Margins calculation

- Replication of native algorithms (SPAN, PRISMA,TIMS) used by the Clearing Houses for all instruments listed on regulated markets.

- Markets covered:most of the worldwide derivatives markets are already integrated.

- Margin calculations in End-Of-the-Day mode (by using the official End-Of-the-Day risk array) or in Real-Time mode (by recalculating in real-time the risk array based on real-time market data).

- Scenario analysis: margins calculations assuming bullish and bearish trends in order to evaluate the market risk impact on the required margins.

-Pre-trade simulation: to assess the impact on margins of orders or simulated positions.

- Real-time liquidity calculation in order to anticipate potential liquidity issues. These are usually only available the next day due to limitations in the back-office derivatives systems.

- Integrated sensitivity analysis and Greeks computation of the Portfolio in real-time.

- Quantitative and graphical What-if analysis in order to manage complex positions by a qualitative point of view.

- Setting of operating limits based on customizable policies and with real-time monitoring.

- Identification of current and potential Most At-Risk customers in case of market changes of a predetermined percentage level (eg +/- 5%)

- Liquidity creation: real-time identification of the positions to be closed in order to get a net positive effect on liquidity.

- Customizable automatic reports for continuous monitoring of the Most At-Risk positions.


Market Risk

- VaR calculation with the three standard methods (Parametric, Historical Simulation and Monte Carlo Simulation) with particular focus on Historical Simulation through the use of different proprietary models.

- The proprietary models models can calculate the VaR of very complex positions in derivatives optimizing the results and allowing an easy fit of the legal / regulatory limits through a careful initial calibration of the models.

- Markets covered and instruments: the system provides the VaR calculation for all listed instruments on regulated markets.

- Stress test and back test.

- Accurate support for the selection of the model, definition of the parameters and eventual periodic review of the model.

- Product is integrated on-site on top of the existing technological structure in order to optimize data flow (portfolio data, market data and clearing data for the calculation of the margins) that is already at hand.

- Computational speed: proprietary processes yield greater speed of calculation on the existing and simulated positions.

- Tailor-made economic offer.


Technology

- Dual technology: Windows applications for the Front, web applications for consultants / advisors / promoters / customers.

- The application for the Front is designed as a Windows application to be installed on-site. Margins Cube Viewer is an application that offers great performance, real-time notifications, pre-trade simulations, multi-screen support, to allow monitoring of a multitude of portfolios in a short time.

- External users access "Margins Web Cube" a web application of the latest generation that can be reached from any browser and from any device (PC, Mac, iPad, iPhone). It displays the portfolios’ main information (i.e. positions and margin requirements) and eventual simulations.


Input data flow for the system

- Symbols / tickers: instruments are converted to Cube Ticker, a unique code generated and managed by Cube Finance.

- End-of-the-day portfolio data: the Cube Interface synchronizes the positions with back office data or on other media (various types of files or external databases).

- Flow of market data: the system can be interfaced to real-time market data through a Bloomberg, Reuters or another data provider's license) to perform real-time calculation of the margin requirements.

- Intraday positions update: where provided, intraday executions will be received and consolidated in positions. The same applies to the intraday liquidity, implemented as an input or calculated by the system according to the executed trade flows.


Support and assistance

- For the traditional conditions of assistance kindly refer to the relative section.

- Cube Risk also features a level of assistance that allows to receive urgent, short term support to solve any particular problem. This support is not only technological but also includes e.g. financial and/or operational advice.