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Coverage

What Norma covers,
across the book.

Products, currencies, measures, collateral and regulatory frameworks.

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Covered

Products

  • Vanilla and exotic derivatives across all asset classes
  • Custom scripted payoffs

Currencies

  • Any currency, any index, any curve your desk marks on

Valuation adjustments

  • CVA, DVA, BCVA (first-to-default)
  • FVA, with FCA and FBA
  • MVA, the lifetime cost of initial margin
  • ColVA, the value of the collateral terms: rate, thresholds and currency against the CSA
  • KVA
  • Expected positive and negative exposure, PFE, with and without initial margin

Regulatory capital

  • SA-CVA with hedge recognition
  • BA-CVA, reduced and full
  • SA-CCR exposure and capital

Initial margin

  • ISDA SIMM per netting set, pre-trade and on the book
  • MVA in the same run as CVA, FVA and KVA

Collateral

  • Netting sets and master agreements
  • CSA terms of all common types, variation and initial margin

Sensitivities

  • Delta by risk class, netting set, currency and market quote
  • Vega
  • Gamma and cross-gamma by risk-factor pair

P&L explain

  • XVA P&L explain: market moves, time, trades, credit, reference data, by netting set
  • Market-risk P&L attribution and explain
  • Risk-theoretical versus hypothetical P&L for the FRTB attribution tests

Market risk

  • VaR and expected shortfall
  • Drilldown by any dimension
  • FRTB standardised approach: sensitivities-based capital, default risk charge, residual risk add-on
  • FRTB internal-model aggregation and attribution tests

Questions

Which products does Norma cover?

Vanilla and exotic derivatives across all asset classes, plus custom scripted payoffs, in any currency, on any index or curve your desk marks on.

Which measures and regulatory frameworks?

CVA, DVA, BCVA, FVA with FCA and FBA, MVA, ColVA, KVA, initial margin under ISDA SIMM, expected positive and negative exposure and PFE with and without initial margin; SA-CVA with hedge recognition, BA-CVA reduced and full, SA-CCR exposure and capital; VaR, expected shortfall, FRTB standardised-approach capital and the internal-model aggregation and attribution tests.

How is collateral handled?

Netting sets and master agreements, with CSA terms of all common types, variation and initial margin, editable for what-if.

Which sensitivities are produced?

Delta by risk class, netting set, currency and market quote; vega; gamma and cross-gamma by risk-factor pair, from the same run that produced the valuation.

Related

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