A new approach to managing margin through actionable insight for Front Office decision making


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Kynec and Razor Risk Partner to Revolutionize Initial Margin Management >>

  • Kynec and Razor Risk are pleased to announce a global partnership that delivers Resource Management desks a single, integrated platform to independently calculate and manage Central Counterparty (CCP) and Uncleared Margin Rules (UMR) initial margin (IM) requirements...

Today over $3,286bn collateral1 backs cleared and non-cleared transactions, yet most firms’ make decisions based on data that is fragmented, late and inaccurate.

Now is the time for a new approach to your margin management with Kynec.

1 ISDA Collateral Review 2022, CCP12 Q4’22 PQD

Liquidity Impact (HQLA, LCR, NFSR)

Daily average VM margin moves to CCPs are large ($32.3bn in Q4’21) and volatile, peaking at $140bn in March 20222. Initial margin held at CCPs increased by $415bn in March 2020 (about 40% on average levels).

Understanding liquidity drivers, and being able to forecast margin requirements, significantly impacts your liquidity requirements.

Rubicon provides the information necessary to take these decisions:

  • Total MTM by currency and product at each CCP
  • Intraday cash moves by currency at each CCP
  • Cash and Securities asset details including all CCP haircuts
  • Delta exposure PV01 by currency and product at each CCP
  • Coupon payments and transaction maturity over the next 30 days or beyond
  • Display eligible collateral for each CCP

This aide to liquidity decision making and LCR forecasting enables firms to reduce excess liquidity saving HQLA costs.

2 BIS-IOSCO Review of Margin Practices, Oct 2021

Price and Optimise Collateral Assets

Over $2,000bn collateral assets are tied up in initial margin and CCP default fund contributions. XVA desks typically look to price the incremental cost of funding this margin into new transactions and take actions to reduce the overall margin funding cost across multiple CCP and bilateral collateral pools.

Insight and data are the foundation of effective margin optimisation. The key challenges are: i) to have access to timely and accurate information on the breakdown of each margin requirement and details of the assets in each collateral pool, ii) access to initial margin calculations, and iii) ability to consolidate bilateral and cleared margin information on a single platform.

Rubicon provides the information necessary to take these decisions:

  • Consolidation of positions across multiple CCP and bilateral collateral pools
  • Breakdown of initial margin into its core and additional components
  • Cash and Securities asset details including all CCP haircuts
  • Connect to multiple initial margin calculators (“Smart Tools”) using API interfaces
  • Cost of financing asset v internal cost of funds (FTP)
  • Clean data to feed into a margin calculator
  • Presentation and storage of results

3 ISDA Collateral Review 2022, CCP12 Q4’22 PQD

Funding Margin

$1,274bn Variation Margin4 reported from bilateral CSA. Banks also have significant VM at CCPs where VM in aggregate is a passthrough for CCP but individual clearing members, and their clients, have significant positions.

The difference between cash remuneration at each CCP (or CSA) in each currency and the bank’s internal cost of funds (FTP) drives the net funding cost. Many firms will look to establish a term profile of their VM requirements and fund margin for a holding period (eg 1 month) or to full term.

Rubicon provides the information necessary to take these decisions:

  • MTM funding requirements in each currency
  • Spot profile of funding requirement by maturity
  • Cash and PAI in each currency
  • Coupon payments and transaction maturity over the next 30 days

4 ISDA Collateral Review 2022

CCP and Broker Fees

CCP (and clearing broker) fees are a significant cost of clearing yet visibility over their charges is generally poor with many extra costs added: membership fees, fees and interest remuneration and costs per location, ccy and collateral type (separating VM, IM, Buffer Margin and Default Funds). Any analysis of the Total Cost of Clearing must include fees as well as margin funding costs.

Our fees module gives you visibility over all fees and charges empowering you to take the necessary actions to minimise these costs and potentially allocate internally to users.

Rubicon provides the information necessary to take these decisions:

  • Daily Accrual Amount of IM Collateral Fees and Interest Accrued by CCP, for Securities and Cash
  • Daily PAI in each currency
  • Daily Interest and Fees for Buffer Margin and Default Fund
  • Membership Fees by products and service for each type of CCP

Single connection to all your CCP and bilateral collateral pools.

The FIA reviews more than 60 CCPs in more than 30 countries.5

Building and maintaining connectivity to CCPs is complex with each CCP having its own proprietary set of reports and unique data format. Once extracted the raw data will need to be mapped to a database such that users can access the information. All this is expensive to build and to maintain.

Kynec uses leading digital technologies to orchestrate data from multiple sources and create a single, secure ‘golden source’ of timely and accurate collateral information for analysis and communication to internal and external stakeholders.

  • Data extraction uses proprietary ETL processes enabling us to connect to multiple data sources and data formats. This allows quick connectivity to CCP via SFTP, API or APE.
  • Data mapping of multiple products to a common data library within our relational database
  • API gateway to move data from back end to front end and perform multiple microservices
  • Graphical User interface to display information and allow the user to filter, pivot and extract data
  • Secure login and access controls with continuous threat monitoring. Full audit trail.

Permission Kynec to access your data at the CCP and we do the rest; no internal development required.

Our clearing platform:

  • accelerates direct access to CCPs
  • lowers the cost of clearing for existing clearing members
  • enables direct clearing members to become Client Clearing Service Providers

5CCP Risk Review - FIA Documentation Services



Subscribe to our Rubicon platform for a single connection to all your CCP and bilateral collateral.