Portfolio Analytics & Reporting
Release 26.10
Market Data Stress Test
With this release, SimCorp Dimension extends its integration with Yield Book pricing for US Mortgage-Backed Securities (US-MBS). You can now stress the yield curve and Yield Book dials, view the shocked values, and analyse the results in Asset Manager and Strategy Manager. This applies to US-MBS pools, Asset-Backed Securities (ABS), and TBAs priced with the Yield Book price method.
Benefits
- Enable more realistic stress scenarios by combining standard market data shocks with Yield Book model-parameter shocks in a single test.
- Strengthen risk oversight across a broader range of instruments, including US-MBS pools, ABS, and TBAs.
- Simplify result analysis with clear, traceable output showing the shocked dial, its original and new value, and the resulting price impact.
Setting up the Yield Book yield curve shock
You define the yield curve shock in the Yield Curve tab of the Market Data Stress Test Definition window, using the standard setup for this functionality.
Setting up Yield Book dial shocks
Yield Book dials are model parameters used by Yield Book analytics. They are not market data in SimCorp Dimension, so the system treats them as a separate shock category. You define dial shocks per definition date, and the calculation sends the shocked values to Yield Book pricing together with your usual market data shocks.
To define a dial shock:
- Open the Market Data Stress Test Definition window
- In the Yield Book Dials tab, add one row for each dial shock and specific instrument segment.
- Select the dial to stress in the Yield Book Dials field.
- Choose Absolute value as the shock type and enter the value in the Shock size field.
Caption: Enhanced Market Data Stress Test window – new tab Yield Book Dials
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
Investment Forecasting & Solvency – customer-focused enhancements
The Position Results applet now shows the decomposition path for position result values, helping you identify the decomposition hierarchy behind fund decomposition results.
Benefits
- Improve transparency by tracing how a fund decomposition result was built, step by step through the hierarchy.
- Simplify analysis of complex fund structures, including residual and simulation flows.
Inflation-adjusted cash flow forecasts
This functionality is available from release 26.07, delivered as a patch.
Position Calculation and the Cash Management application can now factor in forecasted inflation levels when generating cash flows, instead of relying only on the last known index level. This applies to inflation-linked instruments such as inflation bonds and asset swap inflation. In Position Calculation, this functionality is limited to inflation swaps.
Benefits
- Improve forecast accuracy for inflation-linked instruments by using forecasted inflation levels instead of the last known index level.
- Support better-informed decisions in cash management and cash flow monitoring.
- Adapt easily to your needs, since you can switch between the inflation curve and the previous method with a single setting.
Business entities in position calculations
Position calculations can now use business entity structures as their scope, making it possible to run calculations for structures such as distributed mandates, without maintaining them only as a portfolio segment or portfolio list.
Benefits
- Simplify scope management for complex structures like distributed mandates, without duplicating setup across portfolio lists.
- Strengthen governance through built-in authorisation filtering, so only entities you are authorised to read are included.
- Enable consistent access to business entity data across position calculations and external integrations.
Clearer naming for Solvency II analytics
As part of the Solvency II upgrade planned for 2027, the Solvency 2 currency type in the Middle Office Analytics Definition window has been renamed to Solvency 2 split by currency. This reflects its broader use for currency risk in Solvency II calculations. The functionality itself is unchanged.
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
Browse the Release Portal
Release 26.07
Investment Forecasting & Solvency – customer-focused enhancements
This enhancement area brings together several improvements that make Investment forecasting and Solvency II workflows more transparent, easier to validate, and better aligned with customer business processes.
First, improve transparency and simplify downstream calculations: Clean Value RC and Dirty Value RC are now available directly in Position Results, helping users avoid manual derivation from QC values and FX rates. In addition, the Yield Curve field shows which curve was used in the calculation, making results easier to understand and validate.
Secondly, build more realistic reinvestment target allocations: Business Classifications can be used directly in Middle Office Position Selection, enabling users to define target allocations based on business-relevant criteria that are commonly used when designing future portfolio structures.
In addition, review classifications earlier in the process: Business Classifications are also displayed in Position Results, so users can verify how classifications have been applied before using the results in further analysis or reporting.
