Release 24.07 IBOR

Valuation of Mexican Inflation Linked Bonds

You can now use the full flow for Mexican inflation-linked bonds, known as MXN Udibonos. That includes the calculation of fair theoretical value and key ratios such as breakeven inflation rate, implied spread, money yield, real yield. This enhancement brings offers more precise and reliable valuations that align with the unique characteristics of the Mexican financial market.

In addition, you have the capability to build an Inflation Curve that predicts future MXN/UDI rates, leveraging market quotes from Mexican UDI/TIIE Swaps while considering peculiarities of the Mexican market. 

Benefits 

This enhancement offers support to investors in the Mexican capital market by enabling them to:

• Develop effective strategies to hedge against inflation.
• Evaluate risk exposures associated with Mexican Inflation bonds, utilizing metrics such as duration, convexity, and spread duration to assess interest rate risk, credit risk, and overall portfolio risk.
• Access the impact of various market scenarios on portfolio returns and risk measures.
• Analyse movements in the yield curve and their implications on portfolio positioning and strategy, including the Inflation Curve.
• Allocate and monitor performance of inflation-related attributions in FIPA flow.

Subscription based licensing

Inflation – Index Linked Bonds

Sales module dependency

N/A

Enrich/match reconciliation results using external sources

The new ‘Reconciliation results free codes 1’ to 5 fields enable you to enrich the reconciliation results with more information from the external file (using Data Forma Setup and only for external records), from other external sources (using dedicated APIs), or manually. Once the information is brought back into Reconciliation Manager, it can also be used to match records.

Note that in this version also Classifications can be inserted or updated from outside SimCorp Dimension via dedicated API endpoints.

Benefits 

• Enrich reconciliation results and help solving breaks by leveraging external data sources
• Match records based on information enriched from outside SimCorp Dimension
• Manually insert and keep track of various information on breaks in text or date format

Subscription based licensing

IBOR Manager and Investment Operations API

Sales module dependency

Reconciliation Manager

Enhancements to Cash Integrity check

The existing widget and form displaying the integrity check calculations will now include records for accounts where the calculation could not be executed due to various reasons, such as missing internal closing balance.

Benefits 

• Gain a complete view of all accounts with their integrity checks, also when they fail
• Receive more informative warning messages when the integrity check cannot be calculated

Integrity check widget show records with warnings. Note the “Out of proof by” field which is empty in this case.

Existing warning message text shows information about the failed Group ID

Subscription based licensing

IBOR Managers

Sales module dependency

Reconciliation Manager

Trade Manager swaps with payment lags

The LIBOR reform was implemented by the end of 2021 for CHF, JPY, EUR and GBP LIBOR rates and by the end of June 2023 for USD LIBOR rates. The replacement rate was based on daily compounded O/N rates like SONIA, SOFR, ESTR etc. 

For many OTC derivatives, like OIS swaps, a payment lag is applied to handle the calculation and confirmation of the compounded rate. For basis swaps the user may have to apply different payment lags of the two legs. This was only possible from 22.04 for the Trade Manager instrument “IR swap, OIS”. From 24.07, the user may also apply different payment lags for the following Trade Manager instruments: 

• IR swap, OIS basis
• Cross currency swap, fixed/float
• Cross currency swap, basis
• Non-deliverable Cross currency swap, fixed/float
• Non-deliverable IR swap, fixed/float
• Asset swap

Benefits 

• Enables users to correctly handle swaps in Trade Manager where the payment lag is different between the legs
• As an example, a EURIBOR vs ESTR basis swap may have a 0 day payment lag on the EURIBOR leg and a 2 day payment lag on the ESTR leg 

Subscription based licensing

Trade Manager

Sales module dependency

Trade Manager

Trade Manager OIS manual payment date

The LIBOR reform was implemented by the end of 2021 for CHF, JPY, EUR and GBP LIBOR rates and by the end of June 2023 for USD LIBOR rates. The replacement rate was based on daily compounded O/N rates like SONIA, SOFR, ESTR etc. 

