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Constraints are tests that are applied to portfolio properties and underlyings. 

Constraints may serve many purposes. They can be used to monitor investment guidelines, customer compliance, or legal restrictions. Constraints measurements can be applied as weightings and aggregated weightings (percentage weight of the AUM), number (physical count), and to portfolios and underlying portfolio properties. Constraints can be created to ensure that the composition of a portfolio is what is intended.

After a portfolio evaluation (P&L calculation), the various constraints are tested by the constraints engine and are reported with the violations highlighted. Pre- and post-trade compliance monitoring and reporting are performed. Both ex ante (anticipated constraint test result based on proposed changes to the portfolio in the Front Office system) and ex post (back-dated testing on existing positions using revised constraints) testing is available.

Constraint violations are reported at three levels of severity: error, warning, and information. These aid the compliance officer in prioritizing the results and taking any required actions.

Constraints are tested at every portfolio valuation and also on request.

Constraint Groups:
Constraints are created in groups by level. Four levels are supported:

  • Company level: constraints that apply to all portfolios under management

  • Management-type level: constraints that apply to all portfolios of a specific management type

  • Portfolio level: constraints that apply only to the specific portfolio

  • User level: constraints that apply to a particular user

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