Furthermore, assess instruments priced with a Yield Book under stressed market conditions: Users can apply yield curve shocks in Market Data Stress Tests and review the resulting shocked values, profit and loss, and sensitivities in Position Calculation and Asset Manager.
Finally, prepare for Solvency II 2027 requirements: The Concentration Risk formula supports the expected requirement to exclude selected securities with negative values from the Assets calculation, helping users align concentration calculations with upcoming regulatory expectations. To support this, a new Middle Office Position Selection field in the Middle Office Analytics Settings window enables users to specify the relevant portfolios and securities where negative dirty values should be excluded.
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
Pre-trade compliance check on FX Forwards templates in the Asset Manager
Now you can enable currency risk to be calculated in the Asset Manager for FX forward templates. You can also perform pre-trade compliance checks based on risk analytics.
The calculation of sensitivities and risk positions for currency risk factors is the same as FX forward positions. For each leg of an FX forward template, SimCorp Dimension calculates QC (quotation currency), PC (portfolio currency) and RC (reporting currency) risk factor sensitivities and risk positions. Sensitivities are set to 1, and risk positions are based on the Dirty Value Total.
This functionality allows users to include simulated FX Forward template positions in pre-trade compliance checks, ensuring that currency risk is reflected correctly before trades are executed. This improves risk visibility, supports better investment decisions, and reduces the chance of breaching compliance limits.
Removed obsolete APT fields from the Risk Analysis Manager
Now the APT functionality is sunset and obsolete APT fields have been removed from Risk Analysis Manager. This functionality enables you to work with a cleaner Risk Analysis Manager setup and focus on relevant risk fields.
Interim cash positions included in the standard modelling Risk Measurements in MSCI RiskMetrics Interface
You can now configure Risk Measurement for the MSCI RiskMetrics interface to include interim cash positions, those without a model portfolio stamp, in standard modelling risk measurements.
Previously, cash held in interim cash buckets (for example, due to reconciliation or transaction corrections) was always excluded from risk calculations, these that are built on investment structure (node) reporting.
A new configuration setting allows you to assign a default model portfolio to cash positions. You can choose to either ignore the cash position (existing behaviour) or assign the default MP to the bank account or cash bucket. Cash positions are included at the total portfolio level rather than being distributed across the nodes of the investment structure.
The new configuration applies to modelling trees and all reporting settings in MSCI RiskMetrics tab. Internal Risk Measurement calculations are not affected. In the MSCI RiskMetrics calculation mode Risk Measurement holdings and generated position file include the cash position in the positions holding group, and the benchmark holding group includes recalculated amounts.
This enhancement improves the accuracy of risk measurements by ensuring interim cash is fully reflected, reducing unexplained discrepancies and providing a more complete view of portfolio risk.
Extended Instrument Coverage in MSCI RiskMetrics Interface
The General Sensitivity model can now also be applied to Alternative Investments and Fund Certificates as a secondary model. This extension broadens the scope of risk factor sensitivity calculations available for these instrument types within the standard RiskMetrics interface.
Subscription-based licensing
Corporate Actions Manager, TM Total Return Swap
Sales module dependency
Corporate Actions Manager, TM Total Return Swap
Release 26.01
Investment Forecasting & Solvency – various enhancements
We are excited to announce the release of two enhancements in version 26.01 aimed at improving your user forecasting experience:
- Flexible annual frequency
- You can now set up flexible end-of-year dates to calculate investment forecasting analytics using yearly frequency. This enhancement benefits investors or funds that do not follow a calendar year reporting period.
- When you set up Frequency as Yearly and specify dates in the From date and To date fields for a position calculation, then the investment forecasting analytics is calculated for each year for an analysis period of 12 months from the From date until the specified To date.
- This functionality enables you to prepare annual reports aligned with fiscal year to ensure consistency between portfolio performance and financial statements, and regulatory compliance for audits or investors disclosures.
- OAuth 2.0 authentication support for the Reinvestment service
- The Reinvestment service can now use the OAuth2.0 authentication when using the SimCorp Dimension Web APIs.
- This enhancement enables secure service-to-service communication without relying on an external authentication service. It leverages internal components such as Authentication service, API gateway service, and Application service API.
