Все записи автора Alexey

InfoStroy Ltd. sponsored the XII annual conference of institutional investors Investfunds, held on May 21-22, 2021 in St. Petersburg. The event covered a variety of topics: changes in the collective investment marke during the pandemic, prospects for the pension industry development, new trends in investment strategies of the collective investment market representatives, new and reviving instruments, as well as a surge of interest in investing among individuals.

Marketing Director Dmitry Roman gave a speech titled “GAMA — when data speaks”.

“We have been developing asset management software for over 30 years. And from time to time we see reports with a large number of figures, graphs, and diagrams. But, often times, because of this quantity and variety, it is difficult to understand what these figures and charts are trying to convey to us. Keep in mind, this data can help increase the company’s competitiveness in the market. The purpose of my presentation was to show a small part of how GAMA portfolio management system transforms data, turning it into a source of valuable information for making investment decisions,” said Dmitry.

• How to quickly and visually identify assets that have the most impact on the efficiency of portfolio management?
• How to make factor analysis more informative for the implementation of your investment strategy?
• How to control the share of total risk of a position in a portfolio?
• How can stochastic financial market modeling and scenario analysis be used for portfolio management?

These are the questions that were raised and discussed at the GAMA presentation.

Finally, “GAMA Terminal” sparked keen interest as the new product, which allows to receive extensive analytical information on investment portfolios in real time. Now with GAMA Terminal, you are not asking the computer about your portfolios. Now, wherever you are, GAMA will tell you everything about your investments and risks!

Users working with Eurobonds will appreciate the new availability to round the ACI per security to ensure correct calculation of position volume.

New opportunities have been added to liquidity measures, the calculation of which contributes to risk analysis and selection of investment instruments.

We continue to take care of the integrity of the system, which is why we made a number of small but useful changes to the interface.

There is a tendency towards complicating methods to determine fair value, therefore a number of criteria have received additional updates.

Even setting up the grading algorithm in GAMA itself becomes a simple task. Now our customer service team will be able to send you the required settings in a file that you just have to press a button to download. The system will be ready to calculate fair prices according to your rules!

What if you need to understand the calculation of fair value? To do this, we expanded the information reflected in the log files, which will help you check GAMA calculations.

Of course, we did not limit ourselves to the issue of asset valuation: the stress test has been improved in accordance with the latest comments from the regulator, the asset liquidity assessment algorithm has been expanded and, of course, we continue to increase user experience while working in the system.

When working with portfolios, each manager has their own goals and objectives. But how would one achieve them and what tools would they use? Today, we present to you a new module — «Investment Selection». It is designed to facilitate the process of selecting debt instruments that meet specified parameters, such as through comparing them with the G-curve and indices.

For risk managers, GAMA already has many tools (control of portfolio limits, calculation of market risks using various methods, calculation of interest rate risks, scenario analysis, and others). So far, the issue of credit risks has not been properly developed. This gap has now been closed! We are glad to present you a new module — «Credit Risk». Within its framework, two indicators are calculated: expected credit losses for a specific instrument (based on the specified default probabilities and recovery forecast) and the credit risk of the entire portfolio (using random variables – the Monte Carlo method). Our work on both new modules will continue so we would love to hear your feedback, comments, and suggestions for improvement!

Any insights become unnecessary if they are built on outdated data. To ensure data integrity from various external sources is promptly and correctly updated in GAMA, we are constantly working with imports. The new version includes imports of issuers and imports of the consumer price index (CPI). Changes have been made to the work of existing imports as well. In particular, we disabled the update of issuers when importing specifications.

Data quality is the second key element of competitive analytics. In the new version, the quality control of market data has been continued. The display of irrelevant data has become even clearer: the corresponding symbol is displayed directly in the tables. What if you forgot to do a data quality check before stress testing? Previously, this may have caused errors in the stress test. Starting with GAMA v17.4, there won’t be such problems! Now the validation of market data is automatically performed during stress testing.

The importance of accuracy and completeness of market data cannot be overestimated. Without these two components it is impossible to obtain the correct value of assets and analyse their profitability, limit control and stress tests won’t give the correct result, it is pointless to analyse fiduciary responsibility and generate internal reports. Therefore, we dedicated time to expanding the possibilities of market data checks and its usability.

For stress testing, GAMA makes filling in data on the fund’s obligations more convenient as well as automatically filling in the name of the fund and its TIN when exporting data to the Model file.

The new version has Increased flexibility in setting up procedures for generating cash flows for asset valuation using the DCF method in terms of rolling over the coupon rate to the offer.

In addition, it is now possible to import dividends from Interfax. Checking for new securities on the market has been improved for an automated launch.