In order to support the full flexibility required for the payment date structure the ability to enter manual payment dates is required. This functionality was previously introduced for Fixed and Floating interest rate types. This enhancement also the manual payment dates to be entered for all Trade Manager swap legs with a “Daily Fixings” Interest Rate Type. The instrument scope for this enhancement is:

• Asset swap
• Asset swap inflation
• Equity Swap
• Index Swap
• Bond Swap
• Bond swap, basket 
• Equity swap, basket
• Cross-currency basis swap
• Cross-currency fixed/float
• IR swap, OIS
• IR swap, OIS basis
• Non-deliverable cross-currency fixed/float
• Non-deliverable IR swap fixed/float

Benefits 

• Enables users to enter manual payment dates for OIS/Daily Fixings legs

Subscription based licensing

Trade Manager

Sales module dependency

Trade Manager

Trade Manager TRS Open the cash flow grid for manual Valuation dates (roll dates=Payment dates)

In a continuation of work to support irregular date structures for the TRS instrument in Trade Manager, from 24.07, users may now enter manual valuation dates on the following Trade Manager instruments when Roll Dates = ‘Payment Dates’

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

Benefits 

Enables users to enter manual valuation dates for Payment Dates rolls and enables more flexibility in the date structure. 

Subscription based licensing

Trade Manager

Sales module dependency

Trade Manager

Enabled Collateral Optimization via Cassini Systems

This new module enables collateral optimization via third party Cassini Systems.  

It enables users to send securities available for collateralization to Cassini Systems and receive optimized selection of assets to allocate thus ensuring the highest quality assets are available for the front office/treasure department for investment or financial purposes and increasing the profitability at a fund level.

Benefits 

• Collateral Optimization via Cassini Systems is removing manual process that have been adopted from the front and middle office teams is choosing the lowest quality eligible asset to meet a collateral call. 

Subscription based licensing

Collateral Manager

Sales module dependency

Margin Manager and Collateral Manager MarginSphere Adaptor

Release 24.04 IBOR

 

Ability to leverage the Counterparty SSIs from CTM ALERT database

New dedicated settlement fields on transactions make it possible now to capture the Counterparty’s settlement instructions from the ALERT database, on a trade-by-trade basis. The retrieval and updating of transactions can be done seamlessly during the trade confirmation process in Simcorp Dimension, or imported from external files. The new SSIs can then be used to generate Settlement instructions.

Moreover, it is possible to decide on Counterparty level whether they can be trusted with the SSIs from ALERT per instrument group, and use this decision actively when generating instructions.

Benefits

• Reduced risk of settlement failure due to wrong/outdated internal SSIs
• Reduced pressure on internal Counterparty SSIs maintenance
• Increased operational efficiency 

Subscription based licensing

Settlement Manager

Sales module dependency

OMGEO Central Trade Manager - Adaptor

Overview of accounts and their Cash integrity 

Cash and Payment reconciliation across multiple accounts pose a lot of complexities. One of them could be ensuring data accuracy and consistency. A new Integrity Check dashboard gives an aggregated view of all your accounts and their cash integrity, allowing for a more focused approach to solving breaks. 

Benefits

• Unified view – all accounts and their integrity checks in one place
• Ability to prioritize solving breaks for accounts with integrity anomalies
• Ability to view the cash integrity calculations over several executions
• Ability to drill down to the reconciliation records associated with the account directly from the dashboard.

 

Subscription based licensing

Reconciliations Manager

Sales module dependency

Reconciliations Manager

 

Integration with YieldBook

YieldBook is a best of breed financial analytics platform that specialises on valuation of complex instruments including mortgage-backed securities (MBS) and asset-backed securities (ABS).

With the new interface, you can now seamlessly integrate SimCorp Dimension with YieldBook.

This enhancement utilizes the security-protected External Calculation framework and a new External Calculation Result Mapping window, enabling the retrieval of any MBS-specific key ratios. The streamlined process can connect to the YieldBook web API or XML API, unlocking enhanced capabilities for valuing a wider range of structured financial instruments within SimCorp Dimension, namely:

• ABS
• US MBS Pool
• TBA 
• CMO

Benefits

This integration significantly improves efficiency and accuracy in valuing complex instruments such as ABSs, US MBS Pools, TBAs, and CMOs. Access to both end-of-day and intra-day analytics on demand eliminates delays and enhances decision-making agility in Front Office applications in an audit proof operation with mitigated operational efforts and risk.

