Cross-Asset Archives - Page 2 of 6

OSTTRA triResolve Margin: Preparing to Exchange IM

Client type: North American Regional Bank
Regulatory impact: UMR Phase 5 – AANA $/€50bn

Client summary

In-house solution used for collateral management with manual exchange of margin calls via email, combined with use of OSTTRA triResolve for portfolio reconciliation and dispute investigation. Subject to new uncleared margin rules (UMR) in phase 5. Primary focus was modernisation of their day to day process, including adoption of electronic messaging for margin call exchange, improved workflow support and replacement of legacy processes with automation, plus connectivity to IM infrastructure.

Problem

The use of old technology meant an over reliance on manual processing to support collateral requirements for several hundred margin agreements (both OTC & Repo). Users described the legacy solution as fragmented and error prone, resulting in slow and manual processing of calls. Further, the portfolio reconciliation and dispute investigation processes were not aligned with the collateral infrastructure, thus providing limited transparency. New UMR requirements were estimated to significantly increase margin call volumes.

Their existing collateral solution was designed for Variation Margin and would require extensive effort to build new automation and extend support for Initial Margin. The cost and resources required to extend the legacy system were large, and it became clear this approach didn’t align with the organisation’s strategy for risk and technology. Instead, they undertook an extensive review of vendor solutions via RFP, with the goal of identifying an automated vendor solution that provided support for both VM and IM via a single integrated service.

Solution

OSTTRA triResolve Margin was selected to replace the firm’s existing in-house collateral system with the objective of supporting both existing VM and new IM requirements following the September 1st deadline. As an existing OSTTRA triResolve portfolio reconciliation subscriber, the adoption of OSTTRA triResolve Margin was a natural fit.

This provided the ability to easily calculate margin calls using the data already submitted for reconciliation purposes, and with ‘one click’ integration between the services, they were able to eliminate the fragmented nature of their previous process. The firm also found new features from the added transparency of being able to see all margin calls derived using both their own, and counterparty, valuations.

With an expected increase in the volume of calls following UMR compliance, the firm required higher levels of automation. A key objective was to reduce the use of email for margin call communications, something they found both manual and slow. OSTTRA triResolve Margin not only solved this challenge with built-in connectivity to Acadia’s Margin Manager messaging service at no additional cost, but it also provides the Bank with the capability to automate the entire call workflow.

In order to provide both transparency and capability to manage disputes, the firm required a collateral solution that connects to both OSTTRA triResolve and Acadia’s Initial Margin Exposure Manager (IMEM) services. Use of OSTTRA triResolve Margin provides this connectivity with zero integration, allowing the Bank to easily drilldown into all VM and IM differences, identify issues, and collaborate with their counterparties to manage exceptions.

Our solution provides the firm with complete support for both VM & IM, an easy to use dashboard, new levels of automation, and connectivity with their counterparties using industry standard tools.

To learn more about Collateral Management, click here or contact us at info@osttra.com.

OSTTRA triCalculate XVA Calculations

Case Study 1

Client type: Leading regional bank
Existing XVA support: In house
End User: Fixed income desk responsible for the Bank’s XVA book

Challenges

Our client, who manages rates volatility and the bank’s XVA book from within the Fixed income desk, required fast and efficient calculations in order to check valuation adjustments for pricing/hedging new deals.

On top of this, our client uses total portfolio XVA for accounting and reporting purposes.

Before using OSTTRA triCalculate, the Bank was running XVA calculations in house which was time consuming. They have kept their internal calculation but use our service as a reliable benchmark in order to cross reference the numbers. They also benefit from the speed of our service when required to make quick trading decisions on pricing new deals. They found that relying on running the calculations manually in house using a spreadsheet produced numerous inconsistencies and was becoming an operational risk. They have now been using the service for more than three years and are very happy with the support and results they have received.

Case Study 2

Client type: Regional Bank
Existing XVA support: Alternative vendor installed software
End User: XVA desk with a focus on derivatives pricing

Challenges

Our client manages the XVA desk, with special focus on derivatives pricing including XVA adjustments and needed a fast and reliable source of XVA calculations (especially pre-deal checks) and to calculate overnight CVA/DVA.

