ReconciliationTools: reporting to track the settlement and returns of a fund
ReconciliationTools started off as a collection of VBA routines to automate the reconciliation of security settlements and positions, but because of the limitations of commercially available strategy P&L systems--that were more geared to commodity-equity-currency portfolios and couldn't properly handle the needs of multi-currency fixed income portfolios, it grew into a full-fledged strategy P&L system that not only calculates P&L, but enables the analysis of the P&L along many dimensions.
Notable Features
Full Strategy Level P&L
Track P&L by Strategy and Sub-Strategy.
Strategy Groups
Useful for grouping together related securities into a single aggregate position for P&L tracking. This is particularly useful if security-level hedges are assigned to a separate strategy for tracking aggregate hedges. You can run P&L with strategy grouping to effectively regroup those securities with the securities they are hedging.
Choice of Accounting Methods by Security
The focus of Strategy P&L is generally economic accounting, but since many portfolio accounting systems are not as "security aware" as RiskSim, RiskSim can generate P&L using other accounting methods. For example, the tax P&L of securities that pay inkind is very different from the eocnomic P&L. RiskSim can use the PAC (Prepay Assumption Catchup) method for interest-only securities or Basis Recovery methods for distressed securities. The accounting method can be set at the security level or you can run separate reports using different accounting methods.
Security Financing Allocation
For leveraged portfolios, allocate financing interest to put all strategies on an equal footing. Special financing will be allocated properly across positions for issues that are trading tight in the repo market.
FX Hedge Allocation
While the primary focus is on base P&L, high-yielding securities that are hedged back into a base currency often incur large currency-hedge carry losses. RiskSim can allocate the currency-hedge carry to the position to properly reflect the true economics of the trade.
Portfolio Composition Reporting
Track the portfolio asset mix or other relevant portfolio statistics, such as duration, over time.