Future Enhancements

The initial release focuses on retrieval of key ratios for MBSs across the SimCorp Dimension, with the potential future iterations concentrating on deeper integration:

• Introduction of Flexible Pricing Configuration.
• Activation of Key Rate Durations.
• Provision of User Defined Market Data.
• Integration of Scenario Analysis within the Risks Module.
• Support for YieldBook Dials.
• Retrieval of Cash Flow Information for ABS/CMOs.

Subscription based licensing

Yield Book/Basic

Sales module dependency

Various; Foundation plus "External Calculations" - Basic

Enable theoretical valuation of Australian Capital Indexed Bonds

You can now use the full flow for Australian Capital Indexed Bonds, including the calculation of fair theoretical value and key ratios such as breakeven inflation rate, implied spread, money yield, real yield.

In addition, you have the capability to build an Inflation Curve that predicts future Australian Consumer Price Indices, leveraging market quotes from Australian Zero-Coupon Inflation Swaps while considering peculiarities of the Australian market. 

Benefits

This enhancement offers support to investors in the Australian capital market by enabling them to:

• Develop effective strategies to hedge against inflation.
• Evaluate risk exposures associated with Australian Capital Indexed Bonds utilizing metrics such as duration, convexity, and spread duration to assess interest rate risk, credit risk, and overall portfolio risk.
• Access the impact of various market scenarios on portfolio returns and risk measures.
• Analyse movements in the yield curve and their implications on portfolio positioning and strategy, including the Inflation Curve.
• Allocate and monitor performance of inflation-related attributions in FIPA flow.

Subscription based licensing

Various; Foundation

Sales module dependency

Various; Foundation

TM TRS Basket/Basic

You can now manage total return swap (TRS) baskets in the Trade Manager, including setting up Equity swap, basket and Bond swap basket, creating basket adjustments, handling payments and resets, and creating novation step-out or close transactions. This enhancement simplifies the process of exchanging the total returns of a basket of assets for periodic cash flows in the Trade Manager.

Key features:

• Capture TRS Baskets: You can now capture TRS baskets with either equities or bonds as the underlying assets in the Trade Manager. TRS basket in the Trade Manager includes the following instruments:

Benefits

• Enables clients to use Trade Manager to manage and create Bond Swap baskets and Equity Swap baskets
• Enables clients to create and save baskets in a one step process. 

Subscription based licensing

TM TRS

Sales module dependency

TM TRS Basket/Basic

 

LIBOR Reform: support rounding rules on Trade Manager swaps 

SimCorp Dimension now supports rounding rules that can be applied to the compounded rate used in Accrued Interest calculation on all Trade Manager swaps where one or both legs are linked to Overnight reference free rates, in this way the system will comply with the market standard dictated by the LIBOR reform. 

Benefits

• Allows users to apply rounding rules on Trade Manager OIS legs and comply with the market standard;
• Enables calculation of rounded Accrued interest amounts upon entering a swap contract, or upon closing a swap contract or in the analytics applications in SimCorp Dimension.

Subscription based licensing

LIBOR Reform package

Sales module dependency

TM Overnight Index Swaps

  

TM TRS: support IBoxx

SimCorp Dimension now supports front-to-back solution for Standardized Total Return Swaps (TRS) on iBOXX bond indices. The IBOXX TRS trading conventions are embedded in the existing instrument type Index Swap in the Trade Manager so that the standard contract conventions are triggered under a particular configuration. As for any total return swap, a user can capture the IBOXX TRS trade in the Trade Manager, book total return swap resets payments, increase/unwind the position and mature the contract. Accrued Amount at the time of entering into a new trade or closing out a trade, as well as Performance amounts on TRS resets are calculated based on the IBOXX Standardized TRS Trading Convention Guide from the IHS Markit website.

Benefits

• Enables users to trade and manage a highly liquid standardized total return swap contract based on iBoxx bond indices;
• Allows users to simplify the trade capture and apply Iboxx standard conventions as defaults on the existing Index swap instrument upon a particular configuration.

