User's area

Commodity derivatives can now be managed in ACUMEN. The commodity table allows to define the main characteristics of the underlying: name, currency, unit, classification, etc. Four regrouping tables have been added for the purpose of commodities definition. Futures and options on any type of underlying commodity (energy, cereals, etc) can be input, using all standard functions (quick input, default values, internal deals, etc). Valuation is based on the market price (for futures) or forward price (for options valuation) calculated with the convenience yield. Standard processing applies, like validation, export to external systems, ticket printing… Commodity derivatives are integrated in all Acumen modules, specifically the "Future position" module that allows to follow positions expressed in units.

Commodities can also be used as underlyings of structured deals, where the forward price or rate of a loan, swap or bond for example can be based on a commodity price. This is possible by using the "Cmdty" keyword in complex formulae: it finds a spot price or computes a forward price for commodities (based on interest rates and the "convenience yield"). The next step (planned for the next release) is to develop commodity deals, where it will be possible to buy and sell the commodity directly (not in the form of a derivative).

It is now possible to manage inflation linked loans. The set-up should be done through a dummy static "Bond" definition, used as a function in complex formulae: 'Indinfl(Bond name)'. Acumen will use the set up done in the "Bond" table in order to compute index and the inflation linked rate used for the calculation of the current interest amount. For example in case an inflation index should be linked to a fixed rate of 5%, one should use the following formula in the "Complex formula" part of the floating rate leg: 'Indinfl(Bond name)*5'. Then, on each period, the inflation factor calculated at the bond level is applied on the floating leg calculations. Note that the "Indinfl" function recalculates the CPI index at issue date using the value date of the deal and not the bond issue date, allowing to create only one reference bond for all Inflation Linked Deposits.

Two kinds of deals with floating annuities are now available in Acumen:

• Variable annuity amount: a check box "Adjust annuity" has been added in the schedule part of the floating leg. The maturity is kept unchanged. On each fixing date, a new annuity amount is calculated, using the new Libor rate, the current balance, the remaining time to maturity. It is equivalent to a "Fixed rate annuity leg" recreated on each fixing date;
• Fixed annuity amount: a new field "Fixed annuity" has been added in the schedule part of the floating leg. It corresponds to the amount of the fixed annuity and it should be input manually. The variable part is the maturity date in the schedule, knowing that the maturity date of the leg will not be "bypassed". The remaining balance will be paid off in full on this maturity date. One has to put this date as far as in the future as needed to avoid an early maturity of the deal. On each fixing date, the FIXING module will recompute the future reimbursement, using FRA rates and the fixed annuity amount.

Several enhancements have been brought to the Digital Trigger deals. The main change consists in a new method of input for the "complementary details", the fields that need to be populated for each structured deal to describe all its exotic features. The idea is to homogenize the input. The PAYOFF line becomes the key element allowing to differentiate the deals. It applies to the following types of deals:

• Snowball deals, Accreting CMS and CMS Spread payoff are managed with the new generic model CMS;
• FX linked deals are managed with the new generic model FX LINKED. A new EQUITY generic model for equity/index linked deals has been created, and it is the only user model used for deals having a payoff linked to an equity (it replaces the following user models: INDEX_TRIG, ASIAN_AN, CLIQUET, EQ_BONUS, INDEX_CMS, Worst of equity swap).

A detailed documentation is available on request.

Acumen can now calculate the Discount Margin for FRN bonds using the same methodology as Bloomberg. This measure assesses the average margin that an investor in an FRN can expect to receive over the life of the instrument. It will change daily according to market conditions and any change in the credit risk of the issuer. It can be seen as a floating bond’s equivalent of a fixed bond’s yield to maturity. Acumen can compute a discount margin out of an input bond price, and vice versa.

A new module has been developed, allowing to show the P&L variations per portfolio since yesterday, beginning of month and beginning of year.

• The portfolios to use in the P&L calculations, and their hierarchy is done through the "Association" table, allowing to create flexible portfolios, not always linked to existing portfolio structures;
• Daily present values and interest amounts must be saved in the "pnl" tables stored in the database. The saving is different depending on deal types, so that a realized/unrealized P&L is calculated on bonds and futures, but a present value is calculated for deposits, forex, loans and swaps;
• Once this is done, the P&L can be calculated both for market data and interest income variations. A new treatment type has been added, called "P&L analysis". The final HTML output file produced by the treatment proposes three levels of analysis: two levels showing P&L figures year-to-date, month-to-date and day-to-date, one global level per portfolio (for the management) and one detailed level per deal, and a third level per deal for each four key dates.

More information on this development can be provided on request.

It is now possible to have a floating leg which valuation is done with a particular curve group to compute forward rates and with another curve group to discount flows (previously the "Only for forward" box was also allowing to pick a particular curve group just for forward rates computation but the discount was in this case done with default curves). To do so, the yield curve that is used for discount purposes should be input in the "Curve group" field of the main mask, and the yield curve used for forward rates should be chosen in the "Deal User Definition" field of the Complementary Details mask. This requires that records are previously created in the "Deal User Definition" table with codes exactly equal to the curve group codes to be used.