Please note: The migration to the new version of the Reinvestment service must be done in 26.01. Previous version is no longer supported.
Additionally, all our APIs (e.g., DatePositions, Simulations, etc.) are now available on the Web API 3.0. You can use these APIs to extract or import information from or into SimCorp Dimension, offering a modern alternative to traditional extract methods based on database tables.
All Strategy Manager users (e.g. Solvency II, Forecasting, ESG,etc.) can benefit from the enhanced transparency. Security Group codes are available in the Position Results. This allow you, for example, identify which credit adjustments are applied to a security, or group by security group codes during aggregation outside of position calculation.
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
Internal risk module
Clean up risk measurement results for a reporting structure
It is possible to delete all risk measurement results for a specific reporting structure by using the Cleanup Risk Measurement Results window.
Two new fields - Reporting structure ID and Reporting structure name, are added to the Cleanup Risk Measurement Results window for this functionality. Using these fields, you can delete all risk measurement results for a specific reporting structure.
Benefits
- With this enhancement, you can decide what risk measurement calculation results should be deleted and what should be kept for further analysis.
Support for component segment for fund certificate in risk measurement
It is possible to filter the components of a fund certificate by using a segment for decomposition. To do this use the new Component segment field in the Decomposition settings section in the Risk Measurement window. This functionality applies to external and internal funds.
Benefits
- This enables you to have better control of components that you want to include in the risk measurement calculations.
Shocking of repo yield for preemptive using Repo yield + spot yield curve price method in risk calculations
It is possible to shock both the repo yield and spot curve by using the Repo yield + spot yield curve price method in risk measurement for preemptive. Previously, you could only shock spot yield curve. You can view the information about the shocked repo yield in the Explain price search dialog box in the Risk Measurement Results window.
Benefits
- Shocking both yield curves provides a more accurate and realistic measure of price sensitivity of preemtive, capturing interactions, correlations and stress-scenario risk.
Calculate risk analytics for negatively priced instruments
It is possible to calculate risk analytics for instruments that have negative prices, by using the new Allow negative price check box in the Risk Measurement window. Not-activated check box is default.
Benefits
- Using this functionality, you can calculate VaR for all risk models for various instrument types regardless of the price being negative or positive.
Generic Security model in the Axioma model and position integration.
It is possible to model Danish Mortgage Backed Securities and other securities as the LS-OTC-Generic Security Sensitivity model in the Axioma Risk solution as part of Axioma Model and Position integration. The input for this model is maintained in the new Generic Risk Factor Sensitivity window in SimCorp Dimension.
Benefits
- You can now cover the Danish Mortgage Backed Securities and potentially other instruments that are not supported by your preferred risk coverage, using the Generic Security model in the Axioma Risk solution.
- Data input and modelling parameters are configured in SimCorp Dimension, ensuring a simplified and consistent setup experience.
Price calibration in Axioma using SCD prices.
It is possible to send the prices to Axioma for calibration. In the Position integration flow, the new file with prices extracted from the Position Calculation results is added.
Benefits
- You can import prices for instruments from SimCorp Dimension into Axioma via dedicated Market data source, instead of using the Axioma provided prices.
- Data flow is orchestrated by the communication server logic and batch-driven processes, which reduce end-user involvement and operational risk.
Attributes in the Axioma position integration.
It is now possible to transfer SimCorp Dimension IBOR attributes to Axioma. Attributes are integrated via the Attribute Configuration in SCD and are delivered in three additional files at the Security, Portfolio, and Position levels.
Benefits
- Enables flexible grouping and sorting for analysis and reporting. This ensures consistency in risk and other analytics based on the SimCorp Dimension IBOR
- The data flow is fully orchestrated by batch-driven processes, reducing end-user involvement and operational risk.
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Release 25.10
Axioma Stress test analytics in Compliance Manager
It is possible to run the pre-trade and post-trade compliance validation functionality for Axioma stress test values in the Compliance Manager. The definition of the stress test scenarios and calculation of the original and shocked unit prices and fx rates are performed in the Axioma application, while the scaling to position level is done inside SimCorp Dimension.
