Portfolio Margin

PHD is the leading provider of fully real-time exchange and “house” margin analytics. Our Hellafast® compute engine generates real-time, instrument-level P&L vectors configured to exchange standard methodologies. PHD’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 Hellafast compute platform, PHD 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

PHD 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.
  • PHD 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 PHD’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.

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