Collateral Management

FOREX/CFD COLLATERAL MANAGEMENT

Enables the monitoring of P/L and margin requirements, as well as the prediction of potential margin deficit/ brokerage risk, based on open/pending FOREX/CFD positions via its flexible scenario engine.

General Properties:

  • As-Is Reporting

  • Scenario Reporting

  • Symbol-Group based parameter definitions for spreads, margins and stop-loss limits

  • Realistic scenarios considering price levels as well as corresponding bid-ask spreads

 

Over The Counter Derivatives (OTC)

Enables the monitoring of MtM and margin requirements, as well as prediction of the potential margin deficit/ transfer amount based open OTC positions via its powerful scenario engine.

General Properties:

  • As-Is Reporting

  • Scenario Reporting

  • Client-Group based parameter definitions for margins

  • Instrument-Maturity-Underlying-Currency based flexible parameter definitions for initial/maintenance margins

  • 3 different Transfer Amount calculation focusing on maintenance margin, total loss and stop-loss.

  • Optional Value at Risk (VaR) or Expected Shortfall (ES) add-on for MtM margin calculation considering potential intraday losses

  • Yield Curve, price and volatility shock scenarios

  • Realistic scenarios focusing both on the variability of position P&Ls and collateral value

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