Risk Management
Anticipate Margin Calls
Replicate Central Counterparty Risk Models to optimise margin requirements and reduce the cost of clearing.
Replicate Central Counterparty Risk Models
Every CCP runs different margin models. We replicate them all.
Anticipate calls before they arrive and optimise across venues.
Margin Is Your Largest Daily Cash Obligation
Margin Volatility
Daily margin calls can swing by hundreds of millions in stressed markets, catching firms unprepared.
Model Opacity
CCP margin models are complex and proprietary; without replication, firms cannot forecast their obligations.
Regulatory Pressure
Basel III/IV, SA-CCR, and FRTB are increasing capital charges tied to clearing exposures.
Competitive Edge
Firms that can simulate margin before trading make better-informed decisions and allocate capital more efficiently.
Risk Models We Replicate
LCH Ltd / LCH SA
PAIRS (rates), SPAN (listed derivatives), portfolio margining
Eurex Clearing
Prisma (portfolio-based risk margining), cross-margining
CME Clearing
SPAN, SPAN 2 (next-gen portfolio margining)
ICE Clear Europe / US
IRM (Internal Risk Model), SPAN-based approaches
JSCC
Japanese CCP margining for rates and listed products
Additional CCPs
Extensible engine adaptable to any CCP model specification
Risk Management Capabilities
Initial Margin
Replicate CCP initial margin models with high accuracy
SPAN — Standard Portfolio Analysis of Risk for listed derivatives (futures, options)
SPAN 2 — CME's next-generation portfolio margining with improved risk sensitivity