Quantifi’s platform offers an integrated set of pre and post-trade functionality for firms to accurately and effectively measure, manage and optimise margins and collateral.
The service uses cross-analytics, including full support for overnight index swap (OIS) discounting, to ensure that calculations are consistent with central counterparties (CCPs) and the front office. Calculations fully reflect netting agreements as margin netting is supported across all products cleared with a CCP, multiple CCPs and bilaterally.
Quantifi offers a range of collateral management
tools, from portfolio level allocations, calculations of expected margin
profile over time as well as predictive modelling to project future margin
calls. The actual and optimal costs of collateral can be measured and
subsequently compared against the expected costs across CCP and OTC
functionality ranges from decision support tools for optimum clearing venue
selection to managing collateral and margin over the life of the transactions.
Integrated margin management and collateral optimisation minimises the cost of
clearing by selecting the optimal collateral in real time.
transformation capabilities are based on an optimisation engine that lowers the
cost of funding based on optimum collateral selection and reducing the overall
expected margin profile.
Its data reporting functions offer interactive drill-down,
slicing and aggregation across all data, giving full transparency, by sector,
underlying client and collateral usage.
Transaction lifecycle support
Quantifi’s offering provides end-to-end lifecycle
support for derivative transactions across all major asset classes. This covers
support for all trade lifecycle events right from deal capture (including
pre-trade analysis) to novations and unwinds.
Using the industry best practice American Monte Carlo
engine, it calculates, in real time, the expected cost of collateral over the
life of the trade.
A team of highly experienced quantitative analysts
and technologists combined with out-of-the-box interfaces, configurations, and
utilities significantly reduce the level of implementation time and effort.