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HOT features in ACUMEN
New Deal Type: Dual Currency Bonds It is now possible to input in ACUMEN Bonds that pay interest and nominal in a different currency. For this purpose a new sub-mask "Dual Currency Bond" has been added to the "Bond" table. Once the two currencies have been defined at the static level, FX deals are created automatically at each coupon date to convert the coupon amounts and reflect the exchange rate risk and valuation included in the structure. Fixings, payments and cashflows are also managed in the same way.
The field "Original Break Even" is now filled in for the different types of transactions. This rate displays the current market rate or price as at deal's creation date and time and is not re-calculated in case the deal is updated. It can then be used in reports to the Central Bank, showing the deal rate and the market rate at the time of dealing. This is especially useful for some IAS/IFRS reports.
LOGIN has developed in Acumen a similar function to the "Automatic filter" function of MS Excel. In the different Acumen modules it is now possible to filter the data according to whatever column of the module: by doing a right-click on the chosen column and selecting the "Filter" function. All records having the chosen value will be displayed. It allows, for example in the "Bond position" sub-module, selecting only the bonds which issuer has a particular activity by clicking on the column "Issuer activity".
It is now possible to open the Selection module several times in parallel. So it is for example possible to open two or more selections on the counterparty table, or to open one selection of counterparty and one selection of deals. The output is available for consultation, reporting and comparison of results on screen.
It is now possible to generate formatted interface documentation based on the XML output. Login has created special style sheets that allow defining a nice format, showing all details of the interface, and using a different format depending on the contents (different colour or font for SQL requests, constants, sub interfaces, etc). Please contact us for further information on how to produce this report and eventually change the report presentation.
It was already possible to define a deal limit in terms of duration; it is now also possible to define a portfolio limit based on the duration of the portfolio. Depending on the user choice, an aggregate duration will be calculated on all deals, or only Receive side or Pay deals. If the deal exceeds the portfolio limit, the user will be informed upon input.
It is now possible to have Acumen menus and messages appearing on screen in Spanish. So now, Acumen is available in English, French and Spanish. Specific set-up is required to be able to get these translated versions.
Several enhancements have been brought to our Order management module, including:
It is now possible to filter the list of static records displayed when a right-click "List" is performed in field having a combo box. It allows having user-defined lists in deal input, per user: for example, for the Sales Desk, only the corporate clients list will be displayed in the "Counterparty" list. Only the records matching the specified query are displayed. This facility is available everywhere, on fields that are linked to lists (deal and static table).
Forex In the FX market, especially for forward forex operations, it is common for customer deals to change the operation during the life of the deal, in the following ways:
It is now possible to perform these actions using the RENEWAL module on forex trades. This module shows on its main page the FX trades maturing in the interval specified when starting the module. When choosing to Extend or Early Terminate an FX trade, a new mask opens, containing the same information as the original deal, except the trade date. The Maturity date, the Nominal amount and the Exchange rate of the deal can be changed. After confirmation of this new deal,
Scenario analysis module A new sub-module of the CASHFLOW VALUATION module is now available: "Scenario Analysis". It allows computing options premium and theta according to a change in both the yield curve and the volatility matrix. Results are displayed in a board made of 5 lines & 5 columns and linked to one combination of a yield curve and a volatility matrix. Each cell shows the difference between the initial PV (or theta) of the deal (or selection) and the new PV (or theta) recomputed after a change of both the yield curve and the volatility matrix. Basically, the yield curve and the volatility matrix are shifted by a percentage (standard deviation) input in a specific table. Five scenarios are then created according to this figure : twice the standard deviation, once, no change, once and twice. With this principle applied on both volatility matrices and yield curves, this leads to 25 different calculations.
A "Search" function is now available for deals and tables. It is a simplified SELECTION mode. When activated on any record, all fields of the mask are accessible. Values can be typed in any field (dates, codes, text…) for search purposes. If the result is one element, then this element is displayed on screen. If there are more then one records, a list appears. Several criteria can be input at the same time. Special codes have been added to manage specific cases, like the star to request all elements where the field value is empty, or the percentage sign (%) to find all elements starting by, ending by, or including a specific value.
