Risk Mitigators

Calculation Agent

• The product

   

  Tool controls and mitigates risks for derivative operations

  Mark-to-Market Service

  In addition to parties to the operations, it allows a third participant – even B3 – to be appointed as Calculation Agent.

  Among Colateral Management products and services, B3 give participants the option of naming a Calculation Agent for derivatives.
  The service provides Mark-to-Market (MtM) of derivative contracts (such as Swaps, Options, Box and Forwards), as well as collateral financial instruments and components of collateral baskets — such as federal public bonds under the custody at Selic, CDB, DI and Debentures.

  The Calculation Agent allows the identification of asset values, that is, the value at which an asset could be traded on the market according to mathematical models.

  To work as a Calculation Agent, B3 purchased the license for the Algorithmics’ RiskWatch system, one of the global leaders in risk management solutions, with more than 20 years in the market.

  B3’s calculations are made available daily. Thus, the pricing process starts immediately after the local markets are closed. All market data is stored, generating a history of prices and rates.

  The methodology is constantly revised, mainly for models created due to lack of liquidity and/or no market reference. B3 updates all parameters each day. In the calculation process, it applies mathematical models that are widely used or its own models according to the asset or contracts.