The required unitized stress test data from Axioma is stored in the following windows:
- Axioma Stress Test Analytics
- Axioma FX rates
- Axioma Stress Test FX rates
The calculated values for Axioma Stress Test P/L can be seen in the Asset Manager and in the Risk Analysis Manager.
Benefits
As a Portfolio Manager, you can ensure that the investments are made compliant and transparent in accordance with the limits set by you.
Select specific groups to calculate Modified VaR
You can select specific groups of Modified VaR to be calculated by using the new Analytic groups field in the Risk measurement.
- Select All to calculate all groups of Modified VaR.
- Select VaR to calculate only Modified VaR.
- Select Include IVaR to calculate Modified VaR and Incremental VaR.
- Select Include MVaR to calculate Modified VaR and Marginal VaR.
Benefits
With this enhancement, you can decrease the execution time for Modified VaR by selecting only analytic groups you are interested in.
Caption: Analytic groups for Modified VaR
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Investment Forecasting & Solvency – various enhancements
Pricing of extended fixed bonds by using fixed implied spread in investment forecasting
Now it is possible to use a fixed implied spread for pricing extended fixed bonds in Strategy Manager for Investment Forecasting.
When you select the Use fixed implied spread for extended bonds check box on the Execution label, SimCorp Dimension calculates implied spread for the first what-if transactions with extended bonds, based on the price defined in the what-if and the yield curve shocked by the Market Data Forecasts. This fixed spread is used for all future points in time when price calculations are required, for example, the fixed derived spread from the first transaction date is used to adjust all future prices. This setting is applicable only for extended bonds priced with Quoted price + yield curve price method.
Benefits
This functionality enables you avoid EOP adjustments at the date of simulated transaction and have prices calculated for the Position Calculation that is close to the price defined in the what-if.
Caption: Use fixed implied spread for extended bonds checkmark
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 25.07 Portfolio Analytics & Reporting
Internal risk module
Axioma Stress test analytics in Asset Manager
It is possible to include Stress test analytics calculated by Axioma in your Asset Manager analytics view. The definition of the stress test scenarios and calculation of the original and shocked unit prices and FX rates are performed in the Axioma application, while the scaling to position level is done inside SimCorp Dimension.
The required unitized stress test data from Axioma is stored in the following windows:
- Axioma Stress Test Analytics
- Axioma FX rates
- Axioma Stress Test FX rates
The shocked scenario market values are calculated according to the following formula inside SimCorp Dimension:
AxR AxR Scenario value RC = AxR Shocked price × Balance nominal/number × Axioma stress test FX rate QC / RC, where the prices and FX rates are provided by Axioma and imported into SimCorp Dimension.
Benefits
- As a Portfolio Manager, you can easily access Axioma Stress test scenarios using SimCorp Dimension for analysis, storage, and reporting.
- A wide analytics list, which covers scenario market value and P/L calculated for the portfolio, model, benchmark, and relative holding scope.
- Data flow is orchestrated by the communication server logic and batch- driven processes, reducing end-user involvement and operational risk.
New risk method: Risk factor P/L Contribution in risk measurement
The new risk method provides detailed analytics on risk factor contributions to profit and loss measurement, making it possible to explain the reasons behind the changes in Theoretical P/L. It also includes contributions from Theta and unexplained artificial risk factor. The results can only be seen by using extraction tools.
Benefits
This functionality makes the resulting analytics available outside the risk measurement back-testing flow, offering standalone value by calculating metrics independently of Parametric or Modified VaR.
Split external fund components by IFRS 9 purpose
You can build the Reporting Structures that group holdings by different IFRS 9 purposes. Now such a dynamic split in the absolute tree structures is more flexible for the external funds. Previously, the split value came from the parent fund, but it is now possible to take the value from the components of the external fund. This is controlled by the Decomposition Profiles and Fund Decomposition Components configuration. The analysis of the risk analytics according to the 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
Strategy Manager
Enabled the calculation of decomposed book value with selected accounting balances in position calculation
It is now possible to calculate decomposed book value in scenarios where accounting balances are selected. Previously, decomposition was not supported when we had selected accounting balances, and decomposed book value was only calculated if Solvency 2 was checked in combination with activated reinvestment or flexible analytics services.