Subscription based licensing

TM TRS

Sales module dependency

TM Index Swaps

 

LIBOR Reform: support rounding rules on TM swaps 

SimCorp Dimension now supports rounding rules that can be applied to the compounded rate used in Accrued Interest calculation on all Trade Manager swaps where one or both legs are linked to Overnight reference free rates, in this way the system will comply with the market standard dictated by the LIBOR reform. 

Benefits

• Allows users to apply rounding rules on TM OIS legs and comply with the market standard;
• Enables calculation of rounded Accrued interest amounts upon entering a swap contract, or upon closing a swap contract or in the analytics applications in SimCorp Dimension.

Subscription based licensing

LIBOR Reform package

Sales module dependency

TM Overnight Index Swaps

 

Consolidation of instrument modules

The following instruments will be removed, with adoption of the long standing Global Standard Solutions required for these models from release 24.10.

Benefits

• Adherence with SimCorp Global Standards, alignment with core FtB workflows and benefit from modelling upgrades where appropriate.
• Simplification of processes.
• Existing, historic transactions will be retained within your database.

Subscription based licensing

Various

Sales module dependency

Various

Release 24.01 IBOR

Reconciliation API

Access and enhance reconciliation results from outside Simcorp Dimension in real-time.

Benefits

Monitor the reconciliation process:

Access reconciliation runs with detailed statistics on auto-matched, unmatched items. Obtain a quick overview of the reconciliation status for efficient monitoring.

Analysis of results:

Retrieve a full list of reconciliation results for in-depth analysis and reporting.

Analyze deviations:

Calculate and analyze deviations between two or more reconciliation records to understand the breaks.

Insert comments:

Enhance collaboration by inserting comments directly on reconciliation results and help with breaks resolution.

Future versions will bring more end points and capabilities. Among others: classifying breaks, signing off the reconciliation results.

Subscription based licensing

Investment operation APIs 

Sales module dependency

Reconciliation Manager

Communication Server DTCC CTM Connectivity Solution

A new Communication Server based connectivity solution for DTCC CTM has been developed. The new solution is a preconfigured connection package to make https calls to the CTM backend and integrates internally with the Communication Server that handles the business logic. All requests including polling status requests are generated by the business logic and forwarded to the connection solution, which then exchange it to CTM. Please note that the business logic is not part of this solution.

Benefits

This solution replaces the DCIGATE Communication Server and the 3rd party application DCI Gateway. The communication server connects directly to the CTM backend webservice and allows easier deployment.

Subscription based licensing

N/A

Sales module dependency

Communication Server is available for all customers. 
Dependency “Omgeo Central Trade Manager (CTM) – Adaptor”

Improved pricing flow for structured bonds with embedded caps and floors

We have made a significant enhancement to our pricing flow for structured bonds with embedded caps and floors. This improvement introduces valuable changes that directly impact your daily workflow, offering enhanced capabilities and making your pricing tasks more efficient and accurate.

What you can achieve

With this update, you now have the ability to calculate implied spreads or option-adjusted spreads along with their related sensitivities for a diverse range of structured bond instruments. This includes floating interest type bonds with caps and floors, super floaters, reverse floaters, floaters with variable components, floaters linked to risk-free rates, and multiple interest type bonds.

The enhancement supports features such as market data scenarios, delta vectors, convexity adjustments, and risk scenarios, empowering you with deeper insights into the risk associated with your investments.

Benefits

This enhancement is designed to streamline your pricing processes, providing you with a more accurate and comprehensive valuation of structured bonds. The improved pricing flow allows for a seamless calculation of implied spreads and option-adjusted spreads, ensuring that you can make well-informed decisions in managing your investments.

Other benefits

Enhanced Accuracy: The Quoted price + yield curve, structured products price method has been improved to eliminate residuals, ensuring more accurate results.

Efficient Performance: We have improved run-time performance, making the pricing process faster and more efficient, tailored to the specific characteristics of the bond instrument and pricing method.

Improved Transparency: The Explain Calculation spreadsheet has been updated to hold all calculations for the components, including Implied Spread Calculation tab for easy reference.

Error Reduction: Numerous corrections leading to more reliable pricing results.

