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:
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As-Is Reporting
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Scenario Reporting
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Symbol-Group based parameter definitions for spreads, margins and stop-loss limits
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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:
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As-Is Reporting
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Scenario Reporting
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Client-Group based parameter definitions for margins
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Instrument-Maturity-Underlying-Currency based flexible parameter definitions for initial/maintenance margins
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3 different Transfer Amount calculation focusing on maintenance margin, total loss and stop-loss.
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Optional Value at Risk (VaR) or Expected Shortfall (ES) add-on for MtM margin calculation considering potential intraday losses
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Yield Curve, price and volatility shock scenarios
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Realistic scenarios focusing both on the variability of position P&Ls and collateral value