Main news of the SOFIA S61 release

COMPLIANCE

IFRS 9
This release includes the first tranche of the infrastructural developments aimed at supporting the application of the new IFRS 9 standard:

• the SPPI Test tool;
• the ECL calculation based on the Basel formula;
• the management of the Risk Indicator at a single transaction level;
• the widening of the storable market data in order to register all the elements needed for the calculation of the risk variation and of the ECL.

 

Solvency II

Pillar I – Prospective SCR – The SCR module, besides the already available tools allowing the calculation of the capital requirement at the evaluation date (market risk, standard formula), now supports “what if” calculations at forward dates. The new functionalities are integrated with the ALM module and they allow calculating, for given steps of a forecast, the SCR based on the portfolio situation and on the market conditions forecasted at that moment.
Pillar III – QRT – The set of the QRT (asset) has been completed, the annual QRT to be produced at the beginning of 2017 are now also available (S.07.01, S.09.01, S10.01, S11.01).

 

FRONT OFFICE

The Orders Register has been improved with new tools supporting the order management on sets of portfolios: the “target orders” and the Model Portfolio tools are now available.

RISK MANAGEMENT

The calculations performed by the fair pricing engine of SOFIA have been expanded with new functionalities: it is now possible to evaluate bonds with cap and floors and other structured assets as callable and CMS with the Hull-White model. The introduction of the new model has positive effects on all the SOFIA modules calculating theoretical prices: fair price, stress test, value at risk, ALM, SCR.

ALM

The graphic analyses of the forecasts’ outputs have been improved, highlighting the gap between assets and liabilities in terms of flows and yields. 

The complete list of the new functionalities included in this SOFIA release is available in the customer area of APL Italiana website.