New York Portfolio Clearing, LLC (NYPC), the innovative clearing platform for fixed income derivatives, announced today the launch of its Portfolio Risk Interactive Margin Estimator (NYPC Prime), a Value-at-Risk (VaR) calculator that estimates the "one-pot" margin savings clearing members can achieve for proprietary interest rate futures cleared at NYPC and certain cash positions cleared at the Fixed Income Clearing Corporation (FICC) subsidiary of The Depository Trust & Clearing Corporation (DTCC). NYPC Prime is currently available without charge on NYPC's website for use by current and prospective clearing members.
"NYPC Prime helps our current and prospective members understand the savings associated with 'one-pot' margining, creating a compelling proposition for heads of trading desks, traders themselves and product controllers looking to realize the significant margin reductions that are possible when clearing with NYPC," said Ira Krulik, Chief Operating Officer, NYPC. "Now users can very easily see how our platform can return capital and better manage risk."
Users of NYPC Prime can upload position files or simply enter free-text data—complete with drop-down position recognition—to create portfolios for calculation. Once a portfolio—real or hypothetical—is created, NYPC PRIME™ estimates the VaR margin amount on demand.
NYPC Prime also allows users to:
• Estimate their VaR margin charges for certain stand-alone cash U.S. Treasury positions cleared at FICC or stand-alone futures contracts cleared at NYPC
• Perform scenario analysis to observe the margin impact of altering a position, portfolio or market strategy
• Drill down beyond the desk level to view each trader's portfolio to get a sense of their implicit margin requirements.
"With its sophisticated engine and user-friendly interface, NYPC Prime highlights the innovation and opportunity our members have come to expect from clearing with NYPC as we continuously seek to leverage the benefits of technology to transform the clearing experience," Mr. Krulik continued.
"NYPC Prime is part of our continued drive to bring greater transparency, competition and innovation to the marketplace. We're excited to introduce our current and prospective members to this latest facet of our award winning platform," said Murray Pozmanter, NYPC Interim CEO, board member and DTCC managing director, Fixed Income Clearance and Settlement.
When uploading portfolios, users can follow the same convention used in DTCC's Report Center fort Center for their futures and cash positions. Fors. For futures, this convention requires the following: exchange symbol, futures contract symbol, product type, expiry year and expiry month. For cash positions, the CUSIP identifier can be used. When entering positions manually, users can enter the identifiers or utilize the drop-down position recognition functionality. The development of NYPC Prime benefitted from client beta testing.
A joint venture of DTCC and NYSE Euronext (NYX), NYPC was created to deliver unique capital efficiencies to the market by margining a clearing member's risk on a portfolio basis across related cash fixed income and derivative positions.