Benefits
As an investment or portfolio manager, you now have wider capabilities for building your investment strategies by analyzing calculated accounting analytics for decomposed components.
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 25.04 Portfolio Analytics & Reporting
FX hedging for Performance
Evaluating performance based on synthetically hedged returns is useful for several reasons.
FX hedging can be used to neutralize or manage the effects of currency fluctuations on an investment portfolio. If an investor holds assets in foreign currencies, exchange rate movements can significantly impact the portfolio’s return. By synthetically hedging currency exposure, you can better isolate the performance of the underlying asset and assess the manager’s performance after adjusting for currency risk. SimCorp’s synthetic FX hedge solution allows you to:
- Define currency benchmarks by specification of desired target exposures to currencies'
- Toggle synthetic hedging on/off for analytics in the InvestApp, where virtual FX forwards are made to neutralize currency exposures in both the portfolio and the benchmark
- Request Performance to be calculated hedged or unhedged for reports
Benefits
- Evaluate the performance of your investments in foreign markets on fully FX-hedged returns
- Evaluate the implementation of the actual FX hedge, compare it to the synthetic FX hedge, and analyze the result of potential currency bets.
- Break down active performance and create a full portfolio attribution report.
Portfolio managers can now choose to see Performance analytics as if their investments were 100% hedged, while currency managers can measure the effect of their currency hedging decisions.
Subscription based licensing
Investment Analytics Platform - Performance
Sales module dependency
Performance Book of Records
FX Hedging for Performance (new)
Stand-alone Risk & Performance offer with Axioma Risk+IAP Performance
With the seamless integration of Axioma to IAP-Performance, Axioma clients now have on-the fly performance and performance attribution available at their fingertips.
Upload your positions to Axioma Risk, leverage Axioma’s pricing, benchmark, and risk capabilities, and view performance results in the Investments frontend. Alternatively, generate performance insights by requesting performance results via the exposed APIs.
Benefits
- Get seamless access to performance insights as an Axioma Risk user.
- View performance figures in Investments frontend.
- Call the Performance APIs and integrate performance analytics into your ecosystem.
Subscription based licensing
Axioma Risk
Investment Analytics Platform - Performance
Sales module dependency
N/A
Decomposition of Funds in IAP Performance
Fund look-through makes it possible view the underlying holdings within a fund at a more granular level. This enables you can examine the composition of the fund and for instance get a better understanding of currency or sector exposures. Performance fund look-through will additionally enable you can transparently analyse performance and attribution and understand drivers of performance.
When investments include funds, Fund look-through enables fund instruments to be replaced by the set of constituents and their weights inside the fund. Fund constituents are prepared in SimCorp Dimension’s Generic Fund Decomposition module and synchronized to IAP Performance for on-demand utilization in reports and online analyses
Benefits
- As performance analyst, you are now able to toggle decomposition of funds in the InvestApp, whereby the market value of funds are replaced by that of the underlying constituents
- As a report developer, you can request Performance to be calculated and delivered for reports or DWH either with funds decomposed or not
InvestApp users can now switch on Decomposition of both Funds and Derivatives of the fly and fund constituents grouped in Performance based on the Generic Decomposition module of SimCorp Dimension.
Subscription based licensing
Alternatives Strategy Analysis
Sales module dependency
Alternative Investments Manager
Alternatives Strategy Analysis
Axioma Stress test analytics in Risk Analysis Manager
It is possible to include Stress test analytics calculated by Axioma into your Risk Analysis Manager analytics view. The definition of the stress test scenarios and the calculation of the original and shocked unit prices are performed in the Axioma application, while the scaling to position level and aggregation according to the reporting structure splits are done inside SimCorp Dimension.
The required unitized stress test data from Axioma is stored in the following windows:
- Axioma Stress Test Analytics
- Axioma FX rates
- Axioma Stress Test FX rates
The shocked scenario market values are calculated according to the following formula inside SimCorpDimension:
It is possible to schedule regular clean-up of the old Axioma data that is no longer required for calculations. This can be done by using a dedicated batch job group called Cleanup Axioma Stress Test– Execute.
