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Release 25.07

new module

CDS Index - Support of hard credit events

A new Event type, Credit Event, has been introduced for CDS Index to improve the handling of hard credit events (e.g., bankruptcy, failure to pay). The new event type combines the settlement of the credit event with the re-versioning of the continuing CDS Index position to the new index version.  

The new Event type is available for CDS Index:

  • In the Trade Manager Position search for manual processing of credit events.
  • As a new option in Create Credit Derivatives Transactions supporting an automated flow.

The new event type is a two-legged transaction where:

  • The first leg contains information about the old version of the Index and the settlement of the Credit Event.
  • The second leg contains information about the continuing position in the new index version.

A feature of the new event type is, that it supports different views on the re-versioning in front office and back office.

  • In front office, the re-versioning will take place the day after the auction date, when trading in the new index version will start.
  • The back office view will align with the Trade Information warehouse and the clearing house, keeping positions in the old version open until the auction settlement date, when the re-versioning takes place.
Credit event

New Credit Event transaction type in the Trade Manager.

The new Credit Event transaction contains 3 tabs:

  • Credit event tab showing an overview of the credit event, the position before and after the credit event, including settlement information.
  • Position After Credit Event tab containing detailed information about the position continuing after the credit event.
  • Credit Event Settlement tab containing detailed information about the position before the credit event and its settlement.

The overview tab (see above) is divided into 4 sections:

  1. First section contains information about the credit event, including defaulting entity, auction date, price, and auction settlement date. This information is generated based on Credit Event data and can’t be changed.
  2. Second section contains affected portfolio, other position identifiers, and main transaction data such as transaction type and trade and payment date.
  3. Third section contains information about the position before the Credit Event (based on standard product) and the settlement information of the Credit Event.
  4. The fourth section contains information about the continuing position in the new standard product representing the new index version and adjusted nominal.

On a credit event transaction, SimCorp Dimension calculates P/L values based on the notional portion of the CDS position corresponding to reference entities in the index version that have experienced a hard credit event.

Thus, in the P/L sub-window, on the out leg, you can view:

  • P/L values calculated for the defaulted parts only.
  • Cost value, book value, and up front-related balances relevant to the entire position.

Balances proportional to nominal outstanding are reallocated and booked to the new CDS index version position.

As a result of a credit event, positions in the old CDS index version are fully closed, and a position in the new CDS index version is opened.

Please note:

  • A prerequisite for using the new Credit Event type is the use of CDS Index Standard Products. Standard product for the new version must be created in advance.
  • The use of the new event type requires the use of the upfront approach for CDS Index Trades.
  • You are recommended to use the Up-front in book value - advanced multiple trades swap payments setting option in the FAM window, even though SimCorp Dimension supports all applicable CDS Index Swap payment options in relation to CDS indices standard product accounting.
  • UTI/USI will remain the same for the position in the new index version

Benefits 

  • Optimized credit event handling by combining settlement of the credit event and re-versioning of the continuing position into one new event type.
  • Improved handling of positions seen in front office. Positions will be shown in the new version the day after the auction date.
  • Improved handling of positions seen in back office. Positions will be shown in the old version until the auction settlement date (where the re-versioning also takes place in the DTTC trade Information warehouse and at the Clearing House).
  • Improved accounting handling with transfer of values from the old to the new version.
Subscription based licensing

Credit-Credit Default Swaps and Swaptions

Sales module dependency

CDS Index as a standard product 
CDS Index
Trade Manager

 

Enhanced notional reset handling and cash flow calculations for total return swaps in the Trade Manager

Nominal changes, notional resets, and cash flow calculations of total return swaps will be reflected more accurately in the Trade Manager 

As of version 25.07, nominal changes, notional resets, and cash flow calculations of total return swaps will be reflected more accurately in the Trade Manager TRS instruments:

Instrument scope:

  • Bond swap
  • Bond swap, basket
  • Equity swap
  • Equity swap, basket
  • Index swap

Note: This feature is not applicable to TRS basket contracts with adjustment transactions.

Key benefits

  • Accurate cash flow information—Factoring in the new notional on existing reset transactions resolves previous discrepancies in the cash flow information of the funding leg for open and lifecycle transactions. Notional changes between resets, occurring due to any lifecycle transaction, are considered to ensure correct nominals on both performance and funding legs.
  • Enhanced view of reset transactions—The Resets tab displays detailed information for both performance and funding legs, including notional changes and performance amounts. This offers a more integrated and transparent overview. A mouse-over tooltip on the Notional field in the grid highlights the impact of reset transactions affected by lifecycle transactions.
  • Enhanced view of lifecycle transactions—You can also view the details of all lifecycle transactions associated with a TRS trade in the added Lifecycle Transactions tab under the Cash flow/Fixings tab in the Trade Manager. You can monitor the notional changes and performance amounts for lifecycle transactions created in the Trade Manager. This enhancement streamlines the TRS workflow by offering comprehensive insights into the trade. 
Subscription based licensing

TM Total Return Swap

Sales module dependency

TM Total Return Swap

 

Removed limitation on number of business centers for total return swaps

The Trade Manager previously had a limitation of the number of business centres on a TRS instrument and this has now been removed

As of version 25.07, you can select any number of business centres for the following TRS instruments in the Trade Manager:

  • Bond swap
  • Bond swap, basket
  • Equity swap
  • Equity swap, basket
  • Index swap

This feature is only applicable to payment dates, valuation dates, reset dates, and FX conventions for TRS instruments.

