Portfolio Analytics & Reporting

Release 24.04 Portfolio Analytics & Reporting

Risk Measurement MSCI RiskMetrics interface

Data processing - volume optimization

With this feature you can reduce number of benchmark constituents sent from SimCorp Dimension 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 now supported in the Risk Measurements with the Relative tree Reporting Structure type 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

Risk Management – Internal risk enhancements

Risk Analysis Manager - View long names for Portfolio and Portfolio Free Code nodes

In the Risk Analysis Manager, it is now possible to view long descriptive names in the Reporting Structure for the Portfolio Free Codes splits only or for the Portfolio split only. The long names of the Portfolio Free Codes provide better description of the free code than the short name (ID) which has limited amount of the digits.

By selecting new options, such as: Show long names in the tree for the Portfolio Free Code nodes and Show long names in the tree for the Portfolio nodes, you can view long descriptive names for those nodes but other nodes viewed as the Short names/IDs.

View long names in the Reporting Structure tree for Portfolio and Portfolio Free Code nodes.

Benefits

This enhancement provides more flexibility and convenience in viewing reporting trees in the Risk Analysis Manager.

Monte Carlo Value at Risk scenario generation enhancements

The Monte Carlo Value at Risk SimCorp Dimension internal model has been enhanced to generate scenario values using Sobol sequence methodology. Sobol sequence is one of the Quasi-random low-discrepancy sequences which has wide application in Monte Carlo Value at Risk computation. It is proved to be well-suited for the high-dimensional spaces, in particular the risk modelling for the scenarios with the high number of the risk factors.
The distribution of the scenario values obtained using Sobol methodology has the quantiles close to the analytical quantiles, which consequently leads to more accurate Value-at-Risk values. Sobol scenario generation method can be used with both Normal and Student-T distribution.
In addition to the new scenario generation method, the improvement to Student-T distribution has been introduced in the Internal Risk module. As of version 24.04, when using Student-T distribution configuration the scenarios are generated using multivariate T-distribution which is better for modelling of multivariate data allowing for more accurate modelling of dependencies between the risk factor returns.
This is one of the robust and reliable approaches to handle correlated variables widely used in finance and well suited for the Monte Carlo VaR scenario generation process. The application of new computation approach helps to avoid systematic overestimation and underestimation of the Value at Risk analytics. This is not a configurable change, thus new methodology is now applied to all supported scenario generation methods (Faure, Sobol, Generalized Faure, Random) generated using Student-T distribution.

Configure new scenario generation method for the Monte Carlo Value at Risk (Risk Factor Scenarios/Options/Additional Settings/ “Sobol” scenario generation).

Subscription based licensing

Risk Analysis Manager

Sales module dependency

Risk Reporting
Various Risk Modules

Investment Forecasting & Solvency – various enhancements

Accounting forecasting, particularly projecting future balance sheet reports over 3-5 and more years, is crucial in the financial realm as it allows businesses to anticipate and prepare for potential financial challenges, manage risks, and make informed strategic decisions. The inclusion of Credit Loss Allowance (CLA) in these forecasts is particularly vital as it helps mitigate the impact of credit risk by estimating potential losses from non-performing loans, ensuring financial stability and regulatory compliance.

As of version 24.04, when forecasting credit loss allowance (CLA) in the Strategy Manager, SimCorp Dimension can also calculate CLA balances based on the cash flow reduced by a Cash flow adjustment factor (i.e. “full” cash flow assumption). A factor for each term unit equals to Loss Given default multiplied by the Probability of Default . A term unit in this scenario is time left to maturity on calculation date. For example, if your term unit is one year, the cash flows that are due in one year from the calculation date are adjusted.

Considering the Cash flow adjustment factor in the CLA calculations helps to dissolve the CLA balances, if the expected loss is not going to be realized, in small steps.

Improved Credit Loss Allowance (CLA) simulation – contrasting new and previous versions.

Furthermore, we've enhanced support for the local German legal requirement Branchen Simulations Model (BSM) to streamline reporting of the future cash flows. You can now simulate cash flows of external fund components including dividends, coupons, redemptions, and maturity payments. Some transactions, such as redemptions, can also affect the position.

Cash flows for external fund components are derived from description of securities during position calculation. Simulated transactions are generated solely for passive strategies, not for what-if scenarios.

Following position calculation execution in the Position Results applet, you can review simulated cash flows and their effects for securities marked as Constituent. Results are accessible in Payments QC/PC, Balance nominal/number fields, and related analytics fields, with transaction details available in the Transactions since inception sub-window. Additionally, you can extract these cash flows from the database table using the Data Extractor.

Simulations of cash flows for external fund components in the Position Results. For example, consider a fixed-income bond with a 2% coupon per year and redemption in 2025.

Finally, you can include accrued interest for shocked and unshocked values when you calculate SSD Solvency II analytics using the external price. This allows to treat SSD more accurately when you calculate Solvency II figures for them using external price methodology.

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

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Previous releases

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

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