These are just a few of the changes available to users of GAMA version 17.2

The capabilities of the fiduciary responsibility analysis module have been expanded: now you have access to the analysis of transactions with deposits! The analysis algorithm is based on the guidelines issued by the Department of Collective Investments and Trust Management of the Bank of Russia in June 2019.

In connection with the publication of new scenarios for stress testing NPFs by the regulator, we implemented the possibility of testing according to their conditions. Realizing the importance of access to such feature, we provided the relevant update to the NPF on an extraordinary basis — right on the date of publication of the new scenarios, September 30. To ensure accuracy of stress tests, data validation for 25 metrics is now automatically performed when you run stress testing in GAMA or export data to Model.

Continuing the topic of data accuracy: we present a new automated data verification feature — now you can make sure that the records about companies (issuers, banks, brokers) are correct.

These are just a few of the significant changes available to users of GAMA version 17.1!

A new feature of this new release is the transition to a web-based version of the documentation. Now the “help” request will open the technical support portal page in the browser.

You still have access to the convenient help request feature: press F1 on the table or the GAMA screen to open a help page dedicated to the relevant topic.

There is a search icon on every page of the portal. Now, unlike the previous mode of operation, you will not need to think about where to search to answer your question: the search will be performed on all reference materials at the same time (both in Documentation and in the Knowledge database).

Previously, the documentation was updated only with the release of the new version of GAMA. Now, the transition to the web-version allows updating information constantly, which means that the documentation on new system features will be available immediately after they are added.

As announced, we continue to expand the capabilities of automated control over the accuracy of market data from the previous version. Now you can be sure of the accuracy of bonds redemption schemes by comparing the calculated accrued interest for one security with the data of the Moscow Exchange.

We took into account your feedback and suggestions and increased the comprehensiveness of inspection results. We will continue to work on increasing the variety of checks and the convenience of the interface.

The list of updates in the new version of the system can be found below.

Stress testing

  • After the Bank of Russia promulgated Order No. OD 837 dated May 27, 2020, we quickly implemented the feature of stress testing according to new scenarios.
  • Added the ability to export stress testing data to the “Model” file version 5.1.

Ratings

  • Added the ability to store in the system data on ratings of structural instruments assigned by the agencies «ACRA» and «Expert RA». Changes have been made to the import settings to automatically download such information. New scales added to the stress testing functionality.
  • Implemented summary tables of rating data (“Ratings (general list)” commands in the specifications table and in the companies table) with the ability to delete rating records.

Asset Valuation

  • When calculating the ammount of the “Calculated Accrued Interest per 1 security” (variable 31021 in the Bonds price table), it is possible to take into account the exchange rate for securities denominated in foreign currency.
  • When calculating arrears on T + transactions, the possibility of accounting for accrued interest was implemented.
  • We renamed flags, variables and commands related to the assessment carried out in accordance with the instructions of the Bank of Russia No. 5419-U and No. 5446-U. Instead of “Valuation by 5419-U”, the name “Valuation by stratums in 2020” is used.
  • Some criteria of market activity and criteria of fair prices were renamed; the working order of the criteria has not changed.
  • A new parameter has been implemented for the criteria for evaluating deposits, which allows you to select the value used in case the rate is recognized as non-market: the boundary value of the market range or the weighted average rate with correction.

Imports

  • Created new data import with Cbonds Web Service — stock specifications and dividends (No. 275 and No. 277).
  • Imports from Cbonds Web Service and RuData have been improved to accurately load the coupon rate for bonds in the specification of which the “NKD RUONIA” flag (OFZ-24020 and OFZ-24021) is activated.
  • Expanded the list of trading modes available for customization when importing Moscow Exchange quotes.
  • Restored the import of stock specifications with investfunds.ru (No. 258) after the website was updated.
  • The TLS 1.2 protocol is enabled when establishing a connection to import bond specifications from finam.ru (No. 259).

Other

  • We added an “bond accrued interest” check to the quality of market data check feature which allows to evaluate the relevance of bond redemption schemes. We also increased the comprehensiveness of inspection results.

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.

Dear colleagues!

At InfoStroy LLC ensuring the safety and well-being of our customers and employees has always come first. Given the pandemic, management has decided to switch to remote operations.

Remote operation comes into effect on March 17, 2020.

For our valued customers this means the following:

Development
Remote work will not affect the software development process.

Support
Consultations will still be available through the GAMA Technical Support Portal.
Tasks on the portal can be created regarding ANY emerging issues, including organizational ones.

Phone communication will be limited!

