REPORTING PACKAGE FOR SS&C ADVENT SOFTWARE CLIENTS

REPORTING PACKAGE FOR SS&C ADVENT SOFTWARE CLIENTS

Contents Contents... 1 I. SS&C Advent Integration... 5 1. Paragon Menu... 5 2. APX Paragon Menu... 6 3. Risk Calculation Thresholds... 7 4. Risk Metrics in APX dashboards... 8 II. Parametric Methodology... 9 A. System Screens... 9 1. Portfolio Parametric Value at Risk... 9 2. Portfolio Parametric Value at Risk Sample Bar Chart... 10 3. Portfolio Positions... 11 4. Portfolio Positions Sample Bar Chart... 12 5. Portfolio Group Positions... 13 6. Portfolio Group Parametric Value At Risk... 14 7. Portfolio Group Positions... 15 B. Reports... 16 1. Portfolio Group Value at Risk with Threshold... 16 2. Portfolio Group Value at Risk percentage of its Market Value... 17 3. Portfolio Group Value at Risk percentage of its Market Value detail... 17 III. Monte Carlo Simulation... 18 A. System Screens... 18 1. Portfolio Group Monte Carlo Simulation Value at Risk... 18 2. Portfolio Group Monte Carlo Simulation Value at Risk Bar Chart... 19 3. Portfolio Monte Carlo Simulation Value at Risk... 20 P a g e 1

4. Monte Carlo Simulation Sample SSRS Bar Chart... 21 5. Monte Carlo Simulation Histogram... 22 6. Portfolio Risk decomposition... 23 7. Portfolio Risk Decomposition Charting... 24 8. Portfolio Decomposition Drill In... 25 9. Risk Decomposition sample Pie Chart... 26 10. Portfolio Group Histogram Report... 27 B. Reports... 28 1. Portfolio Group Value at Risk percentage of its Market Value... 28 2. Portfolio Group Value at Risk percentage of its Market Value detail... 28 3. Portfolio Risk Decomposition by holdings... 29 4. Portfolio Risk Decomposition grouping... 31 5. Issuer Report... 32 6. Aggregated Delta Report... 33 7. Histogram of Returns... 34 8. Portfolio Marginal Value at Risk... 35 9. Portfolio Bar Chart... 36 10. What if Portfolio Decomposition Analysis... 37 11. What if Portfolio Decomposition Analysis Bar Chart... 38 IV. Historical Simulation... 39 A. System Screens... 39 1. Portfolio Histogram... 39 2. Portfolio Historical Simulation Value at Risk... 40 3. Portfolio Market Value Bar Chart... 41 4. Portfolio Group Historical Simulation Value at Risk... 42 5. Portfolio Group Histogram Report... 43 P a g e 2

A. Reports... 44 1. Portfolio Group Value at Risk percentage of its Market Value... 44 2. Portfolio Group Value at Risk percentage of its Market Value detail... 44 3. Histogram of Returns... 45 4. Draw-down Report... 46 5. Moments & Extra Portfolio Metrics... 47 6. CDaR Historical Simulation... 48 7. CDaR Historical Simulation variation with Greeks... 49 V. Other Reports... 50 1. Stress Testing Report... 50 2. Stress Testing Yield Curve Effect... 51 3. Stress Testing Per Asset Effect... 52 4. Stress Testing Original vs Stressed Market Value... 53 5. Back Testing Report... 54 6. Back testing screen... 55 7. Back Testing Chart... 56 8. Portfolio group threshold alert... 57 9. Portfolio group threshold alert with variable boundary... 58 10. Portfolio Group vs Threshold... 59 11. Coupon projection per currency and overview... 60 12. Top 10 volatilities in portfolio holdings... 61 13. Portfolio holdings component VaR vs Weights spider chart... 62 14. Portfolio vs Benchmark weights... 63 15. Price Variations Lookup... 64 VI. Additional Reports... 65 1. UCITS contribution... 65 P a g e 3

2. Basel Report... 66 3. MiFid Model Tracker Report... 67 About KlarityRisk... 68 P a g e 4

I. SS&C Advent Integration 1. Paragon Menu Figure 1 : Paragon menu with APX combined reports P a g e 5

2. APX Paragon Menu Figure 2 : Paragon combined reports in APX reports Menu P a g e 6

3. Risk Calculation Thresholds Figure 3 : Monitoring Risk calculation thresholds in APX dashboards P a g e 7

4. Risk Metrics in APX dashboards Figure 4 : Portfolio group Value at Risk Monitoring in APX dashboards P a g e 8

II. Parametric Methodology A. System Screens 1. Portfolio Parametric Value at Risk P a g e 9

2. Portfolio Parametric Value at Risk Sample Bar Chart P a g e 10

3. Portfolio Positions Figure 5 : Paragon calculates the positions by repricing the non-linear instruments. P a g e 11

4. Portfolio Positions Sample Bar Chart Figure 6 : Paragon reporting is based on SSRS that it is easy to customize t it according to your preference. P a g e 12

