Release 24.01 Portfolio Analytics & Reporting
Risk Measurement MSCI RiskMetrics interface
Instrument coverage for MSCI RiskMetrics
The MSCI RiskMetrics interface solution has been enhanced to support the new Inflation swap model for inflation swap instruments in MSCI. Previously, the Swaps were covered by the Generic Bond model and Rate Swap models only.
Benefits
Possibility to use additional model for the Swap instrument types.
Transparency for FX Swap positions
According to new workflow the FX swaps are booked as separate FX forwards. The Contract execution reference can be used to identify FX forward pairs which belong to one contract. Now it is possible include Contract execution reference tag through the custom bucket definition of a holding in the XML position file sent to the MSCI RiskMetrics.
Benefits
This enhancement enables easier analysis of the FX positions in the MSCI interface.
Data processing - volume optimization
With this feature you can reduce number of benchmark constituents sent from SCD to MSCI. If several indexes are based on the same Index Universe Definition, then the constituents of those indexes are sent only once. This is especially useful when you have the same hedged and not hedged benchmarks in the same risk measurement calculation. This functionality is supported in the Risk Measurements with the Investment structure reporting tree types and can be enabled through the special configuration setting called “Blend over index universe definition”.
Benefits
This enhancement enables you to send less positions through MSCI interface, which consequently results in the cost reduction.
Subscription based licensing
Risk Analysis Manager and add-ons
Sales module dependency
Risk Reporting
MSCI RiskMetrics – Adaptor
Internal risk enhancements
New price method for the structured bonds with embedded caps and floors
The “Quoted price + yield curve, structured products” price method can be used to calculate the risk analytics for the quoted Floating rate notes and Multiple interest type bonds with cap/floors. In the risk calculations, you get exposures from the risk factors related to both yield and volatility curves used in the pricing.
Benefits
This enhancement enables you to use improved pricing valuation of structured bonds in the internal risk model.
Automatic update of the Risk Factor Selection with new factors
It is now possible to schedule automatic job which ensures that all factors which belong to the certain factor group are added to relevant risk factor selection. You can add the additional risk factors based on conditions in the Risk Factor Segment window and risk factor free codes.
Benefits
This functionality helps to design the workflow which automatically includes the risk factors from third-party models into specific Risk Factor Selection setups.
Split fund components by IFRS 9 purpose
You can build the Reporting Structures which groups holdings by different IFRS 9 purposes. Now such dynamic split in the absolute tree structures is more flexible for the internal funds. Previously, the split value came from the fund share, while now it is possible to take the value from the asset portfolio of the internal fund. This is controlled by the Decomposition Profiles configuration. The analysis of the risk analytics according to new grouping value is available in the Risk Analysis Manager.
Benefits
With this enhancement, you can use a split on different IFRS 9 purposes in the risk analysis and reporting flow for all positions including the decomposed fund holdings.
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Investment analytics service for performance
Investment analytics service for performance is SimCorp’s next generation solution for investment performance. The powerful cloud native calculation service is exposed for usage via API’s as well via a cloud native frontend.
The calculation service has been improved with
- Ability to scope and group the analysis on descriptive data of choice such as security descriptive data, GICS business classifications, ratings etc.
- Support of performance, net and gross of costs and taxes
- Support of multiple currencies as base currency for reporting
- Ex post risk analytics such as Volatility, Sharpe ratio, Tracking error etc.
All of these capabilities are contributing to an increasingly powerful performance analytics offering
Benefits
- Enable users to analyze investment performance according to criteria of choice with ease.
- Avoid time consuming reconfigurations and integrations to get to analytical insights.
- Enable users to report account level investment performance according to reporting needs for stakeholders and clients.
Investment analytics - Frontend
Subscription based licensing
Part of Investment analytics service - Performance
Sales module dependency
Part of Investment analytics service - Performance
Read more about previous releases
Release 23.10 Portfolio Analytics & Reporting
Risk Measurement MSCI RiskMetrics interface – major enhancements
Instrument coverage for MSCI RiskMetrics
The MSCI RiskMetrics interface solution has been enhanced to support Interest Rate Swaps and Cross Currency Swaps with the Rate Swap model. The use of the new model can be configured through model override functionality; therefore, it is still possible to use the Generic Bond model for those instrument types.
Benefits
Possibility to use additional models for the Swap instrument types.