Exchange of correspondence
Receiving mail correspondence, delivered to the Infostroy office, is available only in exceptional cases by prior arrangement. We also anticipate delays in government postal services. Given the situation, we offer to use scanned copies of documents whenever possible, and to postpone the exchange of the originals until the situation stabilizes.

User Conference
Due to the ongoing COVID-19 pandemic, we have decided to delay our decision on whether we are going to hold our annual GAMA User conference. Once we have more information, we will provide an update.

Now, when importing bond specifications, a distinction is made between offers of two types — irrevocable and by right of the issuer.
The availability of imports was ensured under the conditions of changes that occurred at data providers (updating the Bank of Russia website and switching to a new server at Interfax).
The range of types of “Expert RA” ratings downloaded from Interfax was expanded.
The list of bond types for downloading data for NRD price imports was expanded; performance and logging have been improved.
The informativity of the special report “Average daily trading volume” was increased.
Finally, the capabilities of the criteria for assessing deposits were expanded and the “Correction by indices” criterion improved.

• For NPFs, the new year started with a revision of the rules for calculating the value of net assets – we implemented an option of copying to make the settings in the list of fair price criteria more convenient.
• Now it’s even easier to make reports on the analysis of fiduciary responsibility: we implemented exporting data to a report in the form of the Central Bank of Russia.
• An updated special report “Report on transactions with deviations from market prices” helps simplify the analysis required by the Bank of Russia Ordinance No. 4715-U dated 08.02.2018.
• Added an ability to store in the system and automatically import information about the ratings of issuers assigned by ACRA according to the international scale.
• When performing revaluation, GAMA now provides logging and displays a summary of the number of successfully revalued positions.
• A full feature of the automated asset transfer utility is now available for stocks.
• We recently restored the function of automatic date calculation in the General Portfolio status filter window — now the same function exists in the General Portfolio transaction filter.
• Finally, we fixed a few bugs.

You can find more detailed information about new GAMA features in the system documentation. If you have any questions, you are always welcome to reach out to our customer service and our specialists will be happy to help! отдела клиентского сервиса!

GAMA V16.4 is focused on developing the following analytic functions.

• Analyze not only purchases, but also sales of securities in the module “Fiduciary Responsibility”.

• Compare dynamic changes in market prices, income, and trading volume of several assets in “Comparative Dynamics”.

• We bring to your attention an updated and expanded set of pre-made analytics dashboards. They can be used in their current form or used as a basis for creating your own, remaking and customizing them to your requirements. Also, this is a great way to start exploring the possibilities of panels for those who have not used them before.

• Check history of changes in all ratings for assets in portfolios with one button. Just compute required view in the Totals-Situation at, and select Home-Credit Risk Changes on the ribbon.

• Configure several scenarios of stress testing of NPF at the same time.

In addition:

• We understand that the task of transferring assets from one portfolio to another rarely arises, but when it does, it’s always a grueling and time-consuming process. Not anymore! Now you can transfer assets with a click of a button!

• Previously, GAMA users and the Agent application used the same import settings. This could sometimes result in the user inadvertently changing the import settings, and the Agent working incorrectly. We fixed this issue as well: we added separate settings for the «Agent», which means that you can safely import the required data manually without worrying about stability of the «Agent» workflow.

• Continuous work with numbers quickly becomes dull. This holiday season we decided to make your work in GAMA more diverse and positive: now you can change the color of the system interface elements using various “covers”.

You will find a detailed list of all changes below.

Profitability analysis

• Enhanced capabilities of the module «Fiduciary Responsibility»: analysis of bond sales; special algorithm for analyzing transactions with government securities; correction factor can be different for each rating group; duration range in days can be indicated not only in absolute, but also in relative terms; replenishment calculation can be made for a given date. At the same time, the free version of the Fiduciary Responsibility module discontinued the ability to export data.

• Implemented an analysis of the comparative dynamics of any indicators present in the price archive for selected instruments.

• There is variability in the procedure for calculating yield and duration for REPO-positions reflected in the Bonds portfolio and the General portfolio: indicators can be equated to the collateral or take zero values.

• For the correct calculation of yield to maturity on dates close to the offer date, we have added accounting for the coupon announcement date.

Dashboards
• Updated and expanded a set of pre-configured dashboards.

Stress test
• Link between companies of different types based on the TIN identity is excluded. Now this link is provided by a user setting using the «Issuer (for the Bank)» variable in the list of companies.

• Implemented the ability to configure multiple user scenarios.

•Fixed the calculation of the control price for the stress test date in the GamaBondAnalytics.xlsb file for cases when the spread takes a negative value.

The risks
• Implemented an analysis of changes in a given period of the values of credit ratings that are present in the portfolios of securities issues and issuer ratings.