The existing vendor solution was unable to handle the pre-deal checks fast enough. The client wanted to switch to a service which offered accurate and efficient pre-deal checks with as little disruption to the business as possible, they understood a switch to our solution would be smooth and well supported.

Case Study 3

Client type: Asset Manager
Existing XVA support: Vendor solution
End User: Counterparty Risk Manager

Challenges

The client is the Counterparty Risk Manager and needed a future-proof solution for ISDA SIMM™ calculation as required under the uncleared margin rules (UMR) regulation.

Additionally, the client needed to calculate pre-settlement exposure (PFE) daily, which they used as an input to determine trading availability per bilateral OTC counterparty. The client’s existing vendor was only able to provide PFE calculations and not IM calculations.

Case Study 4

Client type: Regional Bank
Existing XVA support: In house
End User: Risk Management Office

Challenges

The client is part of the Bank’s risk management office and needed CVA/DVA calculations for accountancy purposes.

They had not previously calculated XVA and needed a fast and reliable solution, with no ongoing maintenance required.

Case Study 5

Client type: Major multinational energy and gas company
Existing XVA support: In house
End User: Credit Risk Management with a focus on derivatives

Challenges

Our client manages the risk management and quantitative analytics team of a multinational corporate that was in scope for uncleared margin rules (UMR). They needed a sophisticated solution for both initial margin and XVA calculations, especially MVA (margin valuation adjustment) and ‘what-if’ pre-deal check scenarios to optimise bilateral IM exposures.

They had not previously calculated any XVA metrics and their existing in-house solution was unable to calculate initial margin and MVA, or perform any what-if pre-deal check simulations to optimise their global risk management. They needed a reliable solution that could assist with their regulatory requirements while requiring as little implementation as possible. Additionally, they also wanted to be able to benchmark their daily internal potential future exposure (PFE) calculations.

Our Solution

These firms took the decision to use OSTTRA triCalculate for their XVA and PFE calculations as the service provides a sophisticated, easy-to-use, web-based solution that automates the XVA calculation process and feeds the calculation results directly into a firm’s reporting mechanisms.

The streamlined onboarding was fast and smooth, minimising the impact on the business, and a case manager was assigned to handle any issues. OSTTRA triCalculate undertook all the data mapping ensuring that the firms existing data file formats could be uploaded directly via the API or via SFTP, giving the clients the option to fully automate the process without having to dedicate time on transforming the data into a specified file format. All clients benefit from having full transparency into XVAs, exposure profiles including expected exposures and expected IM and, if applicable, they can see the impact on these from pre-deal decisions.

To learn more about our XVA Calculation Service click here, or email info@osttra.com

Trade novation to support Asset Manager merger

Client type: Global Asset Manager

Challenge:

Following the completion of an asset manager merger, Custom Processing was approached to facilitate the transfer of selected funds and associated bilateral trades on OSTTRA MarkitWire and OSTTRA Trade Manager

OSTTRA Solution:

Following a review of the scope of work, the asset manager leveraged the Custom Processing team to handle all activities pertaining to the novation of trades across OSTTRA MarkitWire and OSTTRA Trade Manager

OSTTRA Delivered:

Novation of circa 1000 bilateral trades across OSTTRA MarkitWire and OSTTRA Trade Manager
Scope definition, planning and delivery with cross-functional team involving OSTTRA, incoming and outgoing party colleagues
Testing, issue resolution and authorisation for successful delivery in Production Environment
Counterparty coordination and tracking across 16 major banks
Handling of all client communications, from inception to go-live
Fully documented project plan and runbook – treated as a joint project
Project constituted repeat business from the asset manager due to previous successfully completed project

Customer Benefits

Streamlined, flexible bespoke project management
Defined project structure
Defined roles and responsibilities with single point of contact
Dedicated project manager and execution resources
Automated execution solution
Substantial cost savings

Focused, Tried and Tested

A repeatable and systematic service from OSTTRA, subject to continuous enhancement and evolution
Relationship management with internal and external project resources dedicated to meeting customer expectations
Full testing and issue resolution via pre-production and UAT Testing
Migration day execution and communications

For more information or to arrange a call with a member of the Team please email info@osttra.com.