Security Proxy enhancement
This enhancement of the MSCI interface provides an additional option of proxying the holdings. Within the MSCI interface a holding is linked to a security model by pricedSecurityName. During the translation and mapping process, some positions may fail to be validated and recognized successfully. To avoid this, it is now possible to define in the SimCorp Dimension configuration “proxyPricedSecurityName” tag for the selected securities holding, so that such holdings will use the same model as defined for the security used as a proxy. This functionality follows the proxy logic available on MSCI side.
Benefits
Wider possibilities of how the security can be proxied to another security for which the model data is available.
Subscription based licensing
Risk Analysis Manager and add-ons
Sales module dependency
Risk Reporting
MSCI RiskMetrics – Adaptor
Investment Forecasting & Solvency – various enhancements
We are pleased to announce the latest Strategy Manager enhancements, which can benefit all solutions based on the Position Calculation (e.g. Solvency II, forecasting, ESG). In this release, we have made the following operational improvements:
You can control whether you want to see the Explain Price in the Position Results.
- A new option, Never, allows not to store explains at all. This enhancement improves database storage efficiency.However, it is important to note that selecting this option means there will be a lack of transparency regarding how price was calculated
Position Calculation – never save explains
Also, you can use Look-through as a decomposition type for position calculation setups. Previously, you could use Look-through as a decomposition type for portfolio calculations, but not for position calculations.
- You can use decomposition data to report, for example, ESG data based on metrics for portfolio companies and underlying investments or for Solvency II reporting.
Additionally, we improved handling of XpressInstruments in the Market Data Stress. This is relevant not only for the Position Calculation, but also for the Risk Measurement and potentially Front office. From now on, you can calculate shocked valued based on risk factors for XpressInstruments priced with a method "XpressInstrument“. For example, this allows to apply duration approach for these securities in Solvency II.
The next group of enhancement will benefit mainly forecasting solution:
Exclude simulations of fixings for floating rate notes (FRNs) after the Forecast from date during forecasting in position calculation. Once you select Exclude fixings after the forecast from date in the Calculation settings the fixings/coupons being generated using the fixing curve.
- This functionality ensures that we can provide same results for floaters for accounting and cash forecasting, after the forecast from date, independent of fixings defined on the static data of the bonds.
Calculation Setting – Exclude fixings
You can use finance schemes based on period closure (PCL) frameworks to simulate finance transactions in the Middle Office Calculation Manager.
- Previously, simulated finance transactions were always based on the profit/loss (P/L) framework specified on the Settings tab in the Position Calculation Definition window.
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
Release 23.07 Portfolio Analytics & Reporting
Investment Analytics Service for Performance
The Investment Analytics Service - Performance solution enables investment managers to deliver effective and accurate performance analytics for portfolio analysis, clients, and stakeholder reporting.
The Investment Analytics Service - Performance is a cloud native calculation service and is part of SimCorp’s open ecosystem. SimCorp is responsible for the operations of the calculation service. Your only responsibility is to upload data to the service. You can schedule and automate batch jobs to extract up-to-date data from SimCorp Dimension’s IBOR.
The service provides fast, dynamic, and granular performance analytics, and the results are exposed via web APIs.
The service capabilities include:
- Quick on-the fly calculations
- Scope and group by any criteria made available to the service
- Portfolio, benchmark and active performance results
The calculation service is a central aspect of making a single performance solution for:
- Official reporting for investors and internal stakeholders
- GIPS compliant reporting
- Front-office performance attribution analysis
The API end-points can be integrated into different workflows. The following are some examples of how the Investment analytics service can be integrated into workflows:
- View performance analytics in a modern SimCorp web-based user interface. The Investment Analytics Service - Performance frontend makes it easy to view, and get insights related to, performance.
- Persist official performance results with SimCorp’s cloud Data Warehouse
- Integrate directly into spreadsheets, data warehouses, business intelligence or in-house software applications
Benefits:
- Enable more flexible performance analysis and reporting workflows
- Optimize for value creating tasks rather than operational work
- Minimize costs
View Performance figures in a cloud native frontend
Subscription based licensing
Investment Analytics Service - Performance
Sales module dependency
Performance base
MSCI RiskMetrics interface solution enhancements
Instrument coverage for MSCI RiskMetrics
The MSCI RiskMetrics interface solution has been enhanced to cover the equity options and index options that are created in the Trade Manager (XpressInstruments templates) by the Option+ model. The Index Options created using Trade Manager workflow can also be covered using Equity Option model in MSCI RiskMetrics interface. This functionality enables you to use a wider list of the securities that you create through Trade Manager in the MSCI RiskMetrics interface.