Subscription based licensing

Various; Foundation 

Sales module dependency

Various; Foundation

Do not calculate UDKRs" in applications, where needed

Now it is possible to exclude user-defined key ratios (UDKRs) from applications and services if you do not want them calculated. You can exclude UDKRs at the formula level and at the child-mapping level.

Excluding UDKRs streamlines the calculation process. When you have a single pricing setup, all UDKRs are calculated in all applications even if they are not needed. For example, they are not needed when UDKRs contain ESG key ratios that have scaling properties not available in e.g., Portfolio Calculation. Creating multiple pricing setups to remove unnecessary UDKR calculations can be very cumbersome. The new process of excluding certain UDKRs avoids unnecessary calculations where the results are not required and improves the calculation time. 

To use this functionality, you can specify in which applications or services UDKRs can be excluded from the calculations by using the Exclude from field in the Key Ratio Mapping window. Right-click in the two where you have a UDKR to exclude and select Exclude from. In the Select Applications/Services sub-window, you can specify where the UDKRs must be excluded. Currently, the list of applications or services includes:

• Middle-Office Position Calculation
• Performance Calculation 
• Portfolio Calculation
• Pricing and Key Ratio Calculation
• Pricing and Key Ratio Service
• Risk Measurement

Benefits

Improve usage of UDKRs by allowing for specification of where to have the UDKRs calculated. This will reduce calculation time and improve performance for applications or services listed previously.  

Subscription based licensing

Various; Foundation 

Sales module dependency

Various; Foundation

Roll over interest for Straight Repos in Trade Manager 

From 24.01, it is now possible to roll-over repo interest for repo roll-over transactions and notifications for cancellable repos and Evergreen repos. When a Straight Repo in Trade Manager is rolled-over (effectively closing the original repo trade and opening a new), Dimension did previously not support the possibility to roll-over interest from the closed part to the opened part. From 24.01 this is now possible for Straight Repos to check a check-box labelled “Roll over interest” under the conventions tab. The repo interest is then calculated across the closed and the opened repo and settled at maturity for the opened repo.

This functionality is only applied for:

• Straight Repos (i.e. not for Sell Buy Back agreements)
• Fixed rate repos (i.e. not for floating rate repos)

Benefits 

• Enables users to follow market practice for repo roll-overs
• Enables users to follow market practice for cancellable and Evergreen repos

Subscription based licensing

Trade Manager

Sales module dependency

Money Market – Security Finance

Release 23.10 IBOR

Include known CPI values in ZCIS curve construction

You can now include known Consumer Price Index (CPI) values when estimating Zero Coupon Inflation Swaps (ZCIS) curve used for valuation of Inflation-linked instruments.

Benefits

Get consistent and correct Prices for Inflation-linked instruments by following Market Standards and including known CPI values in estimation of Zero-Coupon Inflation Swap Curves

Subscription based licensing

Various; Foundation

Sales module dependency

Various; Foundation

Release 23.07 IBOR

Monthly tenors in inflation curves

With this release we introduce monthly tenors in inflation curve estimation to apply with market standards.

Furthermore, Explain calculation is now available as part of inflation curve estimation to ensure transparency of the calculations.

Benefits:

With the introduction of monthly tenors in inflation curve, the enhanced inflation curves are now more in line with market standards as well as supporting data from data vendors.

Monthly tenors are typically used in the short end of the inflation curve, so the new enhancement will enable better valuation of inflation linked derivatives within this range. 

Furthermore, Explain calculation has been enabled for inflation curve estimation to support transparency of the underlying calculations.

Subscription based licensing

Various; Foundation

Sales module dependency

Various; Foundation

Risk Factor Sensitivities in Pricing and Key Ratios Calculation

You can now calculate 1st order and 2nd order risk factor sensitivities with a Pricing and Key Ratios Calculation (PKR Calculation) instead of a Key Ratio Calculation. The results obtained can be extracted and utilized in Middle Office applications, such as Performance Calculation for Factor Based FIPA.

Benefits:

The introduction of Pricing and Key Ratios Calculation as a central hub for calculating, storing, and managing key ratios offers several advantages over Key Ratios Calculation. These benefits include:

• Support for a range of dates in calculations
• Support for User Define Key Ratios
• Enables position-based pricing
• Support for holding segments
• Capability to recalculate erroneous positions, ensuring accuracy

By incorporating risk factor sensitivity calculations into PKR Calculation, the need for running Key Ratios Calculation is eliminated. This streamlines the client's workflow and enhances the consistency, uniformity, and centralization of risk factor sensitivities and other key ratios. 