EMIR Post Trade Risk Reduction Service Exemptions from ESMA and the FCA Come into Effect for OSTTRA

LONDON, 8 July 2025 – OSTTRA services have been granted exemptions from mandatory clearing obligations under EMIR by the European Securities and Markets Authority (ESMA) and from the public reporting requirements under MiFIR by the UK’s Financial Conduct Authority (FCA).

OSTTRA triBalance is currently the only provider in the EU approved to carry out post-trade risk reduction services under a clearing exemption, confirmed by ESMA on 16 June 2025. Additionally, the FCA’s exemption from the Derivatives Trading Obligation (DTO), post trade transparency reporting and best execution requirement took effect on 30 June 2025, removing a further obligation from UK based users of OSTTRA’s Post Trade Risk Reduction (PTRR) services. EU based users already benefitted from the equivalent exemptions that came into force with EU MiFIR 3 in 2024.

The clearing obligation was designed to reduce systemic risk by mandating central clearing for certain derivatives, however, the EMIR clearing obligation prevented the use of vanilla swaps for portfolio rebalancing. With the exemption now in place, the OSTTRA service can better optimise risk reduction through a more liquid and widely traded contract, marking a significant milestone in OSTTRA’s efforts to expand the use of post trade risk reduction services.

Previously, swaptions were used as a proxy, but these more complex and costly instruments limited the wider adoption of portfolio rebalancing. This reduced the broader benefits of multilateral participation, preventing widespread reduction of counterparty risk in the financial system. The exemptions from ESMA will better enable OSTTRA to support a wider set of market participants.

A similar decision from the Bank of England’s Prudential Regulation Authority (PRA) is under consideration; another key step towards enabling broader market participation. Work is also underway to facilitate similar exemptions from the CFTC and SEC for equivalent rules in the US under the Dodd-Frank Act, which will complete the regulatory alignment needed to fully support multilateral risk reduction and enhanced liquidity.

“This is an important development for our clients, who rely on our services to reduce risk in their portfolios,” commented Kirston Winters, Head of Legal, Risk, Compliance and Government and Regulatory Affairs at OSTTRA. “These exemptions allow us to deliver more efficient and accessible optimisation services, reducing operational complexity and enabling broader participation in multilateral risk reduction – ultimately strengthening the resilience of the financial system. We’re working closely with other regulators to provide additional exemptions, which will further enable firms to use post trade risk reduction services.”

To find out more, talk to a member of our team at at info@osttra.com.

Why Do We Disagree? How AI Solves One of Post-Trade’s Most Persistent Challenges

In post-trade operations, most problems are not caused by outright errors, they are caused by ambiguity. Trades that look different but are not wrong. Valuations that diverge for valid reasons. Numbers that do not line up, even though nothing has actually gone awry. At scale, that ambiguity is more than a nuisance – it becomes very expensive.

Across global markets, banks reconcile vast portfolios of trades every day. In most cases, counterparties broadly agree. But a small proportion of differences persist, feeding into portfolio reconciliation breaks, valuation discrepancy and, ultimately, collateral disputes. Each instance requires manual intervention, devouring time, human attention and in many cases, regulatory capital.

This is where artificial intelligence (AI) is beginning to matter in a tangible, impactful way.

A dispute problem, not a broken system

It is important to be clear about what this problem is and what it is not. Post-trade infrastructure is not failing. On the contrary, trades are confirmed, processed, and settled at extraordinary scale with remarkable reliability.

The challenge emerges much later. Over time, trades that once matched perfectly can appear differently in each counterparties’ internal systems. Present values move as markets move. Models diverge, volatility assumptions vary and FX rates are captured at different times of day. Time zones, calendars, and internal conventions all play a role. While most of these differences are often valid, proving that is difficult.

Over time, trades that once matched perfectly can appear differently in each counterparties’ internal systems.

As a result, banks often devote large teams to dispute management. Dozens of people may spend their days drilling down from portfolio-level differences to individual trades, trying to answer one deceptively simple question: ‘why do we disagree?’

The real risk is not that differences exist. It is that genuinely dangerous booking errors can be hidden among a much larger volume of explainable noise.

Signal versus noise

This is the distinction that really matters. In dispute management, the signal represents the handful of true errors that can pose genuine financial risk. The noise is everything else: timing effects, model differences, data conventions and benign inconsistencies that look alarming until properly explained.

In dispute management, the signal represents the handful of true errors that can pose genuine financial risk.

