Margin & Collateral Management

Combined under the umbrella of an integrated solution margin and collateral management effectively provided for bilateral, listed and OTC cleared derivatives. RiskValue allows an automatic generation of initial and variation margin on a daily basis required per CCP algorithm, as well as the ability to reconcile periodically to the clearing member.

Main Features

Managing the credit exposure under the legal agreements such as GMRA, ISDA and the associated CSA.

  • Register of collateral transactions
  • Support of diverse asset classes
  • Calculation of margin calls and provision of the suggested credit support (cash and collateral) amounts
  • Early warning indicators and notifications for breached limits with user defined messages

​The registration and maintenance of collateral includes the following procedures through RiskValue:

  • Collateral agreements definition
    • Portfolio content rules: which transactions are assigned to be collateralized under an agreement
    • References to principals, counterparties, branches and subsidiaries
    • References to product codes or individual transactions
  • Collateral eligibility requirements and exposure classification rules
  • Pricing parameters - Definition of sources for prices, rates, and ratings, and also maintenance of haircuts applied to any collateral in the relevant agreement’s portfolio in order to value that collateral
  • Calculation parameters
    • User-definable definition of thresholds, minimum transfer amounts (MTAs), rounding amounts, event deadlines needed to correctly compute and manage margin call obligations for both initial and variation margin
    • Rules regarding netted and non-netted independent amounts

Margin and collateral monitoring

RiskValue fully replicates the algorithms used by Central Clearing Counterparties (CCPs) globally to calculate the margin requirements for listed derivatives and cleared OTC transactions as well as for non-centrally cleared derivatives according to ISDA guidelines. This means that you may monitor your own or your customer’s margin requirements during the entire trading session, even in situations where the markets have moved significantly. 

  • RiskValue provides an overview of collateral, market positions and margin call conditions, available and eligible positions and all the upcoming corporate action events
  • Initial and variation portfolio margin calculation
  • Margin calls calculation on assumed or actual settlement
  • Multiple levels of user defined warning messages
  • On-line trade updates to support the margin calls
  • RiskValue provides a wealth of pre-defined detailed reports suitable for assisting collateral managers and exception reporting i.e. overall exposure, margin calls and collateral valuation, calculation parameters and characteristics of each agreement
  • Workflow enables users to deliver pdf’s and emails of margin call notices and statements of various types to counterparties

Supported margin methodologies required by CCPs

  • Calculation of initial and variation margin per custodian, prime broker, managed account.
    • Full replication of algorithms for all listed derivative instruments
    • Decomposition and margin analysis per position
    • Automatic update of risk parameters through interfaces with exchanges
    • What-if-scenario: position and price adjustments
  • Margin Algorithms
    • Risk Based Margining & Prisma (EUREX)
    • SPAN margining
    • RiVa