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
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
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