Risk management system of the year (bank): Barclays
Hedge fund clients of Barclays can use the bank's own margin calculator to construct their portfolios - while the bank uses it to manage net counterparty exposures. Both sides benefit
In collateralised markets, risk and cost are explicitly connected. Risky trades or portfolios attract more margin, which can be brought down by finding or creating offsets, so clients and banks share an interest in ensuring trading occurs in the most efficient way possible.
That’s not an easy trick to pull off, but in 2011 Barclays launched a tool it calls the Dynamic Rates Initial Margin Calculator (D-RIMC), a cross-netting system for liquid portfolios of interest rate swaps, government bonds
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