Collateral & Margining

Market Risk & P&L

Front Office Risk

Valuation Adjustment

Credit Risk

Liquidity Risk

Switch out one group of instruments for another and survey the overall impact of inventory quality or any metric. Examine holdings and create new groupings of instruments. Catalogue financial instruments – group holdings by rating, maturity, risk sectors and other attributes and perform real-time portfolio analytics. Assess the suite of pledged securities and requirements and automate or run multiple optimization scenarios interactively. Optimize initial and variation margin and monitor a potential threshold when you near a breach of a CSA. Manage uncleared margin rules for OTC derivatives and risk not in SIMM.

Inventory Analytics

Among the challenges of inventory analytics is to manage large data updates and intensive queries at the same time. Atoti+, our high-performance computing platform, is ideal to solve this problem. Atoti+ lets you catalogue financial instruments by rating, maturity, risk sectors and any other attributes you choose. Quickly and easily switch out one group of instruments for another and examine the overall impact of inventory quality or any other metrics you plug in. Examine holdings and create new groupings of instruments. Perform real-time portfolio analytics and scale this exercise across the enterprise.

Collateral Optimization – 3 Case studies

The return of collateral optimization

Collateral Optimization

Examine the suite of pledged securities and automate or run multiple optimization scenarios interactively. Drill down to a granular level to see the attributes such as a cluster of a certain rating, inventory by counterparty or concentration of pledged and unpledged instruments. Use What-If scenarios to examine the impact of a ratings change or any CSA terms. Optimize the best usage of collateral and retain the best quality of positions. Automate the allocation process or compare multiple optimization strategies.

Real Time Intensive
Margin/Variartion Margin

An environment where you can monitor and optimize initial and variation margin in real time is a must have in current markets. Atoti+ gives users the ability to understand and explain what has changed on the IM/VM position in two clicks. It also lets you identify a potential threshold as you near a breach of a CSA or assess the best collateral to post. Perform What-If analyses before you close a deal, or simulate a different desk allocation, a netting set reorganization or any CSA term changes. Check the impact of market moves on variation margin and current collateral posted. Decompose the margin costs beyond the netting sets to allow for internal allocation.

Case Study : Risk Not In SIMM – Analyzing and Optimizing for Complex Risk Calculations

ISDA-SIMM

Manage uncleared margin rules for OTC derivatives and risk not in SIMM (RNIS). With our solution, you can explain the day-to-day changes in your margin and perform optimization strategies. Simulate any given trade with different counterparties and highlight the lowest SIMM amount. Change CSA parameters and see the impact on current margin levels. Examine second and third order of sensitivities and perform calculations by netting set. Execute a top to bottom analysis and identify the root cause of a particular number. Automate alerts and monitor any set breaches.

Innovative data analytics that empower financial services firms to be ready for the unexpected.