Toolbox · Optimise

Optimisation efficiency: greater impact from smaller changes.

Bluenodes searches across the portfolio for executable ways to reduce initial margin. You define the constraints. The strategy is ready in seconds or minutes.

Request access See the strategy

Proposed strategyExample portfolio, EUR m

Current IM48