CCP Margin Calculation

  • Margin Calculations directly from Excel
  • Are you using LCH SMART, CME CORE or ASX Online?
  • Would you prefer to use Excel?
  • For IM & VM Calcs, What-ifs, Optimize and more
  • 14-day trials are available to members and clients

Background

CCPs provide software tools for their members and clients to estimate initial margin requirements. Generally these are free to use, but for many users the hurdle of learning a new application, particularly for infrequent ad-hoc use is not a worthwhile investment in time.

However everyone uses Excel every day; or at least most people use on most days.

In which case being able to call CCP margin calculations from your Excel workbook is very useful. Not only to the occasional user but also to power users, who can integrate the calculations into their existing workbooks.

This is why we recently launched our CCP Margin for Excel product.

Excel Workbook

Lets take a look at how this works.

After downloading and opening the workbook, a Get Started sheet is shown.

Providing a tutorial on how to use the functionality, with links that allow you to try features.

Initial Margin

Switching to the Initial Margin sheet, we can see an area to load our existing trades, a panel to enter what-if trades and the ability to quickly see the what-if change of these trades on our Cleared Accounts.

What could be easier to use.

Variation Margin

Switching to the Variation Margin sheet, we can calculate intra-day variation margin for the same portfolio of accounts. Super useful, given the level of intra-day volatility we are seeing in markets today.

Optimize Margin

Switching to the Optimize sheet, we can work out which trades to move from one FCM/Broker account to another, in order to significantly reduce our overall gross IM.

How easy and simple is that and it could significantly reduce your margin requirement, funding cost and capital costs. What is not to like about that?

Other Sheets

There are other sheets that showcase more functionality.

It is easy to create your own sheets.

It is simple to integrate the margin functions into your own workbooks.

Given a choice, who would not prefer to use Excel.

Invitation to Try

If you currently use LCH SMART, CME CORE or ASX Online.

Or would use, if you had the time and inclination.

Why not contact us for a trial of CCP Margin for Excel.

We will first need to verify that you are clearing at the CCP in question.

Then we will be happy to offer you a free 14 day trial.

After which, we know you will want to become a customer.

After all, given a choice, who would not prefer Excel.

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