Brazilian clearing house CBLC has upgraded to version 4.4 of Toronto-based Algorithmics' market risk management software, Algo Market, which allows it to perform margin and limit calculations in real time.
CBLC is the clearing house for the Sao Paolo stock exchange and is responsible for all of Brazil's equity and equity derivative markets. It also provides risk management services to its clearing members and brokerages.
Algo Market is an enterprise system for measuring and managing market risks across all asset classes and product types. The product is built on Algorithmics' Mark-to-Future technology which allows firms to integrate market, credit, ALM and liquidity risk.
The clearing house will use the system to perform margin and limit calculations for market and settlement risks for the 80,000 trades it handles daily. CBLC says it already uses the Mark-to-Future technology for central risk processing to measure exposure for members and brokers.
Franciso Carlos Gomes, head of risk control at CBLC, says: "Mark-to-Future allows us to calculate the incremental risk of individual trades as well as different risk measure from portfolio data swiftly and efficiently."
Gomes claims the technology has enabled the clearing house to reduce margin requirements by roughly $500 million.