FICC-CME Cross-Margining Benefit

W-C. Cross-margining IM-reduction estimate (ART-51, FICC-CME customer expansion Dec 2025) -> combined-netting-set VaR (qfa-02) -> stress test of the offset under 6 historical crises (qfa-03).

OpenChainGraph · 3 Steps risk parameter Hash-Anchored §4 chain_depth:3 Client-Side · Zero PII

Chain Stages · 3 Steps

1 ROOT · D0 node

FICC-CME Cross-Margining Estimator art-51-cross-margining-benefit-estimator

im_reduction + eligible_offsets feed the VaR engine

MCP Call · estimate_cross_margin_benefit

{
  "jsonrpc": "2.0",
  "method": "tools/call",
  "params": {
    "name": "estimate_cross_margin_benefit",
    "arguments": {}
  },
  "id": 1
}

↓

2 D2 node

Portfolio Covariance & VaR Engine qfa-02-portfolio-var-engine

combined VaR feeds the stress engine

MCP Call · compute_portfolio_var

{
  "jsonrpc": "2.0",
  "method": "tools/call",
  "params": {
    "name": "compute_portfolio_var",
    "arguments": {}
  },
  "id": 1
}

↓

3 TERMINAL · D3 node

Stress Test Engine qfa-03-stress-test-engine

Exports composite cross-margin artifact -- final stage

MCP Call · compute_stress_test_scenarios

{
  "jsonrpc": "2.0",
  "method": "tools/call",
  "params": {
    "name": "compute_stress_test_scenarios",
    "arguments": {}
  },
  "id": 1
}