IM Risk Generator: Index Decomposition
We decompose your index trades
IM Risk Generator has the capability to decompose index-based trades allowing them to be represented as sensitivities to the underlying components rather than the index itself. Using decomposition typically reduces the costs of margin because the decomposed representation carries a lower risk weight. On top of this the potential natural hedging between underlying components and the rest of the portfolio can create additional savings.
We decompose your index trades
IM Risk Generator has the capability to decompose index-based trades allowing them to be represented as sensitivities to the underlying components rather than the index itself. Using decomposition typically reduces the costs of margin because the decomposed representation carries a lower risk weight. On top of this the potential natural hedging between underlying components and the rest of the portfolio can create additional savings.
Changing to the decomposition method is simple and straightforward requiring no change in data submission. Because Acadia has access to dozens of common indexes a firm simply needs to confirm which indexes they would like decomposed and Acadia can enable the functionality.
Decomposition has been shown to be able to reduce SIMM exposure by between 30 and 50%. The actual reduction will depend on specifics of the portfolio.
Acadia can provide a calculation of the potential benefit so that firms can estimate an accurate ROI of making the change.
Reduction in SIMM with no additional effort
IM Risk Generator has the capability to decompose index-based trades allowing them to be represented as sensitivities to the underlying components rather than the index itself. Using decomposition typically reduces the costs of margin because the decomposed representation carries a lower risk weight. On top of this the potential natural hedging between underlying components and the rest of the portfolio can create additional savings.
Reduce SIMM costs through decomposition
Use existing configurations and data integration
Seamless change with no new integration work required
Access to a range of common public and proprietary indexes
Changing to the decomposition method is simple and straightforward requiring no change in data submission. Because Acadia has access to dozens of common indexes a firm simply needs to confirm which indexes they would like decomposed and Acadia can enable the functionality.
Decomposition has been shown to be able to reduce SIMM exposure by between 30 and 50%. The actual reduction will depend on specifics of the portfolio.
Acadia can provide a calculation of the potential benefit so that firms can estimate an accurate ROI of making the change.
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KEY BENEFITS
Reduce SIMM costs through decomposition
Use existing configurations and data integration
Seamless change with no new integration work required
Access to a range of common public and proprietary indexes
KEY BENEFITS
1.
Reduce SIMM costs through decomposition
2.
Use existing configurations and data integration
3.
Seamless change with no new integration work required
4.
Access to a range of common public and proprietary indexes
5.
6.
Learn more
Driving the derivatives industry as one
We offer more than just Index Decomposition. Find out what Acadia solutions can offer your business and drive it forward across departments.
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