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January 17, 2012

Tradeweb pre-RFQ & clearing credit checks

In this post here Tradeweb explain how they’re going to incorporate a credit check prior to each RFQ, to try and ensure that a party has sufficient margin / tolerance to issue an RFQ *prior* to sending, pre-execution, and pre-clearing.

The article doesn’t say what the method or maths are to achieve this check, which I will ask for. What I am interested to know is whether Tradeweb will replicate the IM calculations at the CCP, or use some proxy such as sensitivities to estimate a parties capacity to clear an additional trade.

The model requires the party to update the Tradeweb platform with their credit tolerance or limit, which must somehow relate to the asset/liability relationship of their existing portfolio at the CCP.


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