Toronto-based Algorithmics has launched Version 4 of its Algo Collateral Sentry product, which includes new modules for rehypothecation, 'what-if' scenarios, data staging and asset management.
Built on Algo's proprietary Mark-to-Future methodology, Sentry records and tracks master/collateral agreement information, and calculates margin call requirements, while monitoring the status of collateral obligations, collateral inventories and management information.
Key features of Version 4 include a second generation of Sentry's rehypothecation/re-use feature that allows for the automatic allocation of collateral to margin calls, based on user-defined preferences. Asset management support allows the interrogation of a collateral/available assets portfolio, enabling an institution to glean insights into its collateral program and identify potential shortages caused by excessive internal borrowings.
An optional data entry mode provides firms with increased security over the authorisation and manipulation of data entries. A new analytics module tool - known as the 'What-If Scenario' generator - enables users to create different credit rating scenarios to investigate the effect of changes in the firm's and/or counterparty's rating and resulting liquidity/collateral needs.
The company anticipates that most Sentry users will upgrade to the new version in 2002.