TTC first to use Prisma
10 March 2015 Boca Raton
Image: Shutterstock
The Technancial Company (TTC) has become first to market with Eurex Clearing Prisma 2.05 real-time margin methodology on its JANUS platform.
TTC is the first, and currently only, risk management provider to offer real-time recalculation of portfolio margins across complex portfolios using Prisma.
The JANUS Margin Engine is able to calculate margins according to the different exchange or clearing methodologies in microseconds and highlight the worst portfolio (the one requiring the highest capital allocation) and worst net positions.
Prisma offers a portfolio-based margin approach, which allows cross margining between products as well as across markets cleared by Eurex Clearing. This ensures that the reduced risk profile of portfolios is adequately reflected by lower initial margin requirements.
Mirko Marcadella, global head of business development at TTC, said: “The Eurex Clearing Prisma methodology has parameters that only JANUS can handle in real-time margin calculations.”
“Eurex is encouraging vendors to move to Prisma as soon as possible and, in any event, [Eurex’s] risk-based margining (RBM) will be discontinued at the end of 2015. But Prisma is a monster compared to RBM, with more than 2GB of margin parameter files to be processed by vendors every day and 1,000 scenarios, compared to 16 on RBM.”
JANUS products are positioned to allow clearers to take advantage of real-time portfolio valuation intraday, not only on open positions (trades) but also on the total potential portfolio positions representing the 'worst case' position that may result from execution of open orders, combined with the latest open positions.
TTC is the first, and currently only, risk management provider to offer real-time recalculation of portfolio margins across complex portfolios using Prisma.
The JANUS Margin Engine is able to calculate margins according to the different exchange or clearing methodologies in microseconds and highlight the worst portfolio (the one requiring the highest capital allocation) and worst net positions.
Prisma offers a portfolio-based margin approach, which allows cross margining between products as well as across markets cleared by Eurex Clearing. This ensures that the reduced risk profile of portfolios is adequately reflected by lower initial margin requirements.
Mirko Marcadella, global head of business development at TTC, said: “The Eurex Clearing Prisma methodology has parameters that only JANUS can handle in real-time margin calculations.”
“Eurex is encouraging vendors to move to Prisma as soon as possible and, in any event, [Eurex’s] risk-based margining (RBM) will be discontinued at the end of 2015. But Prisma is a monster compared to RBM, with more than 2GB of margin parameter files to be processed by vendors every day and 1,000 scenarios, compared to 16 on RBM.”
JANUS products are positioned to allow clearers to take advantage of real-time portfolio valuation intraday, not only on open positions (trades) but also on the total potential portfolio positions representing the 'worst case' position that may result from execution of open orders, combined with the latest open positions.
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