Common OTC Analytics

Common OTC Analytics is a pricing engine for OTC derivatives in a pre-trade environment

Advantages of OTC

Below is listed the advantages of Common OTC Analytics

Regulatory Eligibility and Pricing on the same trading screen

High performance analytical computing for the pre-trade environment

Compare different strategies (bilateral, clearing) and maximize the P&L

Updated with current regulations: MIFID II, EMIR, Dodd Frank, CRR / CRD IV, BIS-IOSCO

Integrable with any system, operative, strategies and workflows

Updated database with counterparts: IM thresholds, mandatory clearing status, CCP membership and trading venues

Calculations

  • FVA-IMVA: Estimate of the cost of guarantees until expiration
  • KVA: Consumption of regulatory capital: RWA (CVA and CCR)
  • Incremental estimation until expiration
  • Risk coverage cost CVA
  • Fees

Pre-Trade

  • Choose between the options of trading and clearing available according to membership of counterparts to CCPs and Trading
  • Venues, Clearing thresholds and Typology of productz
  • Analyze the thresholds for mandatory clearing
  • Valuation of products taking into account an analysis of the structure of costs and income to maturity (XVA)
  • Estimation of the consumption of regulatory capital
  • Estimation of the guarantees to be provided to CCPs or bilater

Decision making

  • Analyze the convenience of operating in one or another CCP

Scope

  • CCPsz
  • SwapClear
  • BME Clearing
  • EUREX (on development)
  • CME OTC (on development)
  • Billateral CSA, New contracts CSA
  • IRS, FRA, OIS, ZC, FX DELIVERABLE FORWARDS, NDF

Methodology

Next, the methodology used

Calculate the pricing metrics of the simulated operations in the different scenarios

Calculate the funding cost of the collateral based on the configured curves

Estimation of the metrics until the expiration of the operation

Estimate the costs and income at maturity and then calculate the present value of the cash flows

Analyze the costs derived from the operation taking into account the rest of the portfolio's operations, in the different scenarios

Calculate the cost of capital consumption based on the predefined ROI

Pre-Trade WorkFlow

Simplified example

Contact us

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Where we are?

Address: Chile 4, Oficina 28 (Las Rozas-Madrid)
Telephone: (+34) 91 636 85 35
Email: comercial@commonms.com

© Common Management Solutions 2017

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