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@trioptima.com.