Risk User Guide
S O LU T I O N S
Risk User Guide Clearwater Analytics offers dynamic and interactive investment risk reporting backed by daily reconciled portfolio data. ®
A variety of exposure reports are available with the flexibility for clients to customize and create additional reports.
Risk Exposure Reports Risk Exposure reports summarize portfolio exposures in both chart and tabular format. A selection of exposure reports is available within the Risk menu dropdown, including Country, Credit Rating, Equity Sector, Market Cap, Currency, Duration, Issuer Concentration, Sector and Security Type. However, an endless number of reports summarizing risk related data points can be created and saved using Clearwater’s flexible reporting capabilities.
Figure 1: Sample Clearwater Risk Exposure Report
Features • Chart Interactivity—Hover over sections of the chart to see additional data: market value, percent of total, etc. Click on sections of the chart to quickly expand underlying data. • Flexible Reporting—Add or remove columns, sort columns, rename columns, and group columns to the client’s specification. • Flexible Exposure Weightings— By default, exposures are weighted by “Market Value + Accrued.” In order to weight by book value, units held, or any other numerical value, choose from the dropdown within the Account and Date Selector. • Create Additional Reports—Use Clearwater’s “Save” feature to save modifications to existing reports and “Save As” to create an endless number of custom reports.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
Usability Tips • Browse the default exposure reports available in the Risk menu dropdown. • Right click on column headers for column options. • Create additional exposure reports based on any security data point by grouping by the security characteristic. • Customize existing reports or create new reports by using the “Save” or “Save As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
Credit Events The Credit Events report offers a consolidated view of any credit events affecting the portfolio over a specified date range. Clients can view rating upgrades and downgrades and changes in watch and outlook status in a single view.
Figure 2: Clearwater Credit Events Report
Features • Flexible Reporting—Add or remove columns, sort columns, rename columns, and group columns to the client’s specification. • Save Reports—Use Clearwater’s “Save” feature to save changes to existing reports.
Usability Tips • Modify the date range selected for the report by visiting the Account and Date Selector in the top-left portion of the screen. • Right click on column headers for column options.
Figure 3: Modifying the date range
• Try grouping by “Agency,” “Event Type” or “Account” to experiment with different views. • Customize existing reports or create new reports by using the “Save” or “Save As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
Index Comparison The Index Comparison report provides a convenient view into the high level risk exposures at the account level and the ability to quickly compare accounts to one another and to the assigned benchmark. Clients with multiple accounts and mandates will find the index comparison report particularly useful.
Figure 4: Sample Index Comparison Report
Features • Summary Level Data Comparisons—Quickly compare primary risk exposures, including yield, duration, and years to maturity, etc. • Chart Interactivity—Adjust the accounts and data points charted and hover over sections of the graph to see additional data. • Flexible Reporting—Add or remove columns, sort columns, and rename columns to the client’s specification. • Save Reports—Use Clearwater’s “Save” or “Save As” feature to save changes to existing reports or to save new custom reports.
Usability Tips • Modify the report date by visiting the Account and Date Selector in the top left portion of the screen. • Select or create an aggregate to compare simple accounts contained within the aggregate. • Accounts are grouped by the index applied. View simple accounts by expanding the index row. • Right click on column headers for column options.
Figure 5: Column Options
• Select “Chart This” to refresh the chart using data from a specified column. Select one or more simple accounts to refresh the chart with data from the specified accounts. • Customize existing reports or create new reports by using the “Save” or “Save As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
risk comparison Similar to the Index Comparison report, the Risk Comparison report allows a comparison of risk exposures between accounts and their assigned benchmarks. However, the Risk Comparison report provides an additional level detail into account and index holdings. For example, concentrations within specific sectors, duration bands, and credit qualities can be compared.
Figure 6: Sample Risk Comparison Report
Features • Detailed Data Comparisons—Compare detailed risk exposures, including holdings within specific sectors, duration bands, and credit qualities. • Flexible Reporting—Add or remove columns, sort columns, and rename columns to your specification. • Save Reports—Use Clearwater’s “Save” or “Save As” feature to save changes to existing reports or to save new custom reports.
