Clearwater Analytics, a leading provider of SaaS-based investment accounting, reporting, and analytics solutions, announced that it delivered new product features and enhancements in the third quarter of 2022 to support the latest accounting and reporting standards, enrich asset class reporting, and enhance the user experience.
New features include enhanced support for:
- Schedule DB updates for derivatives
- Clearwater has made several updates to strengthen our Schedule DB regulatory reporting for derivatives including DB Part B section-1 (column 13) fair value calculation – futures, DB Part A potential exposure calculation – FX forwards and swaps, and DB Part B section-2 columns 11 and 13: transaction price and termination price.
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- Solvency II reporting
- Clearwater included the expiration transaction type in four reports for Solvency II QRT (Quantitative Report Template) S.08.02 and Lloyd’s QAD/AAD 23 reports.
- Investments are subject to either the Counterparty Default Risk SCR charge or Market Concentration Risk SCR charge. Clearwater created several new reports for updated and accurate Solvency Capital Requirements (SCR) calculations.
- Overnight rate indexed structured securities
- Clearwater now supports overnight floating rate structured products and can calculate accrued interest and coupon predictions for structured products floating on overnight rate indexes, including Secured Overnight Financing Rate (SOFR), Sterling Overnight Interbank Average (SONIA), Euro Short Term Rate (ESTR), Swiss Average Rate Overnight (SARON), and Tokyo Overnight Average Rate (TONAR).
- Generic variable and fixed-to-variable bonds
- Clearwater added new capabilities to perform advanced market analytics. We now support greater calculations for variable and fixed-to-variable bonds, including market yield (yield-to-worst, yield-to-best, yield-to-maturity, current yield, yield-to-call, as applicable), convexity (modified, Macaulay, OAS, z-spread), duration (modified, Macaulay, dollar, key rate, OAS, z-spread), option adjusted spread, and z-spread.
- Zero-volatility spread (Z-spread) analytics
- Clearwater strengthened the scope of our market analytics support to include three new fields for zero-volatility spread (z-spread) analytics. These fields include z-spread, z-spread duration, and z-spread convexity. Clearwater currently provides coverage for z-spread analytics for 650,000-plus distinct securities held across hundreds of clients.
- Overrides of analytics data for preferred stocks and funds
- Clearwater enhanced the scope of our analytics offering to include more functionality. Clients can now include market analytics for equity assets (such as preferred stock and funds), and see these values reflected in the market analytics fields on Clearwater reports.
SOURCE: PR Newswire