Historically, separating the two has been slow and manual. Teams work through disputes one by one, often without the full context needed to resolve them quickly. The result is operational drag, capital buffers held “just in case”, and less time spent on the issues that genuinely deserve attention.

AI changes this dynamic, not by replacing expertise, but by accelerating understanding.

What AI actually does in this context

The value of AI in post-trade is not abstract. It lies in pattern recognition across scale. Post-trade platforms occupy a unique vantage point maintaining a view of both sides of a trade. This means that not only do they witness how valuations evolve over time, but crucially – how similar disputes have been resolved in the past. Individual institutions simply cannot replicate this view on their own.

By applying advanced analytics and AI to this dataset, it becomes possible to explain a far greater proportion of differences automatically. Not by guessing, but by learning from history.

For instance, valuation differences driven by FX timing can look like serious breaks when viewed in isolation. But when analysed across time series data, exchange rate movements and historical behaviour, they can often be identified and explained with high confidence. What once required hours of manual investigation can be resolved far more quickly, and with clear supporting evidence.

From investigation to prioritisation

When explainable differences are resolved faster, two things happen. Firstly, operational teams spend less time proving that nothing is wrong. That reduces cost and friction across reconciliation and collateral processes.

Secondly, and more importantly, with the noise filtered out, the remaining pool of unexplained differences stands out more clearly. This is where genuine booking errors, model failures, or contractual misunderstandings hide.

In other words, AI helps teams prioritise risk, not obscure it. Adding to the toolbox, not replacing it. None of this suggests a radical break from existing post-trade practices. Human judgement remains essential – but what AI adds is leverage. It enhances the existing toolkit by removing friction and ambiguity at scale. It also allows experienced professionals to spend more time on high-value work and less time navigating false positives. This is particularly important as volumes continue to grow and markets become more interconnected. Complexity is not going away. The only sustainable response is better insight.

AI helps teams prioritise risk, not obscure it.

A pragmatic path forward

AI in post-trade does not need to be futuristic to be transformative. Its impact is already visible in dispute explanation, reconciliation efficiency and collateral workflows. The next phase is about extending that capability responsibly – applying intelligence where data is rich, outcomes are measurable, and human decision-making is enhanced, rather than displaced.

The goal is clarity, less noise, and sharper signals. By ensuring risk is no longer drowned out by ambient friction, AI facilitates a post-trade environment where material exposure is easier to identify and manage. While AI adoption is in its infancy, momentum will build as firms realise tangible, measurable gains in operational efficiency

Introducing the OSTTRA Digital Assistant: Your AI-Powered Gateway to Efficiency

The complexities of the post-trade lifecycle demand more than just robust infrastructure – they demand immediate, actionable clarity. In an environment where every second counts, the ability to seamlessly access information and navigate documentation is vital. At OSTTRA, we are committed to enhancing user experience and efficiency across all our applications by bridging the gap between static manuals and dynamic, AI-driven solutions.

In this third instalment of our series on artificial intelligence, we are pleased to announce the phased launch of the OSTTRA Digital Assistant, an intuitive, AI-powered widget that will be integrated directly into all our platforms. This initiative directly supports our goal of making client processes more efficient and ensuring our documentation delivers greater value through improved content and accessibility.

Beyond static documentation

Traditionally, users have had to navigate complex documentation and sift through extensive manuals to find the information they need. The OSTTRA Digital Assistant changes that experience. By moving beyond static interfaces, the assistant delivers immediate and direct answers to user queries, drawing on our entire knowledgebase to provide information exactly where it’s needed.

This initial rollout of our advanced AI-powered knowledge search is a foundation designed to dramatically streamline both the onboarding process and the day-to-day use of our platforms.

A vision for the future

The initial AI search is merely the first chapter. Our ambition is to evolve the OSTTRA Digital Assistant into a sophisticated, multi-functional tool capable of handling increasingly complex operational tasks.

Looking ahead, our strategy includes several exciting capabilities designed to transform operational efficiency:

In-depth insights: Easy access and retrieval of your data, analytics and summaries to simplify decisions and reporting.
Trade investigation: Functionality to investigate your trades, their statuses, and associated information.
Agentic workflows: In the long term, we aim to provide you with control over agentic workflows, automating complex sequences of tasks and decisions to drive a new level of operational efficiency.

