Margin Analytics

Hanweck is the leading provider of real-time exchange and “house” margin analytics.  Our Volera® compute engine generates real-time, instrument-level P&L vectors that conform to exchange standard methodologies. These P&L vectors can be combined with in-house or third-party risk solutions to compute real-time exchange margin.

Leveraging the hardware-accelerated Volera compute platform, these P&L vectors are a special-case application of scenario analysis.  They are a powerful tool for managing pre- and post-trade risk and anticipating end-of-day clearinghouse requirements.

Supported margin methodologies include:

OCC TIMS and Enhanced TIMS

Hanweck generates real-time P&L vectors that conform to the Options Clearing Corporation's risk-based portfolio margin methods.

• Risk Based Haircuts (RBH) and Customer Portfolio Margin (CPM) variants.
• Hanweck is actively engaged with the OCC and industry participants to develop and test the next generation TIMS methodology.
  

Futures Exchange Margin 

Common futures exchange margin methodologies are also supported.

• Scenario and simulation methods utilizing worst-loss approaches.

Broker (“House”) Margin

Customized scenarios can also be created to client specification to create custom methodologies for “house” margin methodologies that augment statutory minimums.

• Scenario and simulation methods utilizing worst-loss approaches.
• Volatility shocks.