Main news of the SimCorp Sofia S70 release

Risk Management

Libor reform

Following the reform of the money market reference rates, which led to the definition of new Overnight rates as reference rates (Alternative Return Rates) for almost all currencies, a new market for instruments indexed to these rates has developed. In SimCorp Sofia it is now possible to manage positions of bonds and Interest Rate Swaps (IRS) indexed to overnight rates with the characteristic of accruing a daily rate and presenting a coupon calculation in arrears. The new module allows the calculation of the daily accrual and its use in the Holdings environment.

Per info: sofia.risk-alm@simcorp.com

 

Compliance

IVASS – New module for Segregated Funds reporting transmission

The module "Interfaccia Web Service Sofia - Infostat" has been enriched with a new functionality which allows, in addition to transmitting information flows for the Segregated Funds directly to Infostat via a web service interface, also to download directly from SimCorp Sofia the Protocols received following a transmission to IVASS/Infostat.

For further information: sofia.info@simcorp.com

 

IFRS 17 – New module “Asset Return for Insurance”

The module "Asset Return for Insurance", SimCorp Sofia's solution for the valuation of assets for IFRS 17 purposes, has been further implemented.

The module allows to provide the IFRS 17 calculation engines with the Fair Value Return values, the IFRS 9 Income Statement broken down on the individual Segregated Funds and the OCI Option value, both gross and net of the punctual or average over-coverage.

The "Asset Return for Insurance" module also allows to manage Unit Linked portfolios in which only a part of the policies is insurance-based and falls under IFRS 17, allowing to quantify the change in the Fair Value of the assets that can be attributed only to this part, for the purposes of calculating the CSM.

For further information and to organize a demo of the solution: sofia.IFRS17@simcorp.com

 

RiskALM

Strategic planning

SimCorp Sofia's investment planning tools have been further enhanced. In addition to the two types if forecasting cycles (a multi-axis cycle and a multi-GAAP cycle, which may also be interactive with each other), the new features contained in this release will allow to:

manage balance sheet valuations according to IFRS 9 through a unique prospective ECL value for each position within the ALM module;

calculate internally in SimCorp Sofia the vector of unit prospective ECLs through the new prospective ECL calculation engine. in fact, starting from the Holdings environment and importing PD and LGD curves and rating transition matrix, it is possible to determine the prospective ECL values for each holding (thus considering the layered situation in T0) that will then be used in the evaluations within the ALM module.

• determine the prospective values required for IFRS 17 purposes: Fair Value Return, IFRS 9 Income Statement broken down into individual Segregated Funds and OCI Option value, gross and net of the over-coverage;

• facilitate the analysis of multi-axis or multi-GAAP forecast results through the new Summary Screens;

• implement Business Intelligence reports for high-level analysis of results.

For further information: sofia.risk-alm@simcorp.com

 

Financial instruments

Derivative hedging

The Hedging Accounting module has been integrated, allowing the correct functioning of the closing simulation mechanism also on holdings forming part of hedging strategies that follow the principle of "Consistent Valuation".

For further information: sofia.derivati@simcorp.com

 

Alternative Investments Funds

The Alternative Investments Funds module has been enhanced with new functionalities and it is now possible

also choose the Equalisation event with Reallocation of Distributed Capital, which allows to manage the movements of distributed capital between old and new subscribers, occurred as a result of the equalization itself.

For further information: sofia.FIA@simcorp.com