Margin Analytics

PHD provides of real-time exchange and “house” margin analytics.  Our Hellafast 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 Hellafast 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

PHD 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.
  • PHD is actively engaged with the OCC and industry participants to develop and test the next generation TIMS methodology.

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. PHD 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.