TriOptima, a NEX Group (LON:NXG) business which lowers costs and mitigates risk in OTC derivatives markets, announced today that it has added MVA (margin valuation adjustment) analytics to its triCalculate XVA (X-Value Adjustment) service. MVA calculations determine the lifetime costs of posting initial margin as part of the pricing of an OTC derivative.
TriOptima is at the forefront of XVA analytics with the introduction of an MVA service that addresses the needs of firms subject to new initial margin rules for OTC derivatives. Pricing trades correctly is critical to ensuring accurate credit risk, counterparty exposure and funding management. The rules affect both cleared and non-cleared trades. While the posting of initial margin has always been a part of the central clearing process, the new rules mandating the posting of initial margin for non-cleared OTC derivative trades are being phased in from this year through 2020 and will affect most market participants.
triCalculate MVA is especially important to market participants calculating initial margin for non-cleared derivative trades under the ISDA Standard Initial Margin Model (ISDA SIMM®) that has been widely adopted as an industry standard methodology.
Clients use triCalculate to generate independent trade and netting set level XVA calculations as well as risk sensitivities. They can access the platform to check the MVA implications of a trade before execution without delaying trading activity.
Mireille Dyrberg, COO of TriOptima and head of triCalculate, said:
We were quick to understand that the market needed an MVA service that would deliver accurate and fast MVA results for pricing trades. As such we rapidly developed and integrated MVA into our suite of triCalculate XVA analytics to provide the market with a reliable, cutting edge way to manage their credit and funding exposures.
Utilising state-of-the-art computer technology and the Probability Matrix Methodology, triCalculate generates results via a secure, web-based interface in minutes instead of hours. This advanced modelling improves accuracy and reliability and ensures the effective management of credit risk costs with minor resource investment.
triCalculate is TriOptima’s high performance, centralized risk analytics service that provides a web-based service to price, report and validate XVA risk calculations across a wide range of asset classes and instrument types and is accessible to multiple users and business units in a firm.