knowledge share - what's new in 9.5 - november 2015.pdf

7/24/2019 Knowledge Share - What's New in 9.5 - November 2015.pdf

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Whats New in 9.5

CRD Product Management

November 19, 2015

- For Internal Distribution Only -

This document represents Charles River Developments current projection of future enhancements to CRD products. CRD reviews market needs and assesses

determine appropriate features and functions planned for future releases. While the information in this document is presented as planned or projected, CRD

priorities, and future enhancements at any time without notice.


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1

Agenda

Overview

Product Areas New Manager Workbench

Fixed Income, Derivatives, Compliance, Risk

Blotter, Equity, FX, Cash

Middle & Back Office

Data Wealth Management

Questions & Answers


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Release 9.5 Overview

Themes:

FI workflows across NWB, Blotter Equity workflow improvements

MBO integration across components

Data EDM, Global Fixed Income

Wealth managed accounts support

Target Ship: December 4, 2015


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Software Release Schedules

9.5

Feature Release

9.3

Feature Release

9.6

Feature Release

Q2

20152017+

Q4

2016

Q3

2016

Q2

2016

Q1

2016

Q4

2015

Q3

2015

PredictaCycle

EnhanceWorkflow

ImproveQuality &

SaaS Off

Development Partners may receive the releases earlier than indicated

Release Target Dates may change due to: Expanded release content to meet market requirements, changing requirements, quality improvements and i

Planned Release

Feature Release

Ongoing

Feature Releases

9.4

Feature Release

Planned Release

Feature Release


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New Manager Workbench

4


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Release Highlights

Order generation workflows (FI focused) New switch method, editing variance columns for m

model/bmk cases, oversell in Targeting/Switch Re-switch (dev feature in 9.5)

Order review screen Integrated blotter view for mgr order workflows

Parity with classic MWB Account filters/temporary account groups

NOINV support

Roll (futures/CFWDs)


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Why Important?

OG: More aligned with how clients view

workflows, trader needs to recalculate swbased on execution details

Order review: need screen to perform mgon mgr orders (limit, reason, comments)

Parity: filters for on the fly group creationfor gain/loss calculations, Roll functionintegration


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Switch/Re-Switch

New switch method

One to One

Allow trade thru zero Benchmark security

defaulting

Capturing of prelim

switch details from

NMWB

Release Contingency


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Switch/Re-Switch

Prelim switch

is no longeraccurate based

on execution

details

Need to

capture intentfrom prelim for

re-switch


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Order Generation Workflows

Variance column editing allows for managing vs. mu

models/benchmarks and targeting to specific levels p


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Parity Work

Account Filters

NOINV (gain/loss)

Futures

CFWDs

Roll

Futures/CFWDs


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Additional Information

Online help

IM specialist training program NMWB intro sessions: Early 2015

Z:\ClientServices\Team Meetings\MWB train

videos.zip

11/9-11/10 Burlington (recorded)

Asset class specific programs to follow
http://docsql02/help_sys/9.5/index.htm#ng_mwb/ng_mwb_open.htm%3FTocPath%3DNew%2520Manager%2520Workbench%7C_____0http://docsql02/help_sys/9.5/index.htm#ng_mwb/ng_mwb_open.htm%3FTocPath%3DNew%2520Manager%2520Workbench%7C_____0http://docsql02/help_sys/9.5/index.htm#ng_mwb/ng_mwb_open.htm%3FTocPath%3DNew%2520Manager%2520Workbench%7C_____0


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Fixed Income Trading

12


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Fixed Income Trading

Trade and Quote History improvements Give the trader more visibility into his firms past

Inventory and price history integration with MW Give the PM visibility into the market

More electronic trading options AUS bond futures

16+ venues certified


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New MWB Integration

14

Manager Workbench users are now able to link both Price History and Inventory to associated

Account View, Security View, and Account Pivot Views

This integration supports linking at both the individual security and summary row levels.

i


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Quote History

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Quote History by B

A breakdown of

by broker

Displays associa

information

Quote History by Security A breakdown of all quotes grouped

by Security

Displays associated quote and trade

information

Both views can be accessed through

advanced or simple search options.

Addi i l I f i


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Product flash http://buildsystem/crdwiki/ProductFlash/Fixed_Income/95_FI_F


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OTC Derivatives

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OTC D i ti


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OTC Derivatives

Improved Tradeweb SEF trading support MAC swaps, compression swaps

Additional lifecycle support IRS swaption exercise support (physical and cash)

Listed and OTC equity index option exercise/expiry suincluding cash settlement

Workflow additions/improvements CDS Index swaption support

Additi l I f ti


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OTC Derivatives webinar

https://www.crdportal.com/Webinar_Derivative Quick Sheets

On the client portal

Videos

New SEF trading videos

in progress
https://www.crdportal.com/Webinar_Derivativeshttps://www.crdportal.com/Webinar_Derivativeshttps://www.crdportal.com/Webinar_Derivatives


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Risk/Scenario Analysis

20



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Risk: Historical Simulation VaR Ready for development partners/early adopters se

target client profile

SA: Support for equity shifts

Risk


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Risk

What are my portfolio-level

sensitivities to rates and credit?

What is my duration exposure by s

What is my active quality exposure by sector?

What is my active sector

exposure?

What are my to

issuers?

What is my coupon and rating exposure distribut

Reminder: Risk is more than just VaR

Scenario Analysis Equity shifts


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Scenario Analysis Equity shifts



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Risk Management webinar On the client portal

Risk presentation and FAQ Reach out to PM

Online documentation Heavily revised and updated


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Analytics

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Analytics


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Analytics

Updated IRS swap valuation methodology

OIS dual-curve stripping

Improved Brazilian bond pricing precision for

DI IAM and DI Debentures

Par curve based duration and KRDs



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IRS OIS dual curve stripping Setup and Configuration > Analytics > Methodology >

Rate Swap Calculation Methodology

Improved Brazilian bond pricing precision for NTN-and DI Debentures

Setup and Configuration > Fixed Income > Bond Cata

Setup by Country > South America > Brazilian Bonds

Par curve based duration and KRDs Reference > Analytics Reference > Key Rate Duration
http://localhost:8081/doc/setup_and_config_opening_pg.htmhttp://localhost:8081/doc/setup_and_config_opening_pg.htmhttp://localhost:8081/doc/setup_and_config_opening_pg.htmhttp://localhost:8081/doc/analytics/opening_page.htmhttp://localhost:8081/doc/analytics/analytics_methodology.htmhttp://localhost:8081/doc/setup_and_config_opening_pg.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/fi_trade/bond_setup_latin_america.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/reference_opening_pg.htmhttp://localhost:8081/doc/reference_opening_pg.htmhttp://localhost:8081/doc/analytics/analytics_landing.htmhttp://localhost:8081/doc/analytics/analytics_landing.htmhttp://localhost:8081/doc/reference_opening_pg.htmhttp://localhost:8081/doc/fi_trade/bond_setup_latin_america.htmhttp://localhost:8081/doc/fi_trade/bond_setup_by_country.htmhttp://localhost:8081/doc/fi_trade/security_setup_examples.htmhttp://localhost:8081/doc/fi_trade/fixed_income_trading_landing.htmhttp://localhost:8081/doc/setup_and_config_opening_pg.htmhttp://localhost:8081/doc/analytics/analytics_methodology.htmhttp://localhost:8081/doc/analytics/opening_page.htmhttp://localhost:8081/doc/setup_and_config_opening_pg.htm


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Compliance

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Compliance


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Compliance

Exclude open orders from batch compliance

Placement compliance (API) Conduct restriction checks at the time of placem

entering the market

Distributed compliance processing

Technical improvement to batch technical archit

Excluding Open Orders from Batch


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Portfolio should not invest more than 10%

common stock in the technology sector

EoD Position Concentration = 9.58%

Open BUY order on blotter that increasesconcentration 2.17%

Batch compliance results:

Portfolio only (V95) no Ale

Portfolio plus Open Orders -

Excluding Open Orders from Batch


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Blotter, Equity, FX, Cash

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Release Highlight


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Release Highlight

Improvements to execution workflow

New Create/Modify placement windows simplacement workflows particularly for multi-placements and closes an EMS usability gap

Exchange Traded Derivatives

Support exercising cash settled option contr

Support for creating flexible multi-leg orderoption chain embedded in the order entry

Execution Workflow Improvements


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Easily creat

set of place

market, wi

parameter

across mul

placement

More infor

Less real-e Fewer click

Better U/I

Options Workflow Improvements


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Options Workflow Improvements

Options Chain in New Order Entry

Exercise, Assign & close optionsposition for index options and cashsettled instruments

Security Settlement Method

Options Workflow Improvement


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Options Workflow Improvement Embedded

Drag & Droselection

Real time s

Multiple ustocks/cha

Release Highlight


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e ease g g t

Order management and blotter usabili

Navigations can now open a view or profseparate window allowing easy access tofunctionality without cluttering the work

New inline filters were added that allow more robust filtering on specific columns

Optional merge criteria can be defined toincreased flexibility over when a merge c

Blotter Improvements


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p

Release Highlight


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g g

FX and Cash Management

Support for cash management defaults abalances defined as a percentage of mar

Support for trading treasuries and money

funds from the cash flow forecast

Support for non-deliverable swaps



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p

Create FX aMarket traCash flow F

Configure cbalance destreamline

Define as aamount or

Allows for cash workfFX and mo



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Addition information in On-line Help

FX, Cash & Commissions review for SEs11/5/15


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Middle & Back Office (MBO)

11/20/2015 41

Release Highlight


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g g

More integration across:

Post Trade

IBOR (Investment Book of Record)

PMAR (Perf Measurement, Attribution, ex-p

Note: All are optional components of CR

i.e. they require extra licensing

Trade Flow with MBO components


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11/20/2015 43

Portfolio

Management

Compliance

Trading /Execution

Post Trade /Settlement

Investment

Bookof Record

(IBOR)

Performance,Attribution &Risk

Post Trade overview


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11/20/2015 44

General workflow improvements (v93+)

New Trader-Operations Workflow Support

Granular Privileging for Post-Trade Action Buttons

Omgeo CTM (v93+)

Support for PSET (Place of Settlement) matching

In CRIMS, this is DelivType

Support for Standard Rejection Codes for CTM

Asset class expansion (v94+) Oasys: support for Repos

Markit MTM: support for OTC Equity Options

New Post Trade Workflow: Revert


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11/20/2015 45

Ability to revert the order from Ops back to Trader, and vice versa

IBOR Overview


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11/20/2015 46

Notable features

Position maintenance based on trades & txns

Corp actions data feed & processing

Recon against back-office V94+

Integration with Bank Balances (Opening Cash Balance) and CFF (Cash Flow

Integration with Compliance for Beginning of Day (BoD) and Intraday promopositions/lots

V95

Txn replay (recalculating positions due to back-dated transactions)

Dev Features

P&L calcs (realized & unrealized, short vs long term)

Integration with PMA (feeding historical Pos & Txn to PMA)

New G/L Columns In IBOR


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11/20/2015 47

PMAR Overview


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V93+

Redesigned engines to support high-volume processing and dat

Persistence of acct-level and position-level returns

V95 Persistence of composite results

Phase 1 integration with New MWB (acct-level PMAR results on

Dev Features

Phase 2 integration with New MWB (categ-level and position-le

results) Integration with IBOR (sourcing historical Pos & Txn data from I

GIPS Composite enhancements (exception & approval workflow

Ability To See PMAR Results In New M


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Online help on each CRIMS component

Marketing sell-sheet on each component

PMA training for Impl Specialists (in progress) Training provided on generic PMA background

Training provided on specific CRIMS PMA functionality

Next step: PMA workshop in Q1

Embedding new Impl resources within IBOR & PMA teams


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Data

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EDM (v9.5)


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Validation

Rules-based

Highlight potential secmaster issues

Stale prices, missing items, threshold checks

Audit (under development)

Describe how a data value got into the secm

How did field X get set for security Y on Mon

EDM Use Cases in 9.5


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Validation Just use validation on secmaster

Core EDM* flow Load multiple sources

Blend using rules

Validate and promote

Allows for persistent overridesData Management Service

* In v9.6, EDM will likely require a parameter for licensing purposes

CR Data Service - Reference


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Global Fixed Income coverage

Corps, Govt, Structured, etc.

Benchmark treasury

Fixed, Inflation, Floating, etc.

Curves

Bond Futures

CR Data Service


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Blend

IDC global equities, munis

TR all the rest, including issuer

Pricing update coming in Dec/Jan

Targets

Mid-sized, global Multi-asset focus

Aligned with CR Analytics (Fincad)

CR Data Service - Benchmarks


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11 clients live

MSCI, Russell, FTSE (hub mode)

S&P, iBoxx (direct mode)

4 clients in implementation

Barclays, ML, Cred Suisse, S&P (direct m



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EDM whitepaper https://na27.salesforce.com/06933000001yanB

Data Service Sheet http://www.crd.com/assets/pdfs/Charles_River_Data_Service_

Data Management Service

Info pending
https://na27.salesforce.com/06933000001yanBhttps://na27.salesforce.com/06933000001yanBhttps://na27.salesforce.com/06933000001yanBhttp://www.crd.com/assets/pdfs/Charles_River_Data_Service_US.pdfhttp://www.crd.com/assets/pdfs/Charles_River_Data_Service_US.pdfhttp://www.crd.com/assets/pdfs/Charles_River_Data_Service_US.pdfhttp://www.crd.com/assets/pdfs/Charles_River_Data_Service_US.pdfhttps://na27.salesforce.com/06933000001yanB


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Wealth Management

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Release Highlight


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Centralized UMA and SMA product support Central Workbench

Additional touch points

Tax Management Gain/Loss Budgeting

Wash Sale detection (all accounts; most order gener

Householding

Household drift IPS Fulfillment tool

UMA and SMA in production


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Central Workbench

New model types for SMAs

CRA integration

Central Workbench


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Central Workbench: Accounts


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Gain/Loss Budgeting


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Gain/loss budget at account level

Intraday updates from Rebalancer and CRA

Long term, short term, or total

Consideration of orders in all statuses

Gain/Loss Budgeting


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Gain/Loss Budgeting


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Wash Sale Detection


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Regular accounts, SMAs and UMAs

All order generation modes

Order preview/order edit in CRA

Exclusion from drift monitoring

Wash Sale Detection


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Household Drift


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Calculated against Household IPS (AAM)

New drift monitor in CRA

Household Drift


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Household Drift


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Household Fulfillment

/


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Ability to select products/securities to fulfill hous

targets

Only appropriate products can be selected (modetags/security classifications/product minimums)

Fulfilment not complete until targets are met

Once complete, each account is assigned an AA m

Household Fulfillment


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H l d d d i h h i


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Help doc updated with these topics

9.5 demo given to NA Sales 11/5

9.5 demo scheduled for WM/Wells Imp 11/20

Wealth course given to most recent CRU


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Questions and Answers

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