Exchange Margin Methodologies

Hanweck is the leading provider of real-time exchange and “house” margin analytics.  Volera® 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

Volera 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.

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.

Exchange Margin Methodologies

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


The Volera Value Proposition