5. Portfolio Group Positions Figure 7 : Most reports can be run also for groups and consolidated portfolios or funds. P a g e 13

6. Portfolio Group Parametric Value At Risk P a g e 14

7. Portfolio Group Positions P a g e 15

B.Reports 1. Portfolio Group Value at Risk with Threshold Figure 8 : This report/dashboards shows the portfolio outcome VaR for a group of portfolios together with their respective thresholds. Available for all methodologies in the system. P a g e 16

2. Portfolio Group Value at Risk percentage of its Market Value Figure 9 : Available for all the supported methodologies. 3. Portfolio Group Value at Risk percentage of its Market Value detail P a g e 17

III. Monte Carlo Simulation A. System Screens 1. Portfolio Group Monte Carlo Simulation Value at Risk P a g e 18

2. Portfolio Group Monte Carlo Simulation Value at Risk Bar Chart Figure 10 :Group Positions Bar Chart, also available for Group Positions, VaR/Market Value, Expected Shortfall /Market Value, Relative VaR/Market Value. P a g e 19

3. Portfolio Monte Carlo Simulation Value at Risk Figure 11 : Grouping Available in all classifications such as Asset Class, Risk Country, Sector, Group, Type etc. P a g e 20

4. Monte Carlo Simulation Sample SSRS Bar Chart Figure 12 : Top 10 Positions Bar Chart P a g e 21

5. Monte Carlo Simulation Histogram Figure 13 : Portfolio return distribution, also available in percentage. P a g e 22

6. Portfolio Risk decomposition Figure 14 : Portfolio Decomposition by holdings system screen P a g e 23

7. Portfolio Risk Decomposition Charting Figure 15 : Portfolio Top 10 Component Value at Risk Bar Chart. Also available Marginal VaR Bar Chart, Component VaR Pie Chart and Positions Bar Chart. P a g e 24

8. Portfolio Decomposition Drill In Figure 16 : Grouping Risk by all available classifications in the system is done on done on the fly. Available standard classifications such as Asset Class, Group, Sector, Type but also calculated ones. P a g e 25

9. Risk Decomposition sample Pie Chart Figure 17 : Portfolio Component Value at Risk Pie Chart P a g e 26

10. Portfolio Group Histogram Report Figure 18 : Shows the return distribution of multiple portfolios in a group. Portfolio Histogram P a g e 27

B.Reports 1. Portfolio Group Value at Risk percentage of its Market Value 2. Portfolio Group Value at Risk percentage of its Market Value detail P a g e 28

3. Portfolio Risk Decomposition by holdings P a g e 29

P a g e 30 Figure 19 : Portfolio Risk decomposition analytics report with configurable bar chart.

4. Portfolio Risk Decomposition grouping Figure 20 : Available groupings are Swap Matching, Asset Class, Region, Risk Factor, Moody`s Rating, S&P Rating, Fitch Rating, Risk Country, Security Type, Industry Sector, Capitalization, Industry Group, Issuer. P a g e 31

5. Issuer Report Figure 21 : This report is available for all methodologies in the system. P a g e 32

6. Aggregated Delta Report Figure 22 : Report available for Monte Carlo, Historical and Stress Testing. The report groups portfolios Delta values using different various instrument classifications. P a g e 33

7. Histogram of Returns Figure 23 : The histogram of returns represents the frequency each return value has be appeared within the selected timeframe. The report can be run for both Monte Carlo and Historical as a percentage or absolute value. P a g e 34

8. Portfolio Marginal Value at Risk Figure 24 : Two different views of the portfolio Marginal Value at Risk calculations. P a g e 35

9. Portfolio Bar Chart Figure 25 : Top 10 positions (top) and top 10 Component Value at Risk (bottom) P a g e 36

10. What if Portfolio Decomposition Analysis Figure 26 : The report compares any selected portfolio values with another portfolio or its corresponding what if portfolio. The holdings can be grouped for all the available system classifications, and the report can be run in Monte Carlo only. P a g e 37

11. What if Portfolio Decomposition Analysis Bar Chart Figure 27 : Twin Bar Charts showing Component VaR and Marginal of each portfolio with their respective what if. P a g e 38

IV. Historical Simulation A. System Screens 1. Portfolio Histogram Figure 28 : Shows the true portfolio distribution of returns, also available in percentage. P a g e 39

2. Portfolio Historical Simulation Value at Risk Figure 29 : Grouping available in all classifications such as Asset Class, Group and Sector P a g e 40

