Portfolio Margin

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

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Cboe Hanweck is the leading provider of fully real-time exchange and “house” margin analytics. Our cutting-edge technology generates real-time, instrument-level P&L vectors configured to exchange standard methodologies. Cboe Hanweck's Portfolio Risk Analytics combines these P&L vectors with real-time position information using exchange aggregation and offsetting rules to compute real-time exchange margin.

Cboe Hanweck Portfolio Risk Analytics can easily tackle computationally intensive risk tasks such as large-scale “what-if” analysis, margin scenario analysis (i.e., how do margin requirements change with changes in the market) and margin optimization.

OCC® TIMS® Methodology and Enhanced TIMS® Methodology

Cboe Hanweck generates real-time P&L vectors that conform to OCC’s TIMS risk-based portfolio margin methods and combines these vectors with customer positions.

  • Risk Based Haircuts (RBH) and Customer Portfolio Margin (CPM) variants.
  • Cboe Hanweck is actively engaged with OCC and industry participants to develop and test an enhanced TIMS methodology.

Cboe Hanweck's Margin Engine for STANS® Methodology by OCC

OCC Clearing Members can benefit from Cboe Hanweck’s real-time Margin Engine to anticipate expected application of the STANS methodology by OCC in real-time.

  • Real-time theoretical simulation on all OCC-cleared products, including volatility shocks.
  • Up-to-date positions including collateral.
  • For more detail, click here.

Futures Exchange Margin Methods

SPAN® methodology for futures exchanges are also supported by Cboe Hanweck Portfolio Risk Analytics.

  • Scenario and simulation methods utilizing worse-loss approaches.

Broker (“House”) Margin

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

  • Scenario and simulation methods utilizing worse-loss approaches.
  • Gross/net exposure, sector/country concentration, volatility shocks, liquidity measures such as average daily volume.

TIMS®, STANS®, and OCC® are registered trademarks of The Options Clearing Corporation ® (OCC). OCC assumes no liability in connection with the use of STANS or TIMS by any person or entity. The current version of TIMS or STANS may not be reflected in the Cboe Hanweck services described herein.