• In the framework of the investment declaration functionality, in particular the tables reflecting the details of violated restrictions, variables with the name of the issuer / bank and the category of balance sheet were added for information.

Imports

• When importing from various sources of bond redemption scheme in the «Add data only» mode, only future events are downloaded: all offers after the import start date, coupon rates for future periods as well as the current one if the rate is not set on the import start date.

•Data on the date of the coupon announcement is downloaded by importing bond specifications from CBonds Web-Service.

• Added the ability to import issuers from Interfax and CBonds Web-Service, which are SPV-companies, data on their LEI-codes and ratings assigned to them.

• Updated settings for import ratings of issues and issuer ratings from the CBonds Web Service to correctly download data in case of rating withdrawal.

• Import «Quotes from QUIK» is configured to download data in the TQCB trading mode The display order of the selected trading modes has been updated.

• To ensure stability of the Agent’s work, the Agent tab has been added to the user import settings screens containing parameters specific to the Agent (for example, due to this modification, changing the path to the file for manual import will not cause disruption in the Agent’s work).

Other

• Automated procedure for transferring assets between portfolios: transfer transactions are automatically generated for selected positions.

• Made changes to the interface of the filter window of the General Portfolio status screen, and restored the correct work of automatic calculation of dates with parameters that are specified in the «Date Parameters» tab.

• Improved the sub-module «Special Exports» to correctly process the percentages configured in the General Portfolio status filter.

• Changed the procedure for filling the variable «Position Opening Date» in the Total Portfolio status table. Now it reflects the date of the most relevant change of the position volume from zero to a positive value.

• The variable ESP on acquisition has been renamed Yield to Maturity.

• The GAMA user interface (UI) now supports skins — sets of bitmaps, fonts, and alignment settings that determine how UI elements are painted in all possible states: normal, hot-tracked, selected, etc.

You can find more detailed information about these features in the system documentation. If you have any questions, please reach out to our customer service and our specialists will be happy to help!

In addition, the new version allows to:
• disable calculation of ESP adjustments for “short” deposits;
• import profitability data from NSD price archives;
• store LEI codes for foreign issuers in the system;
• customize the calculation of shares of assets in the General portfolio with flexibility.

You will find a detailed list of all changes below.

We wish you comfortable and productive work!

So, GAMA V16.3!

Profitability analysis
• Implemented the calculation of replenishment for questionable bond purchase transactions, as part of the analysis of fiduciary liability
• Adjusted the procedure for calculating the number of days of a non-zero position in the Bonds module. Earlier, the calculation of “SIC for ownership” gave an incorrect result if the first day of the interval was excluded from the calculation.

Stress test
• Added parameters to scenarios approved by order No. OD-2201 of 09/20/2019 to the stress testing of NPFs
• Provided correct shipment of PR composites numbers to the Model file for the case when PR composites, which are not involved in setting up portfolios are created in the system.
• The company record now includes fields for storing information about the LEI code (18136) and attributes of the SPV company (18137), which are manually filled in. When generating data for stress testing in the absence of a company TIN, its LEI code is indicated.

Amortized cost
• Increased flexibility of adjusting the procedure for generating «Accruing PD for ESP» transactions. It is now possible to disable the calculation of adjustments for deposits with a term of less than a year.

Investment declaration
• Added the «Free limit» variable (31013) to the declaration verification screen, the value of which is calculated as the difference between the current and the maximum-allowed indicators.

Imports
• Modified “Import of MICEX quotes (Internet / CSV)” (No. 41) to download data using the new TQCB trading mode.
• Added a feature to download the information on bond yield and the number of pricing methods from the NSD’s price archives (if you need to import such data, contact our customer service for the instructions regarding the necessary settings).
• Improved the “Import of SRO NFA rates” to allow accurate processing of dates in various formats.
• As it was announced, imports of the issue ratings and issuer ratings from the Cbonds.ru website (No. 451 and No. 805) are no longer supported and are disabled.

Special Reports
• Expanded the options for filling in the “Other receivables” section in the special report “RSA — NAV (PR) / (10-37 / pz-n — Appendix 1)”. In particular, these options allow to reflect debts under INR contracts.
• Disabled special reports that are no longer relevant.

Other
• Increased flexibility to adjust the procedure for calculating shares of assets in the General Portfolio (the relevant parameters have been moved to a special tab of the General Portfolio status filter window).
• Added “Grouping 2 (11129)” and “Type of asset” (8908) variables to the Accounting — Cash flow and dashboard screens.

You can find more detailed information about these features in the system documentation. If you have any questions, please reach out to our customer service and our specialists will be happy to help!