Note that this has been done for a specific client, but can be applied to any other client on request.

A new method of credit equivalent value (CRE) calculation has been added in the options of the CREDIT RISK module (and treatments defined on this module) : "Max(Mark to Market ; Add On)". The principle is that, for the computation of the "Limit used" of any credit line:

• If there is no netting, the CRE value is computed as the maximum of the sum of the add-ons and the sum of the mark to market values;
• If there is a netting agreement for that line, it is computed as
  • The maximum of the sum of the mark to market values and the sum of the add-ons if the sum of the market values is positive or num (total profit);
  • The maximum of zero and the sum of the mark to market values plus the add-ons if the sum of the market values is negative (total loss).

Facility lines (defined with the "Facility line" checkbox in the "Credit Line Operation" table) can now be created as borrowed ones (previously the 'Loan/borrow' flag was automatically reset to 'Loan' if this box was checked). Borrowed facility lines are used for instance by corporates to get a short term financing from banks. It can be revolving or not. A commission can be paid to the bank on the total facility line or just on its available part.

A new calculation basis "BUS/252" is now available in Acumen. The numerator BUS calculates the number of business days (open days). 252 is the average number of working days in a year. This is a special calculation basis for the Brazilian market. Two corresponding accrued rules used for bonds have also been created, one for annual and one for semi-annual coupons.

It is now possible to run the ACCRUED INTEREST and INTEREST INCOME modules based on different types of spreads input in the "Spread" button of the deal. New choices have been added in the rate type section of the "Options" button of the two modules to allow to calculate the amount of interest based on any of the spread fields of the deal (transaction rate, margin rate percentage, internal base rate, transaction cost, risk cost, sales cost, spread over libor). Acumen uses the "Margin amount" field of the schedule and converts it to an amount corresponding to one of the spreads above. The new choices can also be defined at treatment level. Note that for FRN bonds, the only choice applicable is the rate type "Spread over the libor", where the actual bond spread defined at the static definition level is used.

For bonds and equities it is now possible to maintain and use several prices for the same instrument and the same day, allowing a different valuation depending on the security portfolio for example. Those prices can be used for any valuation, allowing to valuate different portfolios with different prices for example.

It is now possible to link future transactions to a collateral agreement (the 'Agreement' field and the 'Is collateralized' box have been added in futures pricing and leg). Thus futures transactions can be shown and taken into account in the COLLATERAL MONITOR module, allowing to manage Futures Margin Trading (as the COLLATERAL MONITOR module is able to compute the PV difference since the last margin call and create the corresponding cash movement, this facility can be applied on futures to generate the proper payment of gain or losses due to future price changes).

In addition to the "INDINFL" and "CMDTY" keywords (see above), two other new keywords have been added in the complex formula of floating legs, and FRN bonds. They are especially useful in case of structured deals:

• "Nbdaysper()" gives the number of days of the period corresponding to the fixing date;
• "Accrual" returns the number of days for which the accrual condition is fulfilled. For example, Accrual(Floa(EURIBOR06M)>4) will compute the number of days of the current period where EURIBOR06M is greater than 4%. Any type of condition can be used. The result can be multiplied by a fixed rate and divided by the number of days of the period (for example, Accrual(Floa(EURIBOR06M)>4)/NbDaysPer()*3). For a given day, the condition is checked with the rate(s) of that day. The fixing should be at the end of the period. There is no simulation of forward rates.

• The SELECTION module is now available in the SYSTEM database (SYSLRMS), through the "File" menu. It allows to define queries and selections on all system tables with associated configurations. It can be especially useful to get the list of users/groups, interfaces, queries and report layouts with their detailed characteristics;
• In SYSLRMS, in the "Treatment" and "QBatch" part, a "Generate Report" button has been added. It generates a report in the default output folder indicated in the "Options" button of SYSLRMS, with the list of all parameters of all Treatments/Qbatches created. It is then possible to copy the text file and paste it to any other application. It eases the comparison, reporting and analysis process;
• A new right click menu on the list of Batches and QBatchs has been created: the "Go To .." function opens the screen of the underlying event called, that is a treatment when called from a batch, or a batch when called from a Qbatch. This eases the navigation.

When importing rates and prices into Acumen through an interface, if they correspond to today's date, they are now taken into account in the memory of the LRMS-IS and the users workstations, like any rate saved from Acumen. They can be seen in the RATE MANAGER either real time or on request, depending on the user’s choice, as if it was coming from the DATAFEEDER. Before, they were only seen at the database level.

It is now possible to send warning emails in case of errors occurring during a batch run, whether the batch is launched manually or via Scheduler. To do so, it is necessary to insert in the schedul.ini file the following section:

• [ErrorMailList];
• Mail=xxx@yyy.zzz (where xxx@yyy.zzz is the email address of the receiver). As a reminder, this is part of a complete development where emails can be sent to monitor the activity of Acumen applications (start, stop, error…).