Cboe Global Markets

Margin Analytics

Assess risk and margin impacts in volatile markets, in real-time.

Cboe Hanweck is the leading provider of real-time exchange and “house” margin analytics. Cboe Hanweck's cutting-edge technology generates real-time, instrument-level P&L vectors that conform to exchange standard methodologies. These P&L vectors can be combined with in-house or third-party risk solutions to compute real-time exchange margin.

Leveraging the hardware-accelerated compute platform, these P&L vectors are a special-case application of scenario analysis. They are a powerful tool for managing pre-and post-trade risk and anticipating end-of-day clearinghouse requirements.

Supported margin methodologies include:

OCC TIMS and Enhanced TIMS

  • Cboe Hanweck generates real-time P&L vectors that conform to the OCC's risk-based portfolio margin methods.
  • Risk Based Haircuts (RBH) and Customer Portfolio Margin (CPM) variants.
  • Cboe Hanweck is actively engaged with the OCC and industry participants to develop and test the next-generation TIMS methodology.

Futures Exchange Margin

  • Common futures exchange margin methodologies are also supported.
  • Scenario and simulation methods utilizing worse-loss approaches.

Broker (“House”) Margin

Customized scenarios can also be created to client specifications to create custom methodologies for “house” margin methodologies that augment statutory minimums.

  • Scenario and simulation methods utilizing worse-loss approaches.
  • Volatility shocks.