Danish MBS positions can now be covered by the General Sensitivity model. It is another option of Secondary model applied to a Bond instrument type according to the defined priorities. Note, if you use the general sensitivity model, it is required to create a MSCI Risk Factors and Sensitivities Definitions setup to specify the risk factors that are used to define first and second order sensitivities for bonds.
Enable blending of blended indexes that have the same indexes composites
Benchmark blend representation functionality avoids sending the same benchmark positions that belong to the same index several times. From 23.07 this functionality also reduces the number of benchmark positions sent through MSCI interface when the same index is a component of several blended indexes.
For example, if two or more blended indices have the same underlying indexes then the constituents of those indices are sent only once through the position file. This functionality can be used in the Risk Measurement setups with the investment tree structure and the relative tree type. The main benefit is the data volume optimization sent to MSCI and consequently cost saving.
Subscription based licensing
Risk Analysis Manager and add-ons
Sales module dependency
Risk Reporting
MSCI RiskMetrics – Adaptor
Investment Forecasting & Solvency – various enhancements
We are pleased to announce the latest enhancements to our Solvency II Pillar 1 and ORSA solutions. In this release, we have made the following improvements:
- Improved FX shocks in the Market Data Stress Test
- It is now possible to exclude certain securities from the FX rate shock for Solvency II and Market Data Stress Tests in Reporting Currency.
- This feature allows for the omission of FX rate double shocking in specific cases, such as when pricing securities using sensitivity approximation, for both historical and forecasted scenarios
Stress Test - Exclude securities
- Selective Solvency II Analytics Calculation:
- Previously, the Position Calculation always calculated all pre-defined analytics for Solvency II.
- With this update, you can select specific Solvency II analytics to be calculated. This enhancement is particularly useful for investigating specific Solvency II analytics of interest.
The next enhancement with benefits both Solvency II and forecasting solution.
- Starting from version 23.07, you can control whether you want to see the Explain Market Data Stress Test and Explain Market Data Forecast in the Position Results.
- A new option, Never, allows not to store explains at all. This enhancement improves database storage efficiency and overall calculation time.However, it is important to note that selecting this option means there will be a lack of transparency regarding how the Market Data Stress Test and Market Data Forecast were calculated
Position Calculation – never save explains
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
Release 23.04 Portfolio Analytics & Reporting
More efficient results cleanup jobs in Performance measurements/reports
Cleanup jobs for Performance Measurement and Performance Reports data have been improved for more efficient clean-up of historical results.
Benefits:
- Performance Measurement/Reports cleanup jobs can now run on multiple services in parallel
- The job can be scaled and executed in parallel by the server framework (by month, by portfolio)
- It is possible to configure the parallel level, e.g. 1=just one server deleting, 10=10 servers deleting
- Performance Reports cleanup can now be executed to only keep Performance Extra Fields results in RC – deleting QC and PC results from the database.
Performance Reports cleanup can now be executed to only keep Performance Extra Fields results in RC – deleting QC and PC results from the database
Subscription based licensing
Performance Manager
Sales module dependency
Performance Measurement
Performance Reports
Risk Management – MSCI RiskMetrics interface solution enhancements
It is now possible to define additional tags and tags’ values for the instruments covered by the descriptive models. The user-defined tags are sent to the MSCI interface through the security position file like other descriptive model tags.
Benefits:
- Enables possibility to define and send additional tags through SimCorp Dimension interface without need to request new feature development to add each new tag for a descriptive model (cost saving).
- More flexibility when using MSCI Override functionality.
Creation of the user-defined tags for the descriptive models.
Applying newly created tags in the MSCI Override screen.
Subscription based licensing
Risk Analysis Manager and add-ons
Sales module dependency
Risk Reporting
MSCI RiskMetrics – Adaptor
Risk Management – Internal risk enhancements
It is now possible include unreconciled payments from a finally booked transactions when calculating risk analytics for bank accounts and cash buckets. Include unreconciled payments is an optional setting. When activating this option, the advanced risk analytics, such as Value-at-Risk, stress tests, and so on for cash holdings are therefore based on the updated dirty value total which includes unreconciled payments.
Benefits:
- More flexibility in configuring payment reconciliation information in the risk calculations.