The main feature of the new version is the implementation of the module “Fiduciary Responsibility”, which identifies questionable bond purchase transactions. The algorithm is based on methodological recommendations issued by the department of collective investment and trust management of the Bank of Russia in June 2019. Future versions will include improvements of this feature to enable the calculation of replenishment on bonds and the analysis of the effectiveness of depositing funds. Please note that the Risks — Fiduciary Responsibility module is provided in test operation mode.

In the new version, we continued to work on the stress testing feature, modified some imports, and introduced new ways to work with currency.

Stress test
• Implemented the ability to generate separate lines of data for debts on coupons, partial repayments and dividends
• In the specifications of bonds, it is possible to manually indicate the shares of obligations guaranteed by the guarantor in nominal and coupon rates, as well as the subsequent export of such information to the stress test data screen.
• Fixed the procedure for filling in data for a key company: columns with a name and INN, intended for information about a non-key company are no longer populated.

Imports
• Expanded the functionality of import “MICEX Quotes RPS”: the functionality supports importing into the exchange by searching for files in nested directories, in addition to better organized trading mode options.
• Made changes to “Import RP AM General” to correctly download files from the directory.

Work with currency
• Fixed changes to the exchange rate for coupon: by default, the rate changes daily due to the official rate being updated until the date of the coupon payment.
• Modified the utility for automatically updating the exchange rate in repo transactions to also allow you to update the exchange rate in T + transactions.

Other
• Implemented a feature that allows to configure several broker’s commission rates and their binding to the trading mode to automatically calculate the size of commissions when initiating a transaction.
• Added the ability to exclude repo positions when analyzing composite portfolios.
• Enabled export and import of «Favorites».

You can find more detailed information about new GAMA features in the system documentation. If you have any questions, you are always welcome to reach out to our customer service and our specialists will be happy to help!

A significant portion of the features was implemented based on the wishes expressed by the participants of the GAMA conference held on May 15, 2019.

We implemented:

  • remuneration and pension schemes;
  • processing of assets with valuation at amortized cost and REPO positions;
  • re-evaluation of real estate and cash in foreign currency;
  • an opportunity to reflect selected items of debts by separate positions;
  • exclusion of individual assets from testing;
  • testing for liquidity with regard to sales.

But that’s not all! The list of innovations continues:

  • Floater rates forecast: now — based on the entered formula and initial data — GAMA software automatically calculates future cash flows on bonds with floating coupon rates, which means that you no longer have to carry out such calculations manually!
  • Validation of data: now with a single click perform 25 different data quality checks, which means you’ll be more confident about the results!
  • Dynamic results: now you have access to information about the change in time of various financial indicators under various selected scenarios!
  • Personal scenarios: now you do not need to restrict yourself to stress-testing scenarios set by the regulator — stress testing can be carried out according to your own scenarios!

In addition to the new features associated with stress testing, the new version implements several minor but important improvements in the following areas:

  • inflationary bonds;
  • alternative investments;
  • REPO positions;
  • imports;
  • fair value;
  • application «Agent»;
  • Information support.

Detailed information about these features of GAMA can be found in the documentation for the system. In case of any questions, our customer service specialists are always ready to help you!

We hope you enjoy GAMA’s new 16.0 version of the industry’s leading software!

On May 15th, 2019 InfoStroy hosted the fifth annual GAMA user conference in Saint Petersburg. The conference was attended by our dear colleagues from Moscow, Kazan, Surgut, and Saint Petersburg.

The program of the event covered the most relevant accounting issues (amortized cost, REPO re-evaluation), risk management (stress testing directly in GAMA and uploading data to the regulator files), and investment analysis (yield calculation options, asset management company (AMC) performance report). It also included an overview of GAMA’s automatization of routine operations (“Agent” application) and data visualization features (dashboard functionality).

In addition, the conference introduced an advanced analytical feature — a new module ALM (Asset & Liability Management). The first version of the ALM feature is already available to GAMA users.

2019 Conference overview:
·         Stress test with a human face: implementation in GAMA
·         “Sweet couple”: native stress test in GAMA and export into the Central Bank stress-test model
·         “Minimum program requirements” for an effective stress testing
·         “A good life is even better!”: new additions to make the work easier
·         Amore mio: asset accounting at an amortized cost in GAMA
·         One more time about REPO
·         Trust, but verify: AMC efficiency control
·         “Show me the yield!”: Types of Yield in GAMA
·         You’ve got to see it! (visualization in GAMA)
·         A matter of skill (возможно “A piece of cake” если значение дела техники — “очень легко”): what GAMA Agent is capable of
·         This mysterious ALM …
·         All about GAMA’s support

The informal setting of InfoStroy’s conference helped facilitate effective communication between the attendees and exchange their experience and opinions regarding the direction of future development of GAMA.

