Press Releases

29 - 04 - 2019

The Regulator always manage to keep the non-state pension funds and GAMA’s development team on their toes. The Bank of Russia announced its new requirements for the stress testing procedure and a new model file ahead of the release of GAMA’s new version. However, we have already started working on ensuring the data export into the model.

This time, our main areas of work were the issues of amortized cost and the revaluation of repo-positions. As always, we worked on optimizing the functionality of imports, as well as made a number of additions to the yield analysis features in GAMA.

In addition, we’ve begun a large-scale work to expand your risk management capabilities. Specifically, we’ve started to implement the ALM technology (Asset & Liability Management, or asset and liability management). You can check out this feature in the new Risks sub-module — ALM.

These new features introduced in GAMA’s version 15.4 are the next step towards solving your everyday tasks!

Asset valuation

• Implemented a “default” feature that allows to reevaluate open repo positions. As part of this function, you can create a separate position in the portfolio for each REPO pair.
• Added a feature that reflects the market bonds valuation at amortized cost (due to the “Excluded sections” variable in the method of valuation and the adjustment of the valuation order of missing quotes when determining the market value).
• Added a separate adjustment of interest income accrual parameters (discounts / premiums and ESP adjustments) for each section of the portfolio. The calculation parameters screen in the portfolio list has been changed with the implementation of the charge parameters screen in the section list.
• Added variables with information on accrued discounts (12947) and written off premiums for the period (12948) to the General Portfolio status screen.

Stress test

• Implemented the calculation of financial indicators based on the results of the stress test in GAMA.
• When determining the value of a government bond, the coefficient of change in the yield spread has been changed from zero to one in accordance with the indication of regulator No. 5057-U.

Imports

• To make the import of historical data of key values and weighted average rates easier, we added different time ranges for loading data in the import interface.
• Optimized the index import from the MICEX quotes file (No. 95): data is loaded only by selected lines and in the absence of a selection — by all indexes.
• Increased the allowed number of characters in the state registration id for a more accurate search of bonds when importing specifications from web-resources.
• Import of bond specifications from Rusbonds (No. 261) has been adjusted to allow users to download data on a bond that doesn’t have declared coupons.
• Import of NRD prices in JSON format (No. 617) is configured to download data on mortgage bonds (“mortgage_bond” type).

Profitability analysis

• The TWR calculation was adjusted to accurately record T + debts and reflect external inputs and outputs.
• Introduced the calculation of “simple” yield to maturity; a variable containing this information has been added to the General Portfolio status screen (12949).
• Added the “YTM G-Curve Archive (type 2)” function to the “Bond Yield” screen to display the G-curves archive in an alternative format that is more convenient for exporting data to analytical panels.

Other implementations

• Added a feature that allows to delete transactions by selected rows (using the Edit — Delete command) in the Shares and Bonds modules
• A number of improvements have been made to the interface of the “Limits” submodule: informational messages are now displayed when importing, exporting or deleting declarations; added a feature that allows to delete rows in the grouping screen; when setting up groupings, it is now possible to search for a position by ISIN, and for the issuer and bank — by INN.
• Introduced a new data-dependent classifier for the portfolio, Basic Management Strategy (11193). The variable was added to the screens of portfolios list and the status of the General Portfolio.
• Instead of the limit on the number of registered workstations, we now apply the limit on the number of concurrent stations.

You can find a more detailed information about these GAMA features in the supplied documentation. Feel free to reach out to our support department specialists should you have any questions!