Product manual in pdf format.

ClavisAsset

The purpose of ClavisAsset system is to serve the activity of asset management companies, the information needs for investment decisions and the settlement of the deals in backoffice. The system integrates the front, backoffice and risk-management functionality.

General Clavis features
  • Planning-analyzing in FrontOffice module
  • Settlements in BackOffice module
  • FrontOffice and BackOffice modules can be installed one by one or together as well
  • File-based communication with other custody and backoffice applications
  • Basic data of managed funds and other portfolios and their partners
  • Basic data of investment units, shares, bonds with the expirations related to them
  • Stock pairing and valuation (FIFO, average price) with pre-matching
  • Interest- and profit tax calculation in accordance with the local laws
  • Printing client vouchers
  • Printing standard and user-specific reports
  • Importing prices, historical and daily price registration
  • Importing deals from external systems
  • Exporting reports to Excel
  • Reporting to authorities, depository and central bank
  • Booking and export entries to General Ledger (ClavisBook, SA, ...etc.)
  • Day-opening and day-closing tasks
  • Multi-level authorization system, managing of groups of users and rights
Asset management functions

Calculators

  • IRR, duration, modified duration, convexity
  • Yield/price
  • REPO deals
  • Cost of carry
  • Option value; delta, gamma, vega, theta, rho
  • Swap deals; CS, CCS, IRS, FRA valuation

Yield curves

  • Valuation from fix yield or yield curves
  • Several algorithms for curve calculation: regression, linear, bootstrap, spline, Svensson, Nelson-Siegel

Portfolio valuation

  • Net and gross asset value calculation
  • Daily unit price calculation
  • Valuation by several, pre-defined rules
  • Grouped calculation

Portfolio-management fee-s calculation

  • Success fee: calculated if the portfolio's yield is higher than the benchmark's
  • Management fee: fix fee for a period

Indexes and index models

  • Import of market indexes; valuation and composition for periods
  • Constitution of index models from real market indexes for periods

Books

  • Managing of books as a representation of main asset groups in deals
  • Using common cash book
  • Synchronization, analysis/planning and performance measurement by books

Model portfolios

  • Benchmarks are composition of market indexes as a reference for the composition of portfolio and performance measurement
  • Investment strategies from model portfolios constituted from index models and market indexes for periods
  • Grouped modification of ratio of books in asset allocation model
  • Combined position of futures deals and securities as an exposure to the specific asset

Portfolio optimalization

  • Optimalization on the level of each portfolio and master portfolio
  • Calculation methods: syncronization to model, approching to model, duration-based
  • Analysis of effect of plan deals
  • Plan-allocation methods: weighted by NAV, weighted by stock
  • View and syncronization by industrial segments (shares)
  • View and syncronization by duration segments (bonds)
  • Generation of orders by portfolio or by a group from plan deals

Allocation methods

  • Manual allocation of portfolios' orders
  • Manual allocation of aggregate orders
  • Automatic allocation and generation from trades

Allocation algorithms

  • by ratio consequent from previous optimalization
  • by manually given ratio
  • by pre-calculated ratio (portfolios' NAV...etc)
  • by the difference of portfolio and model instruments
  • by the difference of portfolio and model categories

Limit examination

  • Historical limit check for periods of portfolios' positions
  • Unique limit check in deals
  • Grouped limit check of deals
  • Historical results of limit checkings

Liquidity

  • Future cash-flows in deals
  • Future cash-flows of expirations and maturities of securities
  • Swap cash-flows
  • Cash-flows belonging to investment unit trading
  • Manually recorded planned daily cash-flows
  • Cumulated cash for days by currencies

Portfolio performance

  • Resolvation of yields from the ratio of asset of groups
  • Time-weighting  yield calculation
  • Comparsion of period yield of the portfolio and the benchmark
  • Asset allocation factor:  Consequent yield difference from asset allocation decision
  • Asset selection factor: Consequent yield difference from asset selection decision
  • Using arithmetic and geometric resolvation method
  • Chaining of periods' yield using GRAP method

Risk management

  • VAR, increment VAR, CFAR calculation
  • VAR backtest
  • Risk indicators and reports (duration, beta, sharpe, treynor, tracking error list...etc)
Groups of deals
  • Account open and close
  • Account and book transfer
  • Accrual
  • Charge payment
  • Expiration
  • Investment units trading
  • Net settlement
  • Security conversion
  • Money and security transfer
  • Deposit and credit
  • Caution
  • REPO and security loan
  • Money and security coverage
  • (FX) Security sell and buy
  • (FX) Order and settlement
  • (FX) Futures deal
  • (FX) Option deal
  • FX spot and swap deal
  • IRS, CCS and FRA deal
References:

Adventum Befektetési Alapkezelő Zrt.
Budapest Alapkezelő Zrt.
CIB Befektetési Alapkezelő Zrt.
Concorde Alapkezelő Zrt.
Generali Alapkezelő Zrt. (implementáció alatt)
OTP Alapkezelő Zrt.
Takarékbank Alapkezelő Zrt.
OTP Garancia Biztosító Zrt.
UNIQA Biztosító Zrt.
BCR (Erste) Asset Management – Pension Funds, Bucharest
BCR (Erste) Asset Management – Mutual Funds, Bucharest
CCB Asset Management Co., Sofia
DSK Asset Management, Sofia
ING Life Insurance Company, Sofia
KD Pension Fund, Bucharest
UG Market Fund Management Company, Sofia