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!

 

After a long period of research and development, we have implemented a parallel computing technology: it involves designing and implementing software so that the code can be executed simultaneously on multiple computing resources — cores, processors, computers, virtual resources. Technical information regarding this feature can be found in the system documentation.

We hope all these improvements, as well as several small but useful innovations, will be effective tools in your work!

Stress-test

  • Implemented new scenarios in accordance with the order No. OD-2306 of September 4, 2018;
  • Made a change in the algorithm for selecting a rating group in accordance with the explanations of the regulator.
  • Added a more detailed display of ratings information. The settings for determining the rating group have become more flexible.
  • The “Data” and “Parameters” sheets are now filled in with the help of the special report “Data export to the stress test model of the Central Bank” in the “Model” file.
  • Stress testing in GAMA can now reproduce the results of stress testing obtained in the “Model” file.
  • Improved forecasting of cash flows on the inflation bonds.
  • New “Report” command in the “Stress test of the Central Bank” results window helps form a file with a summary of the main stress testing results.
  • Coupon and redemption payments made on the same date are divided in the list of data on the cash flows of the bonds.

Asset Valuation

  • Customization of the pricing rule in the case of using price data from several exchanges is implemented in the methods of fair value estimation
  • Added new fair price criteria (“Low Offer <> High Bid” and “Bid <> Offer + Trade Volume> + Lastprice>”.
  • New data setting parameter is added to the fair value criteria for deposit evaluation. The parameter sets the date from which the weighted average rate is determined: from the date of calculation or from the date of placement of funds.
  • You can now set arbitrary types for fair prices.
  • Calculation of fair prices for rules that are not used anymore can now be turned off.
  • The EIR (effective interest rate) calculation flag can now be activated separately for bonds and deposits.
  • Now there are two possible approaches to calculating discounts and premiums for securities with amortization of par value and securities with a floating coupon rate.

Imports

  • Increased informativeness of logging import results
  • When you start importing stock and bond specifications, as well as the information about companies from various web sources, you can now select the data update mode (adding only previously not imported data or selecting a full update of information).
  • When importing various information about bonds from Cbonds Web Service, it is possible to search for data not only on State Registration Number (SRN), but also on ISIN.
  • During the import all Cyrillic characters in the security codes are automatically replaced by the characters in the Latin alphabet.
  • Added new import — “Import of dividends from Interfax”, No. 276).
  • When importing quotes from Moscow Exchange files, you can now automatically determine the exchange for recording data depending on the trading mode.
  • Import of quotes from Moscow Exchange files now allows you to download price data of High Bid, Low Offer and Lastprice.
  • Added import of data on the date of early redemption of bonds with Finam.ru and Cbonds Web Service.

Investment Declaration

  • Added new classifications – based on the position belonging to the REPO category and on the basis of a subordinated bond.
  • Implemented new restrictions — on the market value in currency and on the quantity in units.
  • Added variables with security registration numbers in the limit control screens.

In Addition

  • Now the system can store the trading mode data.
  • A feature of a subordinated bond has been added to the specification of bonds, as well as the import of this information from Interfax and Cbonds Web Service.
  • A new classifier “NSD asset type” was created for shares and bonds.
  • Dividends are now correctly processed if the same registry closing date is specified for several payments.
  • The variable “Date of record creation” has been added to the table of companies, which automatically displays the current date when a new company is created. This allows to select recently added issuers and import their rating history.
  • The access to the reference information has become even easier: the button “Knowledge Base” has been added to the “Help” menu, which opens the technical support portal page with the content of this section.
  • Added a more detailed message about the rejection of a password to enter the system.

For more in-depth information regarding these features of GAMA check the documentation for the system. Our specialists from the customer support department are always ready to help you, should you have any questions!

In 2016, Sofia graduated with a Bachelor’s degree in theoretical and experimental physics from National Research Nuclear University MEPhI (Moscow Engineering Physics Institute), and in 2018 got a Master’s degree in energy economics from the New Economic School (NES).

Her internships at Schneider Electric as an analyst for the marketing department and in the treasury and financial and economic analysis departments at Sibur enabled Sofia to apply her knowledge in practice. We believe that Sofia’s experience and familiarity with such programming languages ​​as C, Matlab, R, Python will help her succeed at InfoStroy.