Usability Tips • Select or create an aggregate to compare simple accounts contained within the aggregate. • Accounts are grouped by the index applied. View simple accounts by expanding the index row. • Right click on column headers for column options. • Customize existing reports or create new reports by using the “Save” or “Save As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
Shock Analysis The Shock Analysis report provides the estimated market value impact of parallel shifts in market yields. Individual duration and convexity values are used to provide changes in market value at the individual security level.
Figure 7: Sample Shock Analysis Report
Features • View multiple rate scenarios—Additional columns can be added with rates changes in increments of 5 basis points. • Flexible Reporting—Add or remove columns, sort columns, and rename columns to the client’s specification. Figure 8: Adjusting the basis point
Usability Tips • Modify the report date by visiting the Account and Date Selector in the top-left portion of the screen. • Right click on column headers for column options. • Try grouping rows by “Security Type” or “Credit Rating” to experiment with different views. • Customize existing reports or create new reports by using the “Save Report” or “Save Report As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
Var Clearwater’s VaR (Value at Risk) report calculates market value volatility risk based on past price volatility within the portfolio. More specifically, the report calculates and displays the maximum estimated market value shift over a userspecified date range and confidence interval.
Figure 9: Sample Clearwater VaR Report
Features • Flexible Date Range and Interval—Select the overall date range and the interval at which VaR should be reported. • Confidence Interval—Choose a 95% or 99% confidence interval. • VaR Period—Choose among a variety of options including daily, monthly, and yearly. • Portfolio and Index VaR—For accounts assigned benchmarks that supply constituent level data, view both the portfolio and index VaR in actual and percentage terms. • Account Balances and Trends—Add columns such as “Ending Market Value” or “Net Income” to analyze trends and quickly access account balances across multiple periods.
Usability Tips
Figure 10: VaR Period and Interval Selection
• Open the Account and Date Selector to modify the date range, range interval, VaR period, and confidence interval. • To clarify the interaction of VaR Period and Range Interval, selecting a monthly range interval with a daily VaR period (as an example), will result in a daily VaR provided for each month-end date. • Right click on column headers for column options. • See the VaR User Guide for more information, including Clearwater’s VaR calculations and methodologies.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
Risk User Guide Clearwater Analytics offers dynamic and interactive investment risk reporting backed by daily reconciled portfolio data. ®
A variety of exposure reports are available with the flexibility for clients to customize and create additional reports.
Risk Exposure Reports Risk Exposure reports summarize portfolio exposures in both chart and tabular format. A selection of exposure reports is available within the Risk menu dropdown, including Country, Credit Rating, Equity Sector, Market Cap, Currency, Duration, Issuer Concentration, Sector and Security Type. However, an endless number of reports summarizing risk related data points can be created and saved using Clearwater’s flexible reporting capabilities.
Figure 1: Sample Clearwater Risk Exposure Report
Features • Chart Interactivity—Hover over sections of the chart to see additional data: market value, percent of total, etc. Click on sections of the chart to quickly expand underlying data. • Flexible Reporting—Add or remove columns, sort columns, rename columns, and group columns to the client’s specification. • Flexible Exposure Weightings— By default, exposures are weighted by “Market Value + Accrued.” In order to weight by book value, units held, or any other numerical value, choose from the dropdown within the Account and Date Selector. • Create Additional Reports—Use Clearwater’s “Save” feature to save modifications to existing reports and “Save As” to create an endless number of custom reports.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
Usability Tips • Browse the default exposure reports available in the Risk menu dropdown. • Right click on column headers for column options. • Create additional exposure reports based on any security data point by grouping by the security characteristic. • Customize existing reports or create new reports by using the “Save” or “Save As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
Credit Events The Credit Events report offers a consolidated view of any credit events affecting the portfolio over a specified date range. Clients can view rating upgrades and downgrades and changes in watch and outlook status in a single view.
Figure 2: Clearwater Credit Events Report
Features • Flexible Reporting—Add or remove columns, sort columns, rename columns, and group columns to the client’s specification. • Save Reports—Use Clearwater’s “Save” feature to save changes to existing reports.
Usability Tips • Modify the date range selected for the report by visiting the Account and Date Selector in the top-left portion of the screen. • Right click on column headers for column options.