Partnering for the future

The OSTTRA Digital Assistant represents a significant commitment to redefining how the industry interacts with complex data, making it more than a simple platform update. This rollout is a major milestone, built around the core needs of our clients, and its future evolution will be guided by their collective requirements.

Get in touch to learn more.

At OSTTRA, we are committed to the responsible and ethical development and deployment of Artificial Intelligence (AI), guided by our comprehensive internal AI Policy.

The Power of Post Trade: How OSTTRA is leveraging AI to deliver value and confidence

Introduction

by John Smith, CTO of OSTTRA

Change is the only constant at OSTTRA. Over the past two decades, we have built the essential post-trade infrastructure that underpins global financial markets. But we have never stood still. Our systems evolve alongside shifting regulations, market structures, and emerging technologies.

Today, we are leveraging this foundation — a deep network of shared connectivity, data, and industry standards — to unlock the transformative power of AI. By applying the lessons of the last twenty years, we are uniquely positioned to deliver AI’s benefits while minimising the friction of implementation.

We’ve started this journey from within, equipping all staff with Gemini, empowering our developers with code assist and integrating agents into workflows that drive efficiency across the firm.

In this series of articles, we will explore the specific use cases we are rolling out to our customers, starting with the core principles that guide our approach to innovation for the post-trade community.

The OSTTRA Vision: The New Era of AI in Post Trade – From Reaction to Anticipation

Artificial Intelligence is now a crucial, transformative force in the post-trade ecosystem. At OSTTRA, our clear vision involves leveraging this technology to optimise processes, mitigate operational risks, and deliver unparalleled value and confidence to the global market. We are not simply integrating AI; we are strategically embedding it throughout our technology stack to solve high-stakes, real-world problems and fundamentally enhance the efficiency, accuracy, and security of client operations.

A Philosophy of “Purpose over Hype”

Our approach is Cautiously Ambitious. We believe AI is a powerful solution only when applied to the right challenge, prioritising real-world utility and security over mere novelty. To accelerate innovation without getting caught in the “reinvention trap,” we have forged a deep strategic partnership with Google.

By leveraging Google’s cutting-edge AI infrastructure, pre-trained models, and generative AI capabilities—specifically tools like Vertex AI—we focus on two key areas:

Accelerated Innovation: Securely fast-tracking our Machine Learning (ML) and AI projects, allowing our central AI team to focus on the most impactful post-trade challenges.
Focus on Client Value: As expert users of AI, rather than frontier researchers, our efforts are directed entirely toward applying this technology to deliver measurable benefits to our clients

Data Security: Our Unwavering Commitment

The security and safeguarding of client data is paramount. We adopt a conservative, security-first approach, applying the same rigorous data protection framework to our AI applications as to all other mission-critical systems.

Our AI framework is built on three non-negotiables:

No Client Data Exposure: Client data and information are never exposed to vendors or external parties for AI training.
No Internal LLM Training: We do not tune or train Large Language Models (LLMs) on client data, eliminating the risk of internal data leaks.
Strict Governance: We maintain ironclad AI policies and are actively working toward ISO 42001 certification during 2026, ensuring adherence to the highest international standards for AI management.

Transforming Post Trade: An Engine for Client Value

While generative AI is used internally to boost our efficiency, our primary focus is transforming the client experience. We are committed to using AI to help clients resolve disputes, breaks, reconciliation, and processing failures, while providing the advanced insights necessary to prevent them altogether. This directly addresses the significant time and effort firms spend daily on trade processing and reconciliation.

AI’s Role: Resolution, Prevention, and Advanced Insights

AI is fundamentally changing the resolution landscape, which is often a significant drain on operational resources. By analysing vast streams of historical data, powerful AI applications can identify errors and understand their root causes.

Accelerate Dispute & Break Resolution: Intelligent analysis can pinpoint discrepancies and determine the most likely path to a matched trade, drastically speeding up confirmation. In many cases, AI will identify errors pre-matching or automatically resolve issues through dedicated agents.
Proactive Prevention: By analysing the reasons failures occur, AI provides clients with deep insights into potential systemic issues. This allows firms to correct problems at the source, transitioning from a reactive “firefighting” mode to a truly preventative operating model.