“The tasks I face as an analyst at Infostroy will enable me to gain experience with real data and build a model that will be applicable in practice. I am excited for such an opportunity! Even after having worked here for a short period of time, I’ve already started to appreciate the brainstorming sessions I have with my colleagues: sometimes you just need to hear a competent question to make new ideas come to mind! ”

In her free time, Sofia plays sports, draws and enjoys popular science literature.

The initial release date has been moved due to the Central Bank’s recent order No. OD 1474 regarding the new stress test scenario requirements. Although we had to take more time to work on this issue, we are pleased to finally announce that the new version of GAMA allows users to conduct a stress test based on the new requirements of the Central Bank.

Therfore, using the «Stress test CB» sub-module you can perform calculations based on the older scenarios as required by order 4060, and the new scenarios, approved by order OD-1474. In addition, the new version allows you to use custom scenarios which can be changed at your own discretion! This feature provides even more choices for assessing the financial stability of your portfolios.

Despite the fact that the stress test was our key focus, we addressed a few other valuable and relevant issues:

Fair value:

– a number of new criteria for market activity rates, price criteria, new parameters for deposit assessment criteria

– extended logging of the fair price calculation results for deposits

– default selection of the last user’s chosen rule upon entering the fair pricing screen

Imports:

– updated imports settings for currency rates, ratings, specifications of the inflation securitie, as well as guarantors’ data

– import of trades with shares into a section different from the standard one

– during an import of bond REPO transactions in foreign currencies, GAMA provides an exchange rate for the second leg of the import on the date of its execution.

– added utility, which allows you to produce a proper exchange rate recalculation for previously imported transactions

Yield analysis:

– Bond module — yield analysis now includes several options to build the diagram and the yield curve (enabling and disabling of the display of the G-curve, the yield curve, names of securities, as well as the display of spread values for G-curve of selected bond);

– Total portfolio — new variables added to the Holding table: the Yield on G-curve and Spread.

 

This is just an overview of a few features from our long list of updates that we designed and implemented to make your work in GAMA more comfortable and productive.

On May 16, 2018, InfoStroy held the fourth annual GAMA user conference, which was attended by representatives of the companies that use GAMA, as well as our potential clients.

During the event, the company’s experts presented the most important and useful features that have been introduced in the system over the past year, highlighted the specific features of the previously developed and expanded capabilities of GAMA, and also discussed a few future product development plans concerning the new GAMA V15 functionality in particular.

As a result, the conference covered a wide range of topics: accounting issues (asset evaluation at fair value, accounting for REPO transactions), risk management (stress testing by the Central Bank scenarios), analytical capabilities of the system (alternative investments, dynamic dashboards, G-curve visualization, TWR extensions), data quality (new and extended imports, maintaining the relevance of market data), and finally, the interaction process between the company and users.

Traditionally, the conference provided an opportunity for the guests to share their experiences and for the host country to learn more about the areas of development that are currently in high demand.

The tasks that were put before GAMA include:

— monitoring and verification of the asset management companies performance results
— monitoring of the Fund’s assets as a whole
— calculation of the asset management results of the Fund
— support of the work of the Fund’s risk managers
— conducting stress-tests in accordance with the requirements of the Central Bank of the Russian Federation

At the stage of GAMA implementation, InfoStroy specialists analyzed the accounting policies and rules for determining the NAV of the Fund. Based on the analysis, the algorithms for determining fair prices have been implemented and set up. A lot of work was done on entering history data of all operations with assets and reconciliation of the data with the asset management companies,» says Dmitriy Roman, Marketing Director of InfoStroy LLC.

In GAMA V14.5 we paid special attention to:
• the transition from the market price based value of the portfolio to the fair price based value and saving the entire history
• expanding of the rules for determining the fair value of portfolios
• expanding the list of sources of imported information
• increasing the number of operations with assets
• and, of course, we keep reducing the amount of manual data entering into the system. In the new GAMA, it only takes one click to see the list of new securities on the market and get their specifications into the GAMA database! One click does your daily reassessment of the desired date range!

We constantly expand the Knowledge Base where you can quickly find an answer to all questions you have. If you can’t find the answer you need, our support team is always ready to help you. As soon as we find the solution to your problem, it will be added to the Knowledge Base for future reference.

Obviously, such tasks are relevant not only for the Funds, but for any company that manages portfolios. We are confident that the new features of the GAMA solution will be of interest to both existing and potential users of GAMA.

For questions about the demonstration of GAMA, please contact us by phone or at Gama2019@infostroy.com

In 2007, Elina graduated with honors from the Saint Petersburg State University of Economics and Finance, where she became a specialist in translation of economic literature. Elina has been working in the financial sector for 15 years. Her previous positions in a brokerage company and a bank helped her gain practical experience working with securities, as well as master customer support skills.