Benefits
- As a Risk Manager, you can easily access Axioma Stress test scenarios using SimCorp Dimension for analysis, storage,and reporting
- A wide analytics list, covering Scenario market value and P/L, is calculated for the portfolio, benchmark, and relative holding scope.
- Additionally, it is also possible to include Start scenarios, which are also based on Axioma prices and FX rates.
- Data flow is orchestrated by the communication server logic and batch-driven processes, reducing end-user involvement and operational risk.
New inflation risk factors for Latin American inflation bonds
The theoretical valuation of Latin American inflation index bonds is based on special inflation yield curves, and it can now be included in the risk valuation. A new risk factor class called “Inflation” has been introduced in the risk module to incorporate the risk associated with Mexican and Brazilian inflation curves into the Risk analytics calculation.
Benefits
This functionality enables accurate risk pricing and valuation by including inflation exposures into the VaR and Stress test calculations.
Disable currency risk in VaR analytics calculated in Asset Manager
It is possible to exclude the currency when calculating Parametric VaR and Ex-ante volatility analytics in Asset Manager. To disable currency risk calculation, select the Disable currency risk check box on the Parametric VaR/Ex-ante volatility tab of the Risk and Performance Analytics Configuration window.
When activating this functionality, the currency risk-related risk factors are excluded from the risk valuation. This setting is particularly useful when you want to analyze risk analytics, assuming the currency risk exposures are to be managed separately.
Another scenario where this option is particularly useful is when you want to use imported risk factor sensitivities from external sources. When Disable currency risk check box is activated, you can use imported risk factor sensitivities for the currency risk factors.
Benefits
- As a risk or portfolio manager, you can choose whether to include currency risk factors into the VaR/ETE calculations or exclude them to meet your analysis needs.
- This option enables the import of currency risk factor sensitivities from other sources (e.g. from Axioma) for use in Parametric VaR/Ex-Ante Volatility calculations within SimCorp Dimension.
Delete specific risk data
It is possible to do the database clean-up storing specific risk volatility and specific risk covariance information inside SimCorp Dimension. Since specific risk volatility and covariances are imported and stored at the security level on a daily basis, big data volumes accumulate quickly in the database. Therefore, it is possible and recommended to schedule regular deletion of the old data that is no longer required for calculations. This can be done by using a dedicated batch job called Cleanup Specific Risk Volatility and Covariance– Execute.
Benefits
- Ability to plan regular cleanup of redundant data, reducing storage costs.
- Reduce operation risk by using dedicated clean up job instead of the manual deletion
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Investment Forecasting & Solvency – various enhancements
Period closure in the Position calculation
It is now possible to use the period closure functionality in the Position Calculation. The past period can be closed for the backdated transactions, similar to how it is handled elsewhere in the system when the Period closure framework is activated. In Position calculation, this is useful when reporting Solvency II and Accounting Balance Sheets.
Futures in What-if analysis
It is now possible to include futures in your holding change simulated scenarios, created in the Strategy Manager solution. You can buy or sell simulations into the futures that are not part of your portfolio by selecting them in the Extended Position Universe.
Benefits
As an investment or portfolio manager, you now have wider capabilities for building your investment strategies by simulating future instruments, helping identify potential risks and opportunities.
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 25.01 Portfolio Analytics & Reporting
Mandates and Investor onboarding
Easily create and manage various types of business entities built from portfolios and model portfolios. Once created, Investment Mandates, Distributed Mandates, and Products can be used across domains such as Performance, Compliance, and ESG
Benefits
Investment Mandates allow operations teams to manage a variety of business entities independently of back-office Portfolios for different use cases, such as:
- Flexible grouping of Portfolios to reflect responsibility over time
- Assign unlimited number of benchmarks to the entity
- Manage lifecycle dates on Investment Mandates
- Use as scope for IAP Performance
- Define compliance rules against the Investment Mandate
- Calculate and report Performance on Entity levels
- Use as central scope selection in Portfolio Analysis and next-generation Web Apps
Defining an Investment Mandate from a set of Portfolios in SimCorp Dimension
Assigning multiple purpose specific benchmarks to an Investment Mandate
Using Investment Mandates as scope for a Performance analysis in the InvestApp
Subscription based licensing
Mandates and Investment onboarding
Sales module dependency
IBOR Manager
Multi-level groupings and drill-down
Performance Analysts can now create drill-down views on Performance, Contribution, and Attribution while also having the flexibility to dynamically switch grouping hierarchies and add more groupings to the view.
