Portfolio Margin

Hanweck is the leading provider of fully real-time exchange and “house” margin analytics. Our Volera® compute engine generates real-time, instrument-level P&L vectors configured to exchange standard methodologies. Hanweck's Portfolio Risk Analytics combines these P&L vectors with real-time position information using exchange aggregation and offsetting rules to compute real-time exchange margin. 

Leveraging the hardware-accelerated Volera compute platform, Hanweck Portfolio Risk Analytics can easily tackle computationally intensive risk tasks such as large-scale “what-if” analysis, margin scenario analysis (i.e., how do margin requirements change with changes in the market) and margin optimization.

Supported margin methodologies include:

OCC TIMS and Enhanced TIMS

Hanweck generates real-time P&L vectors that conform to OCC’s risk-based portfolio margin methods and combines these vectors with customer positions.

  • 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.

OCC STANS

OCC Clearing Members can benefit from Hanweck’s real-time STANS margin engine to anticipate expected OCC requirements in real-time.

  • Real-time theoretical simulation on all OCC-cleared products, including volatility shocks.
  • Up-to-date positions including collateral.
  • For more detail, click here.

Futures Exchange Margin Methods

SPAN® methodology for CME and ICE US is also supported by Hanweck Portfolio Risk Analytics.

  • 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.
  • Gross/net exposure, sector/country concentration, volatility shocks, liquidity measures such as average daily volume.

The Importance of Real-time

The common approach used by other vendors is to perform intra-day updates using real-time positions but prior-day clearing house risk files. This dramatically limits a customer's ability to assess the risk and margin impacts of non-linear instruments in volatile markets. Hanweck dispenses with the static risk file and computes the risk vectors in real-time, enabling up-to-the-second margin requirements that fully capture current market conditions.

‘SPAN’ is a registered trademark of Chicago Mercantile Exchange Inc., used herein under license. Chicago Mercantile Exchange Inc. assumes no liability in connection with the use of SPAN by any person or entity.

Portfolio Margin

Assess risk and margin impacts in volatile markets, in real-time.


Download an Overview of the Hanweck Margin Engine