- Notice period from 2 to 3 or more digits
- Notice period is be relative (week, month, ..)
- Notice period respects Business day convention (Following etc.) and Business calendar
- Ability to convert an open-ended repo into a fixed term repo where the maturity date = cancellation date + notice days
- The cancellation option is activated by using modified roll-over functionality (right click in Position search) and the evergreen is turned into fixed term repo using the notice days
Subscription based licensing
Various
Sales module dependency
Various
Release 22.04
Derivative positions now visible in the Corporate Actions dashboard
You will now be able to see in the Corporate Actions dashboard if there are any derivatives positions that might be affected by a corporate actions event in the underlying security. By adding the new field derivative positions count to your existing corporate actions widgets, you can easily see if there are any positions with instrument types CFDs, TRSs, options or futures that have the related security as underlying security.
Caption: Right-click and choose View Derivative Positions to see a list of the positions in View Positions.
Subscription based licensing
Corporate Actions Manager
Sales module dependency
Corporate Action Dashboard and Alerts