Benefits
- As performance controller, you are now able create content cards with pre-defined grouping hierarchies based on available attributes from SimCorp Dimension
- As a performance analyst, you can use the content cards and change grouping order on the fly
- Scoping of portfolio, benchmark, and Investment Structure node is used to define the top of the hierarchy
Drill-down to any level and dynamically switch hierarchy
Performance contribution and attribution using a dynamic drill-down hierarchy
Subscription based licensing
Investment Analytics Platform - Performance
Sales module dependency
Performance Book of Records
Money Weighted Returns and average market values
We continue to add more performance analytics within the Investment Analytics Platform. While largely independent of SimCorp Dimension versions, here are the newly added analytics from this three-month development cycle.
The new analytics are:
- Internal rate of return for portfolio and benchmark
- Money-Weighted Return variant: Modified Dietz
- Average Market Value and Cashflow over a period
Benefits
- For some investment managers, especially in the North American market, Money-Weighted returns are considered best practice when reporting to clients and stakeholders.
IRR and MD available as new analytics in the InvestApp
Subscription based licensing
Investment Analytics Platform - Performance
Sales module dependency
Performance Book of Records
View Performance according to Investment Structure
View and report performance according to an investment structure to gain insights into active returns from investment decisions. Using the InvestApp on the Investment Analytics Platform is now possible, as well as creating downstream data warehouse and reporting flows using the investment structures. Returns can be compared to any benchmark, either SAAM, blended index, or market index selected on the fly
Benefits
- As performance analyst, you can now see performance broken down by nodes in a selected investment structure
- Compare portfolio returns against any benchmark on the fly
- Select a node in an investment structure as your basis and apply other dynamic groupings from there
Reporting performance according to an investment structure
Subscription based licensing
Investment Analytics Platform - Performance
Sales module dependency
Performance Book of Records - Integrated Investment Processing
Compare Portfolio vs. Portfolio and Benchmark vs Benchmark
Additional flexibility has been added to IAP Performance so users can now compare any scope to any benchmark. Available scopes are Portfolios, SAAM benchmarks of any portfolio, blended indices, or market indices.
Benefits
- As performance analyst, you are now able see Performance for Portfolio vs Portfolio as well as compare any index or benchmark against another
- Flexibility in scoping and benchmarking through the InvestApp and Performance APIs
Compare one SAA benchmark to another SAA benchmark for a Portfolio
Subscription based licensing
Investment Analytics Platform - Performance
Sales module dependency
Performance Book of Records - Integrated Investment Processing
Decomposition of Derivatives
Market value-based performance, i.e. TWR calculated as PnL over Market value, will lead to extreme returns for derivative instruments where market values fluctuate around 0. This is an issue for instrument-level performance and detailed performance. For TWR contributions and total portfolio level returns, market value-based performance will provide meaningful results.
To provide for a better instrument-level performance for derivatives, decomposition of derivatives is introduced. The solution splits derivative positions into fictitious spot and cash positions, keeping the aggregated performance unaffected. The solution allows users to calculate exposure-based performance for the spot position and manage the gearing from taking on extra exposure via the fictitious cash position.
Benefits
- As performance analyst, you can now toggle decomposition of derivates in the InvestApp, whereby the market value of the relevant derivatives is split into a spot and a cash leg with different attributes as described above.
- As a report developer, you can request performance to be calculated and delivered for reports or data warehouse, either with derivatives decomposed or not
- Spot and cash legs are assigned model portfolio and security properties based on the Exposure Distribution Scheme assigned to the Data Source Definition for the Investment Analytics Platform.