Benefits

  • Users can enter any number of business centres in TRS instruments now.
Subscription based licensing

TM Total Return Swap

Sales module dependency

TM Total Return Swap

 

Added Expiry Time and Expiry Time zone to FX Options in Trade Manager

As of version 25.07, you can add settlement information for a new FX option trade in the Trade Manager. Two fields, Expiry time and Expiry time zone, have been added for the following FX option instruments in the Trade Manager

  • FX Option
  • FX Option, Digital
  • FX Option, Double Barrier
  • FX Option, Single Barrier
  • FX Option, Touch
  • The Expiry time field contains the latest time (in hh:mm format) and the Expiry time zone field contains the applicable time zone when the option can be exercised.
  • Both fields are optional and available for data import.
  • Neither field can be modified during the lifecycle of the trade.
  • To enter these details for an FX option trade in the Trade Manager:
    • Go to the Trade Information section on the Trade Information tab of the contract.

Set the latest possible time to exercise the option as Expiry time and select the Expiry time zone to the applicable time zone. 

Subscription based licensing

N/A

Sales module dependency

Trade Manager

 

Include US Pools as underlying for TM Straight repos

Nominal changes, notional resets and cash flow calculations of total return swaps will be reflected more accurately in the Trade Manager

As of version 25.07, nominal changes, notional resets, and cash flow calculations of total return swaps will be reflected more accurately in the Trade Manager TRS instruments:

Instrument scope:

  • TM Repo (straight repo)

Key benefits

  • Ability to select US Pool instrument as underlying instrument type.
  • When selecting underlying Security ID only US Pool securities are selectable.
  • Pool factors from the underlying US pool are taken into account, when calculating the settlement amount.
Subscription based licensing

TM Straight repo

Sales module dependency

TM Straight repo

 

Added Expiry Time and Expiry Time zone to FX Options in Trade Manager

As of version 25.07, you can add settlement information for a new FX option trade in the Trade Manager. Two fields, Expiry time and Expiry time zone, have been added for the following FX option instruments in the Trade Manager

  • FX Option
  • FX Option, Digital
  • FX Option, Double Barrier
  • FX Option, Single Barrier
  • FX Option, Touch
  • The Expiry time field contains the latest time (in hh:mm format) and the Expiry time zone field contains the applicable time zone when the option can be exercised.
  • Both fields are optional and available for data import.
  • Neither field can be modified during the lifecycle of the trade.
  • To enter these details for an FX option trade in the Trade Manager:
  • Go to the Trade Information section on the Trade Information tab of the contract.

Set the latest possible time to exercise the option as Expiry time and select the Expiry time zone to the applicable time zone. 

Subscription based licensing

N/A

Sales module dependency

Trade Manager

 

Corporate Action Instruction Widget

Automatic linkage and display of MT565/MT567 status and reason

The new Instructions Widget offers a significant enhancement to Corporate Actions processing capability. It is designed to provide greater transparency and efficiency by offering a consolidated, real-time view of MT567 status messages linked to each MT565 corporate action instruction.

This widget automatically links incoming MT567 messages to the corresponding MT565 event and displays the latest MT567 status code (e.g., PACK, PEND, CANC) along with the associated reason code. This enables users to immediately understand the current position of their instruction. Where multiple active MT567 messages exist for a single MT565, the widget shows the total count and displays the latest.

In addition, users can:

  • View the full MT565 and MT567 message content directly from widget by right clicking on the widget item.
  • See the full narrative text associated with the reason code, offering additional context for rejected or pending instructions.
  • View the distinct status types (e.g., Instruction status, Processing status, Cancellation status) all in one place.

This enhancement allows users to work more efficiently, reducing the need to search across multiple windows.

Benefits

  • Instantly view the latest status of MT565/MT567 messages without switching screens.
  • Helps operations teams identify and resolve issues early, reducing downstream risk and ensuring timely, accurate processing.
  • Minimizes the risk of settlement failures, missed entitlements, and instruction rejections or cancellations.
  • Eliminates the need for manual reconciliation, freeing up valuable operational resources.
COAC MT567 Widget Fields

This image shows the MT567 Instruction Widget within the Corporate Action Dashboard, highlighting the status, reason, and narrative fields.

COAC Raw Message Dispay

This image demonstrates the right-click functionality, revealing options to Show MT565 Message and Show MT567 Message for full message visibility.

Subscription based licensing

Equity - Securities

Sales module dependency

Equities

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