- Enables possibility to align market values used in the Risk Measurement calculation with the Performance functionality where the unreconciled payments are always included in the cash positions by default.
Activate inclusion of unreconciled payments in the Risk Measurement calculation.
Additional analytics in the Time comparison applet
More analytics are added to the Time comparison applet in the Risk Analysis Manager where it is possible to view and compare risk analytics across two selected dates.
Benefits:
- Enables possibility to compare all analytics variations for the following models: Parametric VaR, Ex-Ante Volatility, Modified VaR, Modified Ex-ante Volatility, Historical VaR, and Monte Carlo VaR model. The analytics list includes portfolio, benchmarks, and relative figures. You can also view and compare Greek analytics such as Duration, Delta, Gamma, Theta, and so on.
- New applet provides easy creation of new applets to view absolute and relative difference of the risk analytics calculated for two chosen dates.
You can detect large outliers relatively quickly and get indications of which holdings to focus on the analysis.
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Investment Forecasting & Solvency – various enhancements
Whether you are working with Solvency capital requirements (Pillar 1 and 2), ESG ratings, or forecasted financial reports, you can now save time and increase accuracy with the enhanced features provided in this release. See below for the detailed list:
- Decompose alternative investments in the decomposition profile (Decomposition type = Alternative Investments) in the Position Calculation and monitor figures on the components level. This allows, for example, calculate Solvency for the components of the private equity funds, when private equity funds are represented by the Alternative Investments instrument type.
- Apply a segment to the fund components after fund decomposition in the Aggregation Calculation. This enables you to focus on a segment of individual components in a fund after decomposing.
- Group results by Mandate in the Aggregation Calculation. For instance, you can calculate Solvency figures per mandate.
We have even more enhancements specifically for the investment forecasting users. From now on you can:
- Set up a yearly rebalancing frequency, when you apply a reinvestment component to a Position Calculation setup. Previously, the reinvestment batch job used a monthly frequency setting to rebalance a position results. Setting a yearly frequency reduces the calculation time for forecasting and reinvestment, and thus improves SimCorp Dimension's performance.
- Simulate future market data in the Market Data Forecasting using risk factors (e.g. simulate shocked prices by means of the Taylor approximation). It allows to shock prices for securities that do not have a full pricing model in SimCorp Dimension and are priced by using imported sensitivities. For example, it could be TPT funds (shocked using duration approximations or other methodology), XpressInstruments, callables, and so on.
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
Release 23.01 Portfolio Analytics & Reporting
Risk Management – MSCI RiskMetrics interface solution enhancements
A number of enhancements have been made to the MSCI RiskMetrics ingterface solution.
Instrument coverage for MSCI RiskMetrics
The MSCI RiskMetrics interface solution has been enhanced to cover Loan Facilities with the Exchange Traded model. This implies that the solution picks up the market identifiers and holding details automatically for this instrument type and the audit logs in SimCorp Dimension reports which resulting risk model MSCI RiskMetrics uses. You can calculate risk analytics for the Loan facilities in the MSCI RiskMetrics and analyse them in the Risk Analysis Manager.
Enable blending of benchmarks for relative tree structure
The benchmark blend representation functionality avoids sending the same benchmark positions several times when the same benchmark is used for several portfolios of the Risk Measurement holding scope. In this case benchmark constituents are sent to MSCI in the holdingGroup section of the position file.
Subscription based licensing
Risk Analysis Manager and add-ons
Sales module dependency
Risk Reporting
MSCI RiskMetrics – Adaptor
Risk Management – Internal risk enhancements
Use Absolute returns in the Covariance Manager calculation
Absolute returns can now be used to calculate the risk factor volatilities and correlations in the Covariance Manager.
It is recommended to consider using absolute returns instead of logarithmic for the yield-based interest rate risk factors when the market conditions imply that the yield fluctuates around zero. When risk factor values change from positive to negative value and vice versa the use of the natural logarithm can lead to the numerical impreciseness.
The Covariance return type is defined in the Risk Factor Manager window. This configuration affects all Covariance Manager setups and all risk analytics where the Covariance Manager is used as the input data, in particular: Parametric VaR, Modified VaR, Ex-Ante Volatility, Modified Ex-Ante Volatility, Monte Carlo VaR, and Predictive Stress test analytics.
Risk Factor Manager: return type configuration for the Covariance Manager calculation.