Subscription based licensing

Various: Foundation + Middle office packages

Sales module dependency

Various: Foundation + Middle office packages

OTC Rates Swaption contract modelling – various enhancements

In this release, we have made the following improvements to swaptions contract:

Swaptions: Support for mid-curve / forward-starting contracts

From 23.07 it now possible to handle so-called mid-curve or forward staring swaptions in the Trade Manager. 

For the instrument types “Swaption, fixed/float” and “Swaption, OIS” you can now define a forward starting period for the underlying swap after the exercise date. Previously, that forward starting period was limited to 99 days but can now be set to e.g. 5 years.

Subscription based licensing

Trader Manager, OTC Advanced

Sales module dependency

N/A

LIBOR discontinuation / ARR

In this release, we have made the following improvements to support the LIBOR discontinuation, this time in the Cash Management area:

LIBOR discontinuation: Cash flow forecast of (Alternative Reference Rates) ARR products in the Cash Management Module

As of version 23.07, you can forecast cash flows for the alternative reference rates (ARR) products in Cash Management based on the latest known fixing rates.

You can calculate forecast for instrument types such as bonds, IRSs, and TRSs based on compounded daily rates. If there are no new rates for these types of instruments available for the forecast period, SimCorp Dimension takes the last known values to calculate forecasts in Cash Management.

Previously, it was impossible to perform such forecasts in the absence of values for the requested period. But now SimCorp Dimension uses the rates from the static data windows. The Fixing rate values for bonds and IRSs are taken from the Bonds window and the Transaction IR swaps OIS basis - Trade - Trade Manager window, respectively. While the Fixing rate values for TRSs are in the Total Return Swaps window.

Subscription based licensing

Cash Management

Sales module dependency

N/A

Total Return Swap contract modelling – various enhancements

In this release, we have made the following improvements to TRS contract modelling:

TM TRS - Open the cash flow grid for manual Payment date and Fixing date changes

As of version 23.07, you can manually edit payment dates and fixing dates in the cash flow grids for the following TRS instruments in the Trade Manager:

• Bond swap
• Equity swap
• Index swap

Manual edits for payment dates in the cash flow grid

The enhancements to modify the payment dates apply to the funding leg with a Floating or Fixed interest type, as well as the performance leg.

You can edit these dates in the grid on the Cash flow tab on the Cash flow/Fixings > ... leg Cash flow sub-tab.

When you make any manual edits, SimCorp Dimension automatically selects the Has manual payment date check box in the grid, and the Irregular cash flow check box above the grid. You can clear the Has manual payment date check box to reset the date back to the parametric values. In addition, manual payment dates are always automatically aligned across the legs if the term date is the same.

TM TRS - TRS payment delay, see Release Notes about this feature

TRS – TRS Payment Delay

As of version 23.07, you can capture bond, equity, and index swap trades in the Trade Manager that link to alternative reference rates with a payment delay.

A payment delay is a key feature of the "in arrears" framework that is used by the alternative reference rates that are replacing LIBOR. A payment delay or "payment days lag" is all about the delayed (swap) payments. The observation period is the same, the interest is calculated in the same way, but the payment is paid n business days following the period end date. The advantage of this structure is that it gives more time for the payment.

With this enhancement, TRS instruments in the Trade Manager with an OIS leg are aligned with the other swaps with an OIS leg that are already supported in the Trade Manager.

TRS - prevent proceeds pay out upon close, partial close, maturity

TRS – enhanced handling of proceeds at close, partial close and maturity

As of version 23.07, the proceeds functionality has been extended for TRS instruments to control proceed amount payments when closing or reducing a position.

With this enhancement, you can withhold proceed amount payments at close, partial close, or maturity of transactions until the scheduled payment date for any holding or holding segment.

To support this enhancement, the Do not trigger payments on TRS close transaction check box has been added for TRS contracts.

Subscription based licensing

Trader Manager, OTC Advanced

Sales module dependency

N/A