3. Portfolio Market Value Bar Chart Figure 30 : Portfolio Top 10 Positions in terms of Market Value P a g e 41

4. Portfolio Group Historical Simulation Value at Risk Figure 31 : Available columns are beta, Vega and portfolio Duration. P a g e 42

5. Portfolio Group Histogram Report Figure 32 : Available columns are Rho, Theta, Duration, Vega, FX delta, Equity Delta. P a g e 43

A. Reports 1. Portfolio Group Value at Risk percentage of its Market Value 2. Portfolio Group Value at Risk percentage of its Market Value detail P a g e 44

3. Histogram of Returns Figure 33 : The histogram of returns represents the frequency each return value has be appeared within the selected timeframe. The report can be run for both Monte Carlo and Historical as a percentage or absolute value. P a g e 45

4. Draw-down Report Figure 34 : This shows the portfolio returns over time, the largest drop in the period with red and the amount of days it took to recover in red. P a g e 46

5. Moments & Extra Portfolio Metrics Figure 35 : This report runs for Historical Simulation and, and can also be run as a system dashboard. P a g e 47

6. CDaR Historical Simulation Figure 36 : Historical Simulation report data with CDaR, Instrument classifications, and Market Market Value Bar Chart. P a g e 48

7. CDaR Historical Simulation variation with Greeks Figure 37 : Historical Simulation report data with CDaR, Greeks, and Weights Pie Chart. P a g e 49

V. Other Reports 1. Stress Testing Report P a g e 50 Figure 38 : This report is available for both predictive and simple Stress Testing results.

2. Stress Testing Yield Curve Effect Figure 39 : Paragon has the ability to represent the stressed yield term structure vs the actual one for each currency included in the portfolio. P a g e 51

3. Stress Testing Per Asset Effect Figure 40 : Paragon represents the stressed Market Value in a bar Chart. P a g e 52

4. Stress Testing Original vs Stressed Market Value Figure 41 : Paragon`s Stressed vs Actual Market Value of holdings in a Bar Chart. P a g e 53

5. Back Testing Report P a g e 54 Figure 42 : Displays the Back Testing chart (realized return versus calculated VaR) together with any matched exceptions.

6. Back testing screen Figure 43 : Paragon also includes thorough Back testing functionality with exceptions reporting. P a g e 55

7. Back Testing Chart Figure 44 : All Back Testing reports can be customized according to your preference. P a g e 56

8. Portfolio group threshold alert Figure 45 : Allows to visually see which portfolios are breaching or are close to breaching. P a g e 57

9. Portfolio group threshold alert with variable boundary Figure 46 : This report shows the calculated metrics of each portfolio in a group along with their set thresholds. A boundary field is also available that allows the user to customize the sensitivity of the warning level. P a g e 58

10. Portfolio Group vs Threshold Figure 47 : The portfolios/portfolio groups together with their respective thresholds can be presented in various ways. P a g e 59

11. Coupon projection per currency and overview Figure 48 : Portfolios coupon projection represented in a nicely way. Reports can be run for a set or for a specified year. P a g e 60

12. Top 10 volatilities in portfolio holdings P a g e 61 Figure 49 : Paragon calculates and represents volatilities in multiple ways.

13. Portfolio holdings component VaR vs Weights spider chart P a g e 62 Figure 50 : Holdings Component Value at Risk versus Weights in a nice SSRS Spider Chart

14. Portfolio vs Benchmark weights P a g e 63 Figure 51 : Benchmark Weights vs Portfolio Weight per holding.

15. Price Variations Lookup Figure 52 : Allows the user to monitor Instruments, Indices and FX rates for missing values. P a g e 64

VI. Additional Reports 1. UCITS contribution P a g e 65

2. Basel Report Figure 53 : A sample Basel report statement. P a g e 66

3. MiFid Model Tracker Report P a g e 67 Figure 54 : A report that allows the user to track the risk and expected return of a set of Models.

About KlarityRisk KlarityRisk (www.klarityrisk.com) is an award-winning Risk Analytics, Risk Management and Regulatory Risk Reporting software and services provider, focused on the buy-side sector of the investment management industry. KlarityRisk products allow wealth and portfolio managers keep portfolio risk workflows on track with a comprehensive set of tools, methodologies and measurements, aiming to control risk exposures via timely and continuous monitoring and reporting of investment s risk. KlarityRisk allows wealth managers to operate in a true STP environment, acquiring all data via your back office system, maximizing the use of their technology investment for client service excellence. More details at sales@klarityrisk.com 40 Gracechurch St. London EC3V 0BT United Kingdom Telephone: +44 (0) 207 118 7088 Email: info@klarityrisk.com Website: www.klarityrisk.com Copyright 2016 KlarityRisk. All rights reserved. Information subject to change without notice. Paragon, the Paragon logo, are registered trademarks of KlarityRisk S.A. All other products or services herein are trademarks of their respective owners. P a g e 68