Rolfe & Nolan has developed a component-based solution for central counterparty (CCP) margining.
The solution is based on the company's RANmargin product - which already handles LSE Sets stocks and is currently under development to provide the margin rules for Eurex Clearing's equity CCP.
The CCP Margin Server solution incorporates a relational database, which holds the positions across all CCP-supported product types. This enables users to calculate inter-product offset and generate a single margin figure for exchange reconciliation.
Margin calculation and processing is handled outside the critical path for each settlement system. Positions are combined and margin calculated independently without impacting on processing in host systems.
Other features of the server include interoperability with existing systems, data query and retrieval by other applications, and extension to other asset classes.
Colin Wade, market relations director, Rolfe & Nolan, notes that the futures and options industry has been run on a CCP basis ever since its inception. He comments: "We hosted two industry roundtables in London and Frankfurt on CCP this year and the issues recognised by the industry were: existing disparate clearing and settlement systems; internal organisation; IT challenges and cost implications."