Figure 3: Modifying the date range
• Try grouping by “Agency,” “Event Type” or “Account” to experiment with different views. • Customize existing reports or create new reports by using the “Save” or “Save As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
Index Comparison The Index Comparison report provides a convenient view into the high level risk exposures at the account level and the ability to quickly compare accounts to one another and to the assigned benchmark. Clients with multiple accounts and mandates will find the index comparison report particularly useful.
Figure 4: Sample Index Comparison Report
Features • Summary Level Data Comparisons—Quickly compare primary risk exposures, including yield, duration, and years to maturity, etc. • Chart Interactivity—Adjust the accounts and data points charted and hover over sections of the graph to see additional data. • Flexible Reporting—Add or remove columns, sort columns, and rename columns to the client’s specification. • Save Reports—Use Clearwater’s “Save” or “Save As” feature to save changes to existing reports or to save new custom reports.
Usability Tips • Modify the report date by visiting the Account and Date Selector in the top left portion of the screen. • Select or create an aggregate to compare simple accounts contained within the aggregate. • Accounts are grouped by the index applied. View simple accounts by expanding the index row. • Right click on column headers for column options.
Figure 5: Column Options
• Select “Chart This” to refresh the chart using data from a specified column. Select one or more simple accounts to refresh the chart with data from the specified accounts. • Customize existing reports or create new reports by using the “Save” or “Save As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
risk comparison Similar to the Index Comparison report, the Risk Comparison report allows a comparison of risk exposures between accounts and their assigned benchmarks. However, the Risk Comparison report provides an additional level detail into account and index holdings. For example, concentrations within specific sectors, duration bands, and credit qualities can be compared.
Figure 6: Sample Risk Comparison Report
Features • Detailed Data Comparisons—Compare detailed risk exposures, including holdings within specific sectors, duration bands, and credit qualities. • Flexible Reporting—Add or remove columns, sort columns, and rename columns to your specification. • Save Reports—Use Clearwater’s “Save” or “Save As” feature to save changes to existing reports or to save new custom reports.
Usability Tips • Select or create an aggregate to compare simple accounts contained within the aggregate. • Accounts are grouped by the index applied. View simple accounts by expanding the index row. • Right click on column headers for column options. • Customize existing reports or create new reports by using the “Save” or “Save As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
Shock Analysis The Shock Analysis report provides the estimated market value impact of parallel shifts in market yields. Individual duration and convexity values are used to provide changes in market value at the individual security level.
Figure 7: Sample Shock Analysis Report
Features • View multiple rate scenarios—Additional columns can be added with rates changes in increments of 5 basis points. • Flexible Reporting—Add or remove columns, sort columns, and rename columns to the client’s specification. Figure 8: Adjusting the basis point
Usability Tips • Modify the report date by visiting the Account and Date Selector in the top-left portion of the screen. • Right click on column headers for column options. • Try grouping rows by “Security Type” or “Credit Rating” to experiment with different views. • Customize existing reports or create new reports by using the “Save Report” or “Save Report As” functionality by clicking the “Tools” dropdown in the upper-right portion of the screen.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
S O LU T I O N S
Var Clearwater’s VaR (Value at Risk) report calculates market value volatility risk based on past price volatility within the portfolio. More specifically, the report calculates and displays the maximum estimated market value shift over a userspecified date range and confidence interval.
Figure 9: Sample Clearwater VaR Report
Features • Flexible Date Range and Interval—Select the overall date range and the interval at which VaR should be reported. • Confidence Interval—Choose a 95% or 99% confidence interval. • VaR Period—Choose among a variety of options including daily, monthly, and yearly. • Portfolio and Index VaR—For accounts assigned benchmarks that supply constituent level data, view both the portfolio and index VaR in actual and percentage terms. • Account Balances and Trends—Add columns such as “Ending Market Value” or “Net Income” to analyze trends and quickly access account balances across multiple periods.
Usability Tips
Figure 10: VaR Period and Interval Selection
• Open the Account and Date Selector to modify the date range, range interval, VaR period, and confidence interval. • To clarify the interaction of VaR Period and Range Interval, selecting a monthly range interval with a daily VaR period (as an example), will result in a daily VaR provided for each month-end date. • Right click on column headers for column options. • See the VaR User Guide for more information, including Clearwater’s VaR calculations and methodologies.
accounting. compliance. performance. risk.
www.clearwateranalytics.com
