A powerful platform for strategic asset management under Solvency II

The Strategy Manager solution is the new and powerful middle office platform for investment forecast and simulation in SimCorp Dimension.

The Strategy Manager solution is the new and powerful middle office platform for calculation, analysis and reporting of Solvency II market risk figures. The solution is fully integrated in SimCorp Dimension using IBOR data as the basis for the calculations and pricing, stress tests and other risk analytics consistently with the front office and risk management solutions of SimCorp Dimension.

The complexity and regular changes of the Solvency II capital requirement calculations imply considerable operational efforts and risks for the financial institutions. For these reasons it can also be difficult to analyze the figures and seek to decrease the capital requirements.

The Strategy Manager solution provide an audit proof calculation of the Solvency II market risk figures which is easily maintainable and controllable. The transparency of the calculations makes it possible to analyze the results in detail finding the largest contributors to the capital requirements.

Designed for what-if simulations

It’s important to be able to simulate investment and/or market changes and analyze the consequences of these what-if scenarios. The Strategy Manager solution focuses on this area. The what-if analysis makes it possible to change the holdings and see the resulting Solvency II capital requirement figures before an investment strategy is carried out. It is also possible to prepare for potential future market changes or crises by stressing the market data and seeing the consequences on the Solvency II figures.

The combination of these simulation tools makes it a powerful Solvency II investment forecasting tool supporting the compliance with the Solvency II Pillar 2 regulation (the ORSA requirements).

The what-if analysis makes it possible to analyze consequences of future scenarios predicted by the SimCorp Dimension user.

These are the three areas it handles:

  1. What-if simulations of market changes
  2. What-if simulations of position or asset allocation changes
  3. What-if simulations of regulatory calculation changes

Roadmap; horizon; investment forcasting

The Strategy Manager solution will be enhanced to also provide a user-configurable rule-based support to future cash flows and investments during a horizon period. The horizon could be end of year three years from now and the cash flows could be dividends, coupons, redemptions, as well as external cash flows from the liability side. Investments could be via target allocations or ad hoc investment strategies.

This horizon scenario implies that the user at future points in time (e.g. end of year one-three years from now) can estimate the Solvency II capital requirements. Moreover, using the integration of SimCorp Dimension, it will also be possible to do balance sheet forecasting, estimate portfolio yields and other accounting based figures. The solution thereby enables qualitative analysis of investment strategies which leads to better strategy management.

The strength of Strategy Manager

With Strategy Manager you have the possibility to combine the below elements. Together they provide a flexible user-configurable solution on a powerful platform for strategic asset management compliant with Solvency II regulation.

  • Controlled configuration of the complex Solvency II analytics
  • Transparency into intermediate calculations of the analysis
  • What-if impacts of investment changes, market changes and regulatory calculation changes

 

Features Benefits
Horizon projection Assessment of the overall solvency needs
Asset allocation simulations Continuous compliance with solvency capital requirements
Market data stress tests Analysis of user-specific deviations compared with the Solvency II
standard assumptions (Article 45 of the Solvency II directive 2009/138/EC)

 

Overall forecasting analysis

Users;  Portfolio Manager; Risk Manager; Strategy Manager 

Users; Portfolio Manager; Risk Manager; Strategy Manager

I want to evaluate  future points in time 

I want to evaluate future points in time

I have estimates of  market data for future  points in time 

I have estimates of market data for future points in time

I want to include  estimated cash flows  & potentially re-invest 

I want to include estimated cash flows and potentially re-invest

I have target asset allocations for different future points in time 

I have target asset allocations for different future points in time

For future points in time,  I want to estimate values, risk, and P/L 

For future points in time, I want to estimate values, risk, and P/L

The executions have to be  audit-proof, fast, and transparent with configurable output 

The executions have to be audit-proof, fast, and transparent with configurable output

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