“We are creating intuitive, intelligent resources that automate tasks currently handled manually.”

Enhanced Self-Service and Future Automation

Beyond resolution and prevention, we are creating intuitive, intelligent resources that automate tasks currently handled manually. Tools like the OSTTRA Digital Assistant are already being rolled out, allowing users to employ natural language queries to receive concise, verified information, replacing traditional manual searches of documentation and support interactions.

Looking ahead, we envision intelligent agents delivering:

Highly Contextualised Responses: Tailored support that integrates client-specific data.
Workflow Guidance: Real-time support relevant to a user’s specific platform utilisation.
Proactive Recommendations: Suggestions to maximise the efficiency of the overall OSTTRA experience.

At OSTTRA, AI is the engine driving a future of reduced operational costs, improved risk management, and a superior client experience. Our strategic adoption and partnership with Google continue to bring unparalleled efficiency and trust to the world of post trade.

Proactive IM Management in the Face of SIMM 2.8+2506

The semi-annual recalibration of the ISDA SIMM model, version 2.8+2506 (reflecting data up to 30 June 2025), has been released and becomes effective on 6 December 2025¹.

This update introduces relatively modest changes overall. We see some of the biggest delta risk weight decreases in energy-sector commodities. Conversely, the most notable increases are in the credit qualifying space, specifically for high-yield and non-rated subsections within the financial and technology sectors. Most other risk weights and correlations across interest rate, commodity, and equity risk classes see only minor adjustments, and all concentration thresholds remain unchanged.

While these specific parameter changes may be small and likely have a minor impact on SIMM calculations, in the contemporary regulation-driven environment, we see a trend where the costs and complexities of managing initial margin are becoming a critical focus for liquidity and funding.

In this landscape, simply calculating the IM number is not optimal for managing margin costs, maintaining control over liquidity buffers and making funding projections. There is significant value in understanding its drivers and anticipating how it changes with time, alterations of the portfolio and under stressed market scenarios. The OSTTRA triCalculate service has a sophisticated suite of tools designed to address these exact challenges.

Stay ahead of SIMM version updates

Clients can anticipate IM impact from a SIMM recalibration. Well before SIMM 2.8+2506 becomes effective, OSTTRA triCalculate enables users to compare their current portfolio’s IM against the new model version.

Understanding daily IM movements

A common challenge we see is understanding why IM moves from one day to another, especially for portfolios dependent on many market factors. We have developed a dedicated attribution view to make this transparent. It allows for a drill down analysis from the top-level product class (e.g., Equity, Rates) to the individual risk factors and trades, as well as quantifying how much of the IM change can be attributed to market data moves versus new and expired trades.

Make informed strategic decisions

Effective IM management is forward-looking. To that end, we provide powerful tools for strategic planning:

Pre-Deal Checks: How will a new set of trades affect your margin? Our pre-deal check tool quantifies the marginal IM impact before execution. This insight can be crucial in deciding not just whether to trade, but how to trade, potentially aiding in the selection of a counterparty or the structuring of the transaction to be more margin-efficient.
IM Stress Testing: You can also project your margin exposure into the future. The service supports sophisticated IM stress testing, allowing you to bump market data or apply a theta shift (time decay) to predict future IM requirements under various scenarios.

Calculate the cost of funding

Funding initial margin over time can be a big financial burden and source of uncertainty. As part of our extensive XVA suite, we support MVA (Margin Valuation Adjustment) calculations. MVA quantifies the expected cost of funding initial margin over the lifetime of a portfolio. Clients are interested in MVA because it provides a measure of a major cost component associated with uncollateralised or partially collateralised trades, ensuring that pricing fully reflects the true economic cost of the trade’s full lifecycle.

Don’t wait for 6 December

The ISDA SIMM 2.8+2506 update is just the latest challenge in a complex and evolving margin landscape. With OSTTRA triCalculate, you can move from a reactive to a proactive IM strategy.

Contact us at info@osttra.com to schedule a demo or, if you are an existing client, to run a free impact analysis on your portfolio against the new SIMM 2.8+2506 model.

