Central Clearing Margin Management from Anvil Software

Anvil Software has developed an application to reconcile initial and variation margins charged by the London Clearing House on deals cleared through their RepoClear service. The Royal Bank of Canada (RBC) went live with the application at the beginning of March 2003. The Royal Bank of Canada uses Anvil ARTS for their repo desks in Toronto, New York, London and Sydney.

As a clearing member using RepoClear at the LCH, RBC is charged initial and variation margin on their portfolio, on a daily basis. Anvil’s Central Clearing Margin Management module provides a number of very useful benefits for their business:

- Reconciliation, on a real time basis, between the traded portfolio, and the portfolio of deals used by LCH to generate margins. This ensures that all deals booked for central clearing through RepoClear have been correctly received by LCH.

- View of total values, at subsidiary level, for initial margin, variation margin, delivery margin and price alignment interest. These can be checked against LCH margins to reconcile the margins RBC are being charged.

- View of intra-day margins for real-time analysis of their current exposure or advantage with LCH.

- Detailed reports are available to show exactly how margins have been derived – allowing RBC to follow calculations through from first principals.

- RBC has access to all reports on-screen with hierarchical drill-downs, or as PDF or spreadsheet files.

The Central Clearing Margin Management module takes automated data feeds of all required risk parameters and market data from LCH and provides RBC with real-time reconciliation of their margins. Data maintenance screens have been designed for viewing or modifying deals or for manual entry of data normally provided via the automated feeds. With Anvil’s Central Clearing Margin Management module, RBC have total control over their trading activity.

Anvil has also undertaken similar work for the Sydney Futures Exchange and Clearing House (SFEC). In September 2000, the SFEC commissioned Anvil Software to provide the risk management functionality for their proposed Bond and Repo Clear (BRC) project. Anvil developed an engine the SFEC use to provide initial and variation margin amounts to their members.

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