Accurate and fast trade calculations to efficiently manage portfolio margins
The mandatory exchange of initial margin for uncleared derivatives under BCBS/IOSCO guidelines is driving the requirement for accurate and fast margin calculations. There is a need to quickly assess the impact of proposed trades, calculate accurate initial margin for completed trades, and seamlessly manage the margin exchange workflow to efficiently manage portfolio margin.
To help address these needs, we provide:
- Accurate Risk Sensitivities and Initial Margin calculations using the ISDA Standard Initial Margin Model (ISDA SIMMTM) and Schedule based models.
- Backtesting of SIMM over a historical period and Benchmarking of SIMM against the industry standard risk models to cover the Model Governance requirements.
- Initial Margin monitoring providing an accurate and flexible way to track Initial Margin exposures. The service is designed to seamlessly evolve into a complete Initial Margin calculation service as thresholds increase.
Why IHS Markit?
- Consistency – One source for initial and variation margin calculations
- Accuracy – Industry-leading valuations and risk sensitivities
- Connectivity – End-to-end margin management
- Customer Service – Experienced global customer service team
- Transparency – Trade visibility through any service level offered
- Flexibility – Various service levels including use of other risk sensitivity calculations and inputs
- 10+ Years – Track record of providing valuation services
- 400+ Clients – Geographically dispersed with an array of portfolios
- New Features – Increased scalability and enhanced performance