When asked why she is happy to join Infostroy’s team, Elina says: «Despite the propensity for humanities, I have always been attracted to the software development field. Here at InfoStroy, I hope to not only contribute my skills and experiences, but also to get an opportunity to master the field that is new to me.»

Elina likes to read popular science literature on various subjects. Her hobby is to translate humorous TV series from English language.

In GAMA V14 we paid special attention to such features as:

  • Integration of the NPF stress-tests model designed by the Central Bank of Russia)
  • Enhancing of the “OSBU” accountancy rules implementation
  • Enhancing of computations related to currency instruments, this includes expanded functionality of the REPO operations in GAMA
  • Dynamic dashboards implementation – the feature that provides a full and dynamic picture of the managed assets (including the business owner’s dashboard)
  • Expanded list supported market in operation data sources (including import from NRD)
  • A lot of improvements to minimize manual data entering into the system (including automation of coupon/redemption confirmations).

We believe that such features are relevant not only for the NPFs, but also for any asset management company. We are sure that the new features of GAMA V14 will be of interest to both existing and potential GAMA users.

To order the GAMA demonstration, please contact us by our phones or at Gama2019@infostroy.com

АО «НПФ «Гефест»(www.npfgefest.ru)

This year’s participants included representatives from NPF Future, NPF Volga-Capital, NPF Stroykompleks, NPF Gefest, ONPF Doverie, NPF Tradition, UK IJC Capital Partners, Moscow Stock Exchange, Investment Capital Ukraine (IKU), Insurance Company Surgutneftegaz …

The program of the conference was full of events and included stress testing of NPFs by the CBR methodology — theory, implementation into GAMA and ways to use it, functionality of alternative investments, implementation of the OSBU requirements, new dynamic dashboards, new functionality to reduce manual and routine operations , etc.

All the new implementations were presented by the specialists who led development of the new features.

This year’s conference was special for us – according to the results of the voting among Cbonds network participants, GAMA (InfoStroy) was recognized as the «Best Developer of software for institutional investors.”

On the second day of the Forum, InfoStroy’s Marketing Director Dmitry Roman made a presentation on «Three Useful Tips for GAMA Users»

The presentation was focused on three new important features implemented in GAMA and ways to use them for risk management, portfolio analytics expansion (including the stress test as required by the Central Bank of Russia in 2017), and control and management of diversified investment business by its owner.

 

If you are interested in the presentation, please contact us at +7 (812) 325-9797 or at Gama2019@infostroy.com

Yuri has a bachelor’s degree in management from the Saint Petersburg State University of Service and Economics, as well as a master’s degree in economics from the Saint Petersburg University of Economics. He is currently enrolled in the Ph.D. program in economics. Prior to joining InfoStroy, Yuri worked in the risk management department of Sberbank, Russia.

Yuri is excited about the new position: “I’ve been interested in the financial market for a while, and the software that InfoStroy offers is an indispensable tool for everyone engaged in the market. GAMA is the work of a whole generation of highly qualified specialists, and working on such a team is an invaluable experience for me.»

Outside of work, Yuri enjoys an active lifestyle and prefers to spend his free time doing sports.

АО «Национальный НПФ» (www.nnpf.ru )
АО «НПФ «Оборонно-промышленный фонд им. В.В. Ливанова» (www.npfopf.ru)
АО «НПФ «Первый промышленный альянс» (ppafond.ru)

InfoStroy announces the release of a new version of the portfolio management solution GAMA V13.
The new version is in compliance with the latest requirements of the OSBU and the Cenral Bank of Russia regulations regarding the stress-testing of NPF assets.
To develop GAMA V13, we worked closely with our customers. As expected, there aren’t organizations with similar approaches to the OSBU implementation. As a result, we “had to” develop the most universal and flexible implementation of the OSBU requirements, capable to satisfy the most of our known accounting schemes.
To order a demonstration of the new version, please call us +7 (812) 325-9797 or e-mail us at <a href=»mailto:Gama2019@infostroy.com»>Gama2019@infostroy.com</a>

Irina has a bachelor’s degree in software engineering from the Saint Petersburg State University of Aerospace Instrumentation, where she is currently pursuing a masters degree. In the program, she studied more than 15 various programming languages, including C ++, C#, Java, and Assembler. Irina’s professional skills and broad outlook make her a valuable member of InfoStroy’s team of developers.

Talking about her work at InfoStroy, Irina says: «For me, this is an opportunity to combine the three areas that have always attracted me: management, finance, and programming.»

Irina enjoys swimming and traveling. In her free time, she studies psychology and the fundamentals of time-management.