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Capital Calculation

Providing an industry standard for capital calculation.

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Taking the burden out of margin and capital regulations

Capital Calculation provides a cost-effective solution for the generation of daily regulatory capital metrics in a timely and repeatable process. We provide the market data and understanding of the complex requirements so that you don’t have to. The service was designed for firms that are required to provide capital calculations to their prudential regulator yet may not have the internal resources available.

Capital Calculation works with industry-standard definitions and methodologies to generate regulatory capital metrics as prescribed by global regulators for all positions/counterparties. The service can replace costly internal processes or be run alongside them for internal model approval.

Using your ORE XML trade data along with IM and VM CSA details, we generate daily metrics including required valuations, sensitivity reports and detailed intermediate result files. Clients using IM Risk Generator can re-purpose the same trade data therefore increasing operational alpha.

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Features & benefits

Key Benefits

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Lower cost through community-led development and market data mutualisation

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Integrated with Post Trade Solution’s optimisation services, to optimise margin and capital

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Daily calculation feeds internal financial planning and regulatory reporting requirements

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Integrated data stores for trade, agreement and market data promote improvements in data quality and operational efficiency

Driving the derivatives industry forward

We offer more than just Capital Calculation. Find out how we can analyse your portfolio.

Insights

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Capital Calculation: Standardised vs. Model-Based Approaches

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The Impact & Implementation of SA-CCR | Quantile

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By submitting this form, you agree to your personal data being shared within the London Stock Exchange Group of companies (LSEG) for the purpose of receiving communications via post, phone and electronic means from LSEG about event, resources, products, and/or services.

For more information on how LSEG uses your data, see our Privacy Statement. You can adjust your preferences at any time through the preference link in any electronic communication that you receive from us.

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