Oneview for Capital

Comprehensive Analytics

• SA-CCR and SA-CVA capital analytics available pre-trade for front office decision support and post-trade for regulatory reporting purposes
• Aggregated capital calculations by counterparty, plus intermediate values (e.g. exposure at default (EAD), risk-weighted assets (RWA), risk weights, capital add-ons) and CVA sensitivities
• Capital Valuation Adjustment (KVA) analytics also available, so firms can see capital costs of trades and understand all-in trade profitability

Advanced Capital Analytics

• “Capital explain” identifies which risk factors and trades are driving capital numbers
• Back-allocate capital to specific trades, to see the “capital cost” of trades, strategies, desks or portfolios
• Pre-deal capital checks help traders understand incremental capital impact and KVA of proposed trades before transacting them
• “What if” sandbox enables traders to compare capital costs of trades if executed with different counterparties
• Rich visualization and drill-down functionality, for real-time views of capital measures at different levels of book/counterparty hierarchies and to drill down to individual books or trades contributing to measures

Performance & Flexibility

• Optimized for performance and capable of providing compute-intensive calculations on-demand to aid in front office decision support
• Utilizes advanced algorithms (e.g. algorithmic differentiation (AD) for CVA sensitivities) and scalable server architecture to benefit from performance, scalability and elasticity of public or private clouds
• Flexible scenario engine enables users to modify how CVA sensitivities are calculated for SA-CVA calculations, so firms can adapt quickly if regulations change
• Configuration screens allow users to modify risk weights, correlations, and other inputs involved in capital calculations, so firms can see how regulatory changes may impact them

Holistic Front-to-Risk Views

• Capital calculations complement valuations, XVAs, margin, market risk, scenarios, counterparty exposures, and other analytics from Oneview, for holistic views of the derivatives business
• All asset classes and product types are covered, from vanillas to complex exotics, with a comprehensive library of models and numerical methods
• Large portfolios of hundreds of thousands of trades can be handled, so the entire business across all desks and lines of business can be managed using Oneview