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Why should MVA be important to you?

Efficiently calculate margin valuation adjustment (MVA) to determine the lifetime costs of posting initial margin.

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High-performance MVA analytics

The phased introduction of bilateral initial margin (IM) continues to affect institutions of gradually decreasing size, and the need for a centralised MVA calculation solution continues to be felt across the market.

The new rules require the posting of IM for new bilateral OTC derivatives trades. The funding of IM comes at a cost, which will vary over the lifetime of the trade and be calculated on the whole netting set of the counterparty relationship. MVA is the expected cost of funding IM until maturity of the longest trade in the netting set.

With triCalculate, users get accelerated, web-based MVA calculations on the Standard Initial Margin Model (SIMM™).

Key Features

Accuracy

We recalculate initial margin at every point in the simulation, instead of using crude approximations.

Resource efficiency

Hosted service: no hardware or software requirements.
Quick and easy to implement.

Speed

10 trillion calculations per second.
Up and running in under 30 days.

Cost effective

Pay as you go, transparent pricing model with no onboarding fees.

Pre-Deal Check
Run various pre-deal scenarios to understand the incremental MVA costs of adding or removing one or more trades to a netting set and make quick decisions on the optimal netting set for new trades

 

Sophisticated Methodology
Probability Matrix Method implemented on state-of-theart GPU hardware with 100,000 Monte Carlo paths as our standard

 

Industry Standard Methodology
Methodology utilized is the industry standard ISDA Standard Initial Margin Model (ISDA SIMM™)

CCP-MVA
CCP-MVA for initial margin costs associated with trading with central counterparties

Diagnostic Tools
Diagnostic tools including cash flow analysis and expected initial margin curves

Why choose triCalculate?

Market Wide Solution
triCalculate is the MVA solution of choice for a wide range of clients with different requirements

 

Secure
TriOptima holds the ISO 27001 certification, the highest international standard for Information Security

Transparent
Full modelling documentation is available

Superior Customer Support
Valuation Analyst team provides 24/5 assistance customizing the service for an individual’s portfolio, mapping trades, managing runs, and interpreting data

For more about how triCalculate can help with your MVA calculations and valuation needs, please complete the form below;