A real-time application which gives the flexibility to set up multiple clearing, trading and managed accounts or groups of portfolios within a consolidated environment for detailed portfolio and risk monitoring.

Main Features

Portfolios monitoring

  • PnL and holding details per portfolio and drill down into exposures per custodian, prime broker or managed account
  • Multi-instrument and multi-exchange support, including OTC derivatives
  • Average prices: average prices for contracts bought or sold, unit cost, total average price
  • Valuations: Mark-to-Market, Mark-to-Model, Inflow, Outflow, Delta Equivalent, Settlement etc.
  • Real time prices of each product and its underlying
  • Instrument characteristics for each holding product 

Cash Balances

  • Analytic and static data per cash account
  • Transaction and valeur balance expressed both in account’s currency and reference currency
  • Early warning indicators for position limits, realized or unrealized loss, short of cash and margin requirements

Collateral Valuation

  • Analysis of collateral holdings
  • Gross and net value of collaterals
  • Calculation of margin calls and provision of the suggested credit support amounts

Fixed-income and derivatives portfolio sensitivities

  • Sensitivity analysis of derivatives and fixed-income portfolios
  • Options’ theoretical prices
  • What-if scenarios based on change of volatility or change of prices

Margin requirements

  • Calculates margin requirements in real time via complete replication of relevant algorithms used by CCPs globally
  • Calculation and decomposition of derivatives variation margin per position
  • Various “Availability” warnings based on formulas (securities, cash and settlement availability)
  • Capability of  position what-if scenarios and price simulations for monitoring the effects on variation margin and margin call

VaR calculation

  • Portfolio Value-at-Risk calculation based on latest market data
  • Risk factor sensitivities and decomposition analysis
  • Scenario analysis based on user defined criteria