InvestApp users can not switch on Decomposition of Derivatives of the fly and have spot/cash legs grouped in Performance based on the Exposure Distribution Scheme of SimCorp Dimension
Subscription based licensing
Investment Analytics Platform - Performance
Sales module dependency
Performance Book of Records - Decomposition of Derivatives
Internal risk module
In the Risk module, several enhancements have been made to improve usage of imported risk factor sensitivities from external sources in the SimCorp Dimension Risk analytics calculation:
- The risk positions for Parametric VaR and Ex-Ante Volatility calculated using imported sensitivities are now scaled using exposure value for the following instrument types: futures, forwards, options, OTC options, warrants, CFD, and covered warrants. The exposure accounts for underlying price, delta, and balance nominal/number, and gives better insights into the risk valuation for those instruments compared to previously used Dirty Value Total scaling. Those changes are available from 24.10 SimCorp Dimension version.
- FINCAD credit derivatives price method can now be used alongside externally calculated sensitivities for the Credit Default Swaps and CDS options.
- Disable currency risk option has been introduced in the Risk Measurement calculation for Parametric VaR and Ex-Ante Volatility models. This functionality enables you to make the choice if you want to calculate currency risk sensitivities using SimCorp Dimension logic or import them from external sources. This can be also useful when you want to exclude currency related risk factors from the calculation completely and analyse risk analytics without currency risk exposures.
“Lowest price to call” maturity convention in the risk calculation.
As of version 25.01, you can ensure consistent effective maturity data calculations in the basic analytics and risk simulated scenarios for FRN and MIT callable bonds with the following price methods: - Theoretical price
- Quoted price + yield curve.
To use this enhancement, you can apply new “Lowest price to call” maturity convention to indicate when to calculate maturity. To ensure a consistent approach for determining the optimal call date in a base scenario and a scenario with market data shifts, this new maturity convention minimizes the NPV for both scenarios.
SimCorp Dimension estimates the optimal call date for the issuer:
- In base scenarios, by finding the lowest adjustment spread to minimise the NPV
- In scenarios with market data shifts, by considering the adjustment spread from the base scenario.
The simulated scenarios with the market data shifts are used in Simulated VaR, and the Stress Test scenarios and the calculated analytics can be analyzed in the Risk Analysis Manager.
New convention can also be used in the Market Data Stress Test available in the Strategy Manager solutions and Market Data Scenarios calculated in the Portfolio Calculation.
Previously, SimCorp Dimension used the different methods with the “yield-to-worse” maturity convention for estimating the optimal call date for the issuer:
- In base scenarios, SimCorp Dimension estimated the optimal call date for the issuer thereby minimizing the yield.
- In scenarios with market data shifts, SimCorp Dimension re-estimated the optimal call date for the issuer minimizing the NPV in the simulated scenarios. Alternatively, the optimal call date determined in the base scenario may remain unchanged.
Minimizing both yield and NPV can lead to significantly different exercise dates in the base scenario, resulting in different adjustment spreads. As a result, you can see significant jumps in the maturity date and NPV, even with small market data shifts, which can affect risk calculations. If the optimal call date in shifted market data environments remains unchanged, there could be a significant underestimation of risks, as it would fail to capture potential increases in expected maturity for long bond positions in the event of rising credit spreads. The aim of the new “lowest price to call” maturity convention is to minimise the NPV for both scenarios, ensuring a consistent approach for determining the optimal call date.
Subscription based licensing
Risk Analysis Manager
Sales module dependency
Risk Reporting
Various risk model modules
Hedge Accounting
The new enhancement improves calculation of the of the hedge effectiveness and related EOP transactions under BilMoG regulation. We have improved the handling of the combination of low/negative interests in the past (at hedge-inception) and significantly higher interest rates today.
Specifically, we have improved the handling of the specific case, where there were no fixings in the descriptive data of the instrument between the issue date and the first coupon. In this case, the reference rate (used for the calculation of clean price, excluding pull-to-par (CV (ct,y0,s0,ro ) for the floating legs of swaps and floating-rate bonds) will now be calculated based on the the forward rate from the yield curve.
Additionally, the rate used for this calculation can be viewed in the reference rate field, excluding pull-to –par, in the Hedge Effectiveness Monitor window and in the dedicated database tables.
Subscription based licensing
Hedge Accounting
Sales module dependency
No dependencies