Common OTC Analytics

Pre-trade pricing engine for OTC derivatives
Advantages
  • Regulatory eligiblity and pricing at the same trading screen
  • Compare between different strategies (Bilateral, clearing) and maximize P&L
  • Easily Integrates with any system, strategy and workflow
  • High performance analytical computing for the pre-trade environment
  • Updated with the latest regulation: MIFID II, EMIR, Dodd Frank, CRR/CRD IV, BIS-IOSCO
  • Updated counterparty database: IM thresholds, mandatory clearing status, CCP membership and trading venues

FUNCIONALITIES
Pre-Trade
  • Choose between different trading and clearing possibilities based on counterparty’s CCP and trading venues membership, clearing thresholds and product type
  • Analyze mandatory clearing thresholds
  • Product pricing based on incremental P&L structure up to maturity (XVA)
  • Regulatory capital charge cost estimation
  • Estimates margins to be posted to CCPs and bilateral contracts
Decision making
  • Analyse the most convenient CCP to clear at
Calculations
  • FVA-IMVA: margin funding cost estimation for CCPs and bilateral (IM, VM, default fund, IM bilateral (simplified method and advanced (SIMM))
  • KVA: Regulatory capital charge cost: RWA (CVA and CCR) – Leverage Ratio.
  • Calculations are made incrementally up to maturity
  • CVA hedge cost
  • Fees
Scope
  • CCPs
    • SwapClear
    • BME CleariEUREX (under developement)
    • CME OTC (under developement)
  • Bilateral CSA, New CSA contracts
  • IRS, FRA, OIS, ZC, FX DELIVERABLE FORWARDS, NDF
Methodology
  1. Compute pricing metrics on simulated trades under different scenarios
  2. Pricing metrics are estimated until maturity
  3. Analyze pricing metrics for the current portfolio and for the simulated trades in four scenarios:
    • Isolated
    • Incremental
    • Real
    • Real + Simulated
  4. Compute colateral funding cost based on user-configured curves
  5. P&L is estimated by converting future cost /income to cashflows. Discounting and agregating cashflows to obtain their present value
  6. Capital charge cost is computed using a user-defined return on capital