iTrader
Main Features
Portfolios monitoring
- PnL and holding details per portfolio and drill down into exposures per custodian, prime broker or managed account
- Multi-instrument and multi-exchange support, including OTC derivatives
- Average prices: average prices for contracts bought or sold, unit cost, total average price
- Valuations: Mark-to-Market, Mark-to-Model, Inflow, Outflow, Delta Equivalent, Settlement etc.
- Real time prices of each product and its underlying
- Instrument characteristics for each holding product
Cash Balances
- Analytic and static data per cash account
- Transaction and valeur balance expressed both in account’s currency and reference currency
- Early warning indicators for position limits, realized or unrealized loss, short of cash and margin requirements
Collateral Valuation
- Analysis of collateral holdings
- Gross and net value of collaterals
- Calculation of margin calls and provision of the suggested credit support amounts
Fixed-income and derivatives portfolio sensitivities
- Sensitivity analysis of derivatives and fixed-income portfolios
- Options’ theoretical prices
- What-if scenarios based on change of volatility or change of prices
Margin requirements
- Calculates margin requirements in real time via complete replication of relevant algorithms used by CCPs globally
- Calculation and decomposition of derivatives variation margin per position
- Various “Availability” warnings based on formulas (securities, cash and settlement availability)
- Capability of position what-if scenarios and price simulations for monitoring the effects on variation margin and margin call
VaR calculation
- Portfolio Value-at-Risk calculation based on latest market data
- Risk factor sensitivities and decomposition analysis
- Scenario analysis based on user defined criteria