¹ https://www.isda.org/2025/10/31/isda-publishes-isda-simm-methodology-version-2-8-2506/

Navigating the Complexities of CVA Risk Capital Calculations: A Global Perspective

Basel III capital rules now require banks globally to choose between the Basic Approach (BA-CVA) and the more risk-sensitive Standardised Approach (SA-CVA) for calculating Credit Valuation Adjustment (CVA) risk. Many institutions, particularly in the EU, have initially favoured BA-CVA due to lower implementation costs.

In the EU, a significant factor influencing CVA risk capital strategy is the current exemption for corporate and sovereign trades, which reduces the capital cost considerably. However, the long-term stability of this exemption is uncertain. Its potential removal would significantly increase the required CVA capital, possibly shifting the balance in favour of SA-CVA for many institutions. This kind of regulatory uncertainty requires banks worldwide to carefully consider their CVA risk capital strategy and prepare for regulatory shifts.

The choice between BA-CVA and SA-CVA also has important implications for hedging strategies. While SA-CVA allows banks to incorporate market risk hedges into their CVA calculations, BA-CVA does not. Consequently, hedging to reduce P&L volatility might inadvertently increase capital requirements under BA-CVA. Banks, therefore, need to carefully weigh the trade-offs between simplicity, capital efficiency, and hedging effectiveness, a consideration relevant across all jurisdictions.

OSTTRA triCalculate XVA helps banks apply the most appropriate approach to different counterparties. This granular control is crucial for optimising capital and adapting to evolving regulations, both within specific jurisdictions and globally. Furthermore, OSTTRA triCalculate XVA leverages GPU technology to overcome the computational complexity of CVA sensitivity calculations. This enables efficient and timely generation of necessary risk sensitivities, even for large and complex portfolios.

With the Basel III capital rules already implemented in some jurisdictions, the UK set to adopt them in January 2027, and US regulations expected to follow, banks must take a proactive approach to CVA risk capital management. This involves not only considering the current regulatory landscape but also anticipating potential changes and understanding the interplay between CVA risk capital calculations and hedging practices.

A flexible and robust calculation solution, capable of handling the computational demands of CVA, is vital for navigating this complex and globally diverse environment, ensuring long-term compliance and capital efficiency.

OSTTRA triCalculate provides XVA risk calculations across credit, debt, funding, margin, capital and collateral for bilateral OTC derivatives. Our web-based service provides efficient XVA calculations using transparent and consistent models. To learn more, contact us or visit osttra.com/xva

OSTTRA launches new solution to digitise paper confirmations

NEW YORK, LONDON, 14th July 2022 – OSTTRA, the global post-trade solutions company, today announced the launch of a paper digitisation solution that enables market participants to reduce the amount of time it takes to process paper confirmations for complex over-the-counter (OTC) derivative transactions from hours to minutes.

The new solution is a significant enhancement to the existing paper trade workflows for Investment Managers on OSTTRA Trade Manager, automating trade review and matching processes to achieve faster confirmations. With tens of thousands of OTC trades still captured on long form paper, reviewing trade details, terms and conditions is an arduous task for all firms, resulting in significant operational cost and risk.

The enhanced solution uses Artificial Intelligence (AI) to extract and digitise critical details from pdf transaction records, such as the notional value of a swap or strike price of an options contract. Creating this digitised representation of the trade is critical to automating onward processing and reducing the risk of human error in reviewing or transcribing these complex transactions.

Umniya Ahmed, Executive Director, Investment Management strategy, at OSTTRA, said: “Historically, the time it takes to process and confirm a paper OTC trade can take days and in some cases weeks. No two documents have the same legal structure – which presents a major headache to a typical investment manager dealing with multiple counterparties and numerous instrument types. Our solution uses AI to adapt to any type of paper transaction, irrespective of length or format.

By adding a paper digitisation element to Trade Manager, Investment Managers will be able to process the more intricate derivatives transactions alongside their existing electronic trade flow – allowing them to monitor all their OTC trades in one place.”

The launch of this new solution reflects OSTTRA’s ongoing commitment to expanding its services for the Investment Management community, leveraging its global network to streamline and standardise post-trade workflows.

The paper digitisation solution is available for FX options and equity swaps from this month, and then fixed income options, commodity swaps and non-deliverable forwards (NDFs) from September.

OSTTRA was formed in 2021 through the combination of MarkitServ, Traiana, TriOptima and Reset, four businesses that have been at the heart of post-trade evolution and innovation for more than 20 years.

To find out more, click here.