Bloomberg and Shanghai Clearing House connect to provide RMB Interest Rate Swap Initial Margin Calculation Service

Bloomberg and Shanghai Clearing House today announced first-of-its-kind access to the Shanghai Clearing House’s risk calculation system (RiSCc) for market participants using the Bloomberg Terminal. When making interest rate swap calculations on the Bloomberg Terminal, users can now access results of initial margin, valuation and risk indicators calculated by RiSCc.

Bloomberg becomes the first third-party service provider directly connected to the RiSCc. The solution enables domestic and foreign market participants to perform margin calculations for RMB IRS transactions more efficiently, optimizing their risk management. The solution will further elevate China’s RMB interest rate derivatives markets to new levels of electronification and internationalization.

Launched in December 2021, the RiSCc was independently designed and developed by Shanghai Clearing House. It provides market participants with trading portfolio management, curve construction and valuation, Value-at-Risk analytics, and margin and capital requirement references.

Following the connection with Shanghai Clearing House’s RiSCc, Bloomberg Terminal users can now calculate margin and risks of single transactions within China’s onshore IRS markets in real time, and use Bloomberg’s Multi Asset Risk System (MARS) to calculate margins and perform risk analytics on IRS portfolios.

Andy Ni, Head of Risk Management Department of Shanghai Clearing House, said: “RiSCc aims to help onshore and offshore IRS investors to manage pre-trade and post-trade risks efficiently and to better refine resource allocation to achieve trading goals. With the launch of Swap Connect, the collaboration and connectivity with Bloomberg will allow us to provide services to more market participants globally and to support market operation. We appreciate Bloomberg’s expertise in this collaboration, which is critical to the success of the solution.”

Jose Ribas, Global head of Risk and Pricing at Bloomberg, said: “We are pleased to establish this connection with Shanghai Clearing House to provide risk analytics service for swap participants, facilitating RMB derivatives trading while also advancing the development of interest rate derivatives markets in China. We are excited by the prospect of expanding our collaboration with Shanghai Clearing House with a vision of providing better risk and margin-related services for investors.”

For more information on derivatives risk management, please visit Bloomberg’s Multi-Asset Risk System website.

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