In the Covariance Manager and Risk Factor Scenarios you have the transparency of which return type has been used as a basis of the calculations.
New Time comparison applet in the Risk Analysis Manager
It is now possible to view and compare Risk analytics between two dates in the added Time comparison applet in the Risk Analysis Manager. The benefit is that you with this view can detect large outliers relatively quickly and get indications of which holdings to focus on the analysis.
You can view calculated analytics on two selected dates as a column. Additionally, you can choose to add difference between two dates expressed as absolute or relative difference, which makes the comparison easy and intuitive. It is possible to use all standard functionality to customise your view e.g. filtering, sorting, conditional formatting, fields’ renaming etc. It is possible to have multiple Time comparison applets per Risk Analysis Manager setup.
You can detect large outliers relatively quickly and get indications of which holdings to focus on the analysis
You can compare the following risk analytics by using the Time comparison applet:
- Parametric VaR, Historical VaR and Monte Carlo VaR. In particular: VaR, Incremental VaR, Marginal VaR for portfolio, and benchmark holdings.
- Stress test, including Standard, Predictive, Lookback and Successive.
- Risk measurement formulas.
Monte Carlo VaR: risk factor volatility scaling
You can now scale a risk-factor volatility to generate the Monte Carlo Value at Risk using Student-T distribution. A scaled input volatility ensures that the MC VaR figures are not overestimated when comparing with historical VaR and normal distribution-based VaR.
Student-T VaR is always higher due to the fat tails, but with this enhancement it gets closer to the MC VaR calculated using normal distribution.
The Monte Carlo VaR calculation time is now improved for the structured bonds.
Period closure in fund look-through
It is now possible to decompose internal funds using a period closure framework in the Risk Measurement application.
You can use period closure framework with the fund look-through functionality for internal funds, thus the backdated transactions for fund and asset portfolios impact the calculations done on the first date of the open period.
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Investment Forecasting & Solvency – various enhancements
The integration between Strategy Manager and Data Warehouse is now improved. This is relevant for both investment forecasting and Solvency II users. You can load the position calculation and aggregation calculation results to Data Warehouse Manager by using calculation groups. This functionality improves the import of results (more automated and less operational risks) by eliminating manual filtering.
If you are using our Solvency II solution, you can start to group by your results in the aggregation calculation by the portfolio or portfolio group. This could simplify Solvency reporting as you can calculate aggregated analytics for many portfolios or portfolio groups with just one definition.
The following enhancements will improve your experience with investment forecasting solution:
- Added transparency into the market data forecast: You can view the details of a market data forecast calculation, such as how the prices are shocked, in the Explain market data stress test sub-window in the Position Results applet.
- Improved the automatic reinvestment algorithm: You can mark representative bond and equities as hidden records. As a result, these fictitious securities will stop appearing in search results in other applications for example, in the Front Office.
- Add Current face value to the Position Results to provide better insight into the calculation of the callables, ABS, US pools, etc.
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
Release 22.10 Portfolio Analytics & Reporting
Exposure based performance – distribution of model portfolio
Exposure Based Performance decomposes derivative positions into fictitious spot and cash positions. The Exposure Distribution Scheme makes it possible to assign model portfolio codes to the spot and cash positions and the assigned codes will be picked up and used in Performance Measurement. As of version 22.10, the Performance Measurement will also pick up assigned model portfolios via Exposure Distribution Scheme for spot and cash positions coming from indirect derivative positions, i.e. when the derivative position is fund component as a result of fund look-through. The functionality only applies to internal funds.
Subscription based licensing
Part of Exposure based performance sales module for consumption as part of Performance Measurement, Reports, Manager etc.
Sales module dependency
Part of Exposure based performance sales module for consumption as part of Performance Measurement, Reports, Manager etc.
Risk Analysis Manager – system performance enhancements
The Risk Measurement execution time is now faster for both Internal Risk, Axioma and MSCI RiskMetrics models when benchmarks are included in the calculation scope. The system performance is improved by distributing the benchmark scaling calculation done in the calculation initialization phase on different services.
There has been number of other system performance optimizations done in the Risk Measurement, including faster execution of aggregation calculations.
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Risk Analysis Manager – MSCI RiskMetrics enhancements
The
There is also number of functional improvements in the MSCI RiskMetrics solution:
- The instrument coverage is improved by making it possible to add curve information via ‘Riskless Curve’ and ‘RisklessCurveReceiveLeg’ tags for the Generic Bond model for IRS securities in the MSCI RiskMetrics solution..
