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™).
We recalculate initial margin at every point in the simulation, instead of using crude approximations.
Hosted service: no hardware or software requirements.
Quick and easy to implement.
10 trillion calculations per second.
Up and running in under 30 days.
Pay as you go, transparent pricing model with no onboarding fees.
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
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 for initial margin costs associated with trading with central counterparties
Diagnostic tools including cash flow analysis and expected initial margin curves
Market Wide Solution
triCalculate is the MVA solution of choice for a wide range of clients with different requirements
TriOptima holds the ISO 27001 certification, the highest international standard for Information Security
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