Main news of the SOFIA S62 release

FINANCIAL INSTRUMENTS

Alternative Investments Funds

A new module supporting the management of the Alternative Investments Funds is available. It is now possible to manage in Sofia this asset class with its peculiar characteristics such as the underwriting commitments, the amounts actually invested at a given date and the investment and disinvestment flows.

For further information: sofia.info@apl.it

Bond Forward

Beside Bond Forward with Physical Delivery, it is now possible to manage in Sofia also the contracts for which a Cash Settlement is expected at the expiry date.

For further information: sofia.derivatives@apl.it

Currency exposure

The “zoom-in” tool, already available for FX forward contracts, has been enhanced and extended to currency spots: as a result, it is now possible to perform more precise analyses on the portfolios’ currency exposure.

For further information: sofia.derivatives@apl.it

USER’S FUNCTIONS

New module “Data reference Standard Import”

The new module “Data reference Standard Import” is now available. With this new module, it is possible to acquire assets’ data not only by means of the already available Bloomberg and Kler’s interfaces, but also by means of an Excel or CSV file which can be produced using whichever source.

For further information: sofia.info@apl.it

FRONT OFFICE

Trade Amount Limits

Beside the already supported limits based on holdings held in portfolio, Sofia Limit Monitor now supports also the calculation of a new limit type, based on the maximum amount traded each day for a single security.

For further information: sofia.limits@apl.it

Web Limit Monitor

The Limit Monitor web page, in which the real-time status of the limits registered in Sofia is displayed, has been enhanced with additional details for new limits and with a new help function describing the functions used for the limit’s calculation.

For further information: sofia.limits@apl.it

ALM

BEL

The set of the Sofia functionalities available in the ALM area has been enriched with a new module for the BEL (Best Estimate Liabilities) calculation, supporting the SCR calculation.

For further information: sofia.info@apl.it

Process automation

It is now possible to automate both the process supporting the creation of the ALM forecasts and the access to their results, with the aim of gaining a higher efficiency level in the management and control tasks. Particular attention has been given to reporting processes with more than one forecast, adding the possibility of exporting at once the results of more than one forecast.

For further information: sofia.alm@apl.it

Stochastic ALM

The calibration algorithm of the Hull-White model’s parameters has been enhanced and it is now possible to autocalibrate such parameters when a stochastic forecast is calculated.

For further information: sofia.alm@apl.it

COMPLIANCE

IFRS 9

The new set of developments supporting the application of the IFRS 9 principle includes:

• a new method for the management of the inventories both with average cost (for the calculation of the securities inventories) and with FIFO method (concerning the stage allocation);

• a more detailed representation of the strata in which holdings are divided in case of strata management methods;

• the enhancement of the infrastructure supporting the SPPI test, which can be performed inside Sofia, integrating if necessary the benchmark test, or outside Sofia with the results’ import;

• the infrastructure supporting the risk model, whose implementation details can be set up based on each Customer’s needs;

• the new impairment transactions for the ECL storage.

For further information: sofia.ifrs9@apl.it

EMIR - Collateral Management

The Sofia Collateral Management module has been updated based on the new legislation included in the Commission Delegated Regulation (EU) 2016/2251.

The main enhancements concern the “haircut” management based on the new criteria for the credit quality assessment, the Minimum Transfer Amount management and the segregation of the received collateral.

For further information: sofia.derivatives@apl.it