- The transparency is improved by the possibility to know the Index ID and Name to which a security belongs, when the index is part of the blended index. These values are included using two new tags available in the MSCI Tags Definition window and populated in the Custom bucket list of the Position file.
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Investment Forecasting & Solvency – various enhancements
With release 22.10, we continue to improve support of the ORSA, Solvency II Pillar II scenarios by improving the snapshot what-ifs simulation solution:
- You can utilize risk factor shocks using Market Data Stress Test based on the snapshot what-if form. This allows you to shock prices for instruments via sensitivities instead of the pricing models available in SimCorp Dimension. This can be an advantage for instruments where a multi factor expansion model is more appropriate. It thereby becomes possible to apply a double shock also via Risk Factors for some of the instruments; one via a what-if market data change and on top the shock applied in the Solvency II capital requirement formulas. This complies with ORSA regulation where you proactively predict capital requirement figures in potential scenarios.
- You can use Key Ratio Mapping in the snapshot what-if to replace standard analytics by the configured formulas. For example, you can replace calculated duration with an imported duration and then use it in the Solvency II spread risk calculations. Previously the key ratio mapping only affected the passive strategy results.
Additionally, you can apply holding segments to the extended positions during the calculation of the aggregated Solvency II figures. Formerly you could apply holding segments only for original positions in the Aggregation Calculation. With 22.10 the operation is improved as you can set up just one Position Calculation setup that has several portfolios and what-if scenarios and create multiple Aggregation Calculation that show results per portfolio for both simulated and original results.
Finally, you can automatically and regularly clean up the explain details of the Market Data Stress Test in the Position Calculation Definition. It is recommended to keep the data for at a limited amount of days configured by the user in order to reduce the database and prevent memory issues.
Subscription based licensing
Strategy Manager & various add-ons
Sales module dependency
Risk Reporting
Strategy Manager – Calculations
Strategy Manager - Market Data Stress Test
Strategy Manager - What-if and Horizon Analysis
Release 22.04
Investment Forecasting & Solvency – various enhancements
It is now possible to cover simulated transactions in positions not in the original holdings in the holding key segments used in Finance Account Assignments. I.e., it is possible to treat new holding transactions simulations like transactions in the original holdings. Hereby you can include all types of simulations in the workflow for generating forecasted financial balance sheet reports.
Additionally, it is possible to use tax lot simulation formulas, which is relevant for credit loss allowance and IFRS9 forecasting. Moreover, additional information has been added to the finance transaction overviews for transparency.
Beyond the above financial report forecasting enhancements, the following features are also interesting:
- It has become easier to import simulated transactions in instruments not in the original portfolio from an external source in a controlled fashion.
- More analytics have been added to the Position Calculation API and the Rebalancing service log file provides more transparency of the execution steps and potential failures
For the solvency solution we have made it possible to include accrued interest in the shocked and unshocked scenarios for the SSD instruments where this is the market practice.
Subscription based licensing
Various
Sales module dependency
Various
Risk Analysis Manager; Internal risk enhancements
For the Parametric VaR and Ex-ante Volatilities it has previously been possible to extend the risk factor covariance matrix with coverage of the volatilities of specific risk of your choice. I.e., to include specific risk or unsystematic or unexplained risk via volatilities. As of release 22.04 you can also import, store and use specific risk correlations to have a more sophisticated coverage of the specific risks in the parametric risk models.
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Investment Forecasting & Solvency – various enhancements
For the LIBOR reform, SimCorp is committed to make sure our clients can handle the cessation of LIBOR rates.
From release 22.04, SimCorp Dimension supports the ISDA fallback method for swaps in APL and Trade Manager. Thereby SimCorp Dimension now handles most of the new fixing methods related to Alternative Reference Rates (ARRs) based on compounded daily fixings. This will smoothen the transition process from LIBOR based swaps to overnight index swaps (OIS) based on the new ARRs.
Furthermore, for FRNs with daily fixings based on e.g., SOFR, it is now possible to import irregular coupon dates in the Bond module
Other enhancements:
- AUD bond futures with 5-year and 20-year bonds are now supported in SimCorp Dimension
- Theoretical valuation of non-deliverable interest rate swaps is now supported
Subscription based licensing
Various
Sales module dependency
Risk Reporting
Various