The management of order deals is now available in Acumen release 6.90. It covers orders on various types of deals: bonds, equities, futures, spot forex, money market transactions and discounted papers. The order deals can be input, based on a requested nominal, or price, and other conditions. They are handled by the Order Management module to transform them into real deals when necessary, and are also integrated in the valuation and back office modules. The integration in valuation modules is done using the current market rate/price, but if the order is limited, it is shown only if the current market price makes it executable. Complex formulae can also be input in order to define complex cases when the order must be executed.
Several enhancements have been brought to the PORTFOLIO LIMITS calculations and module of ACUMEN:
This new module shows the distribution of a selected portfolio or set of transactions according to user defined totalisation criteria (portfolio level, counterparty type, instrument type…), in absolute and relative term (i.e. in terms of nominal, PV, sensitivities, in amount or percentage). Once the parameters for the analysis are defined, results are displayed either in a list box or in a chart, with the possibility to define a report.
New exotic deal pricing by API The API development allows to link Acumen to an external calculation model to provide present values, cashflows, sensitivities or greeks on any structured deal. This can be done through an external Excel spreadsheet, or by a DLL. Calculations can be developed either by Login or by the client. Through LOGIN’s API module, using various models (Monte Carlo, Hull and White, HJM) it is now possible to price the following new exotic deals in ACUMEN:
Three tools are available for the purpose of exotic deals pricing:
In addition, a partnership with Numerix has been engaged to enlarge the pricing capacities of Acumen. Our APIs have been extended to communicate with Numerix pricing models, and a client currently runs the common solution.
We have included a deal capture function in modules where positions are reported to ease the closing or opening of positions. When Bond, Futures or Equity outstanding positions are reported, a click on the mouse allows to automatically create a new deal with almost all data automatically filled in. The amounts, side, portfolio, etc are defaulted but can be changed. So now, only one screen is necessary to view and report positions as well as to trade on the market.
Inflation linked bonds following the "UK valuation model" are now available in ACUMEN. The differences with the "Canadian" model (available since release 5.50) is that the market price takes the inflation into account, and that the future cash-flows are estimated based on a "Forward inflation assumption".
Bond price calculated from repo curve For illiquid bond markets, LOGIN has developed a new feature in Acumen in order to calculate the bond price out of a repo curve: the bond yield can be derived from the repo curve and is used to compute the corresponding bond price. The way the yield is calculated from the repo curve is user defined: it can be interpolated (between the two repo rates with a maturity before and after the maturity of the bond), or Acumen can use the repo rate with a maturity just before or after the maturity of the bond. This allows to value bonds marked to market even when no price is available.
We have updated our graphical interface tool, with a release which allows us to use the new look of the new environments. The change for the end user is therefore only an ergonomic change. Through this updated interface tool, ACUMEN will look like all other applications.
The "Filter" facility has been added in all front office and middle office modules of ACUMEN. It allows to visualise the results of a module according to a filter criterion, which can be any of the many portfolio levels, and also the trader and the counterparty. This allows to run a calculation module for all deals, and then to see the details for any part of the set of deals, for example an analysis for a specific client or portfolio can be shown, and then the global analysis can be restored. This makes the detailed analysis of a selection easier, quick and more flexible.
Up to
now, Acumen was not doing the actual booking entries. Acumen was only providing
deal information and calculations, and the accounting system needed to adapt
this financial information to an accounting perspective.
Tickets and Confirmations by Email Among the major items, LOGIN-ACUMEN V.5.60 includes the possibility to send a deal ticket or a confirmation from ACUMEN to a client, directly by email. This can be done manually, or automatically, upon any triggering action. The same tickets and confirmations as the ones used for print purposes can be used to define mail templates. Four new fields have been added to define email related information: The address of the sender ("From"), the address of the person who will receive the email ("To"), any additional email address ("Copy") and the "Subject" text. These fields can contain variable values per counterparty or per deal. The email including the ticket or confirmation can be sent on request. To automate the process, a simple set-up can be done in the "Default report" table to define the action which will trigger the automatic print out or mail, depending eventually on the counterparty (deal creation triggers ticket print-out, while validation triggers confirmations by mail). Using this information, when printing automatically, QPRINT will know if the format should be printed on paper or sent by mail.
ACUMEN can now price convertible bonds with Call provisions, "Soft" or "Hard" calls or holders put provisions. On the input side, the underlying security can be linked to an equity. Convertible, as well as callable, puttable and trigger set of dates can be defined using a standard schedule process including conversion prices. After this set up, once a deal is done on such a security, an option deal is automatically created along with the standard bond deal. This option, which groups an embedded bond and equity option, is valued using our API technology: an external program file values the deal. The pricing method is based on events upon default, behaviour of stock prices and recovery rates ("hedge model", based on HJM one factor). Convertible bonds are integrated in the COMPLEX BOND STRUCTURE license.
For these specific forward Forex, the settlement amount is calculated as the difference between the spot rate at the maturity date and the agreed transaction rate. This amount is paid in one of the two currencies of the trade. To create such deals a new radio-button has been added in forward Forex masks (pricing and leg): When "Non deliverable forward" is chosen, ACUMEN defaults several specific NDF fields in order to produce correct results. On the fixing date, the new "NDF Fixing" module can be run to display the deal rate and the spot rate. A settled rate and corresponding amount are saved and taken into account in cash reports. NDF are part of the standard ACUMEN upgrades.
Additional developments have been done in ACUMEN to fully comply with the new IFRS international accounting standards, especially rules IAS 32 and 39. ACUMEN can now provide full intermediate deal data, calculations and reports to the accounting system. Two new tables have been created to store deals structure corresponding to IFRS rule: "IFRS group" and "IFRS hedge". These tables can be used to store grouping information like "Held to maturity", "Trading", etc. On a calculation point of view, various user definable methods allow to produce fair value results per deal: Mark to market valuation whenever possible, discount method based on zero coupon rates for user definable yield curves, different types of option valuation formulae, and a new method where up-front payments can be incorporated to compute effective rates used to find the effective present value of a swap or a bond. Also, accrued interest can be withdrawn from the PV results, or specifically calculated. Once the deal and valuation parameters are set-up, reports can be run gathering all relevant information. These reports can be printed on paper, or exported to files or saved in database tables allowing extraction of information for interface purposes. The new regrouping fields and calculations are part of the IAS license.
The on-line Help project, started in release 5.40, is now fully completed in ACUMEN release 5.50. First, "Help" buttons and "?" menus have been added everywhere they were missing. Also, a "Doc.ini" file has been created. Installed on the client network, it contains all the links between ACUMEN masks and User Manual pages. Now, when clicking anywhere in the system on any "Help" button or "?" menu, Acrobat Reader(TM) will open and display the relevant page of the User Manual (Version 5) where you will find the necessary information relating to what you can do. This is part of the standard ACUMEN upgrades.
This development allows to follow and authorise limit breaks. Limits can be of different types: credit risk, settlement risk, trading and portfolio limits. For each transaction generating a limit break, a new "Excess" button displays all the limit excesses linked to the deal. A limit break can be authorised by a user with proper rights. The date, time and user of authorisation is recorded, along with an authorisation comment. A set-up allows to forbid an over-the-limit deal to be validated. Specific access rights have been added for the authorisation of each type of excess. This is part of the standard ACUMEN upgrades.
The historical Value at Risk module is completed with the "Variance / Covariance" VaR. It is based on the J.P. Morgan approach, using volatilities and correlations imported in Acumen, with rebasing capabilities. The calculation can be done per portfolio and per currency, and offers a wide range of analysis. The different parts of the VaR are detailed, for forex and interest rate instruments, including the split between the diversified and the un-diversified VaR, vector and beta as well as the incremental VaR, with a mapping on the different risk factors. The objective of this new development is to be able to set-up limits at the portfolio level, and view them either with real time management at the deal entry level, or in a module accessible anytime. For each individual deal, Acumen will check all defined limits which apply to the deal. A portfolio limit is composed of the following:
Credit Default Swaps are managed since our November 2002 release (5.10). The input of the credit protection is done through specific masks allowing to indicate the credit events, the obligor rating, etc. The Jarrow Turnbull model is used to find default probabilities based on discount factors and recovery rates. The deal is integrated in all Back Office modules to monitor the premium paid or received, the accrual amounts, etc, and in the Credit Risk analysis to increase or decrease line amounts. Collateral programs can be managed within Acumen, including all different aspects, from the set up of agreements, collateral types, automation rules to the capture of transactions, and the management of distributions. The collateral program is a credit risk mitigation technique, that can be enforced within Acumen at the portfolio level, or on a trade by trade basis. The aim of the program is to find how much collateral is required, for each counterpart, group of counterparts, deal or portfolio. To achieve this, a specific module has been added to monitor margin calls, and the credit risk functionality has been enhanced accordingly. |
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