Press Releases

29 - 05 - 2020

The main feature in our new GAMA version is the ability to assess assets as part of the “anti-crisis” measures stated in the Bank of Russia’s Ordinance No. 5419-U as of March 24, 2020. In addition, we are pleased to present the first (of many planned) features that allow checking the quality of market data!

You will find a detailed list of all changes below.

Asset Valuation

• Asset valuation according to the order of the Bank of Russia dated 03.24.2020 No. 5419-U.
• In the criteria for fair prices, which checks whether the price is in the spread between supply and demand prices or between the minimum and maximum prices, there is now a feature that allows you to apply the criteria only to securities denominated in rubles.
• In the criteria for market activity, which checks the number of transactions and trading volume, you will now have the ability to configure different time intervals to check each of these indicators.
• We adjusted calculation of the weighted average RUONIA rate for OFZ-24020 and OFZ-24021 due to the publication of the rate for 03/27/2020 on 04/06/2020.

Profitability analysis

• We implemented a setting that helps ignore “call” type offers when calculating the yield of bonds to maturity.
• When calculating financial result and portfolio profitability, it is possible to view all transactions for instruments such as “Income / Expense” as external movements.

Other

• Implemented the first (of many planned) checks of the market data quality.
• As part of the stress testing functionality, an alert displays on the screen in case of issues with access to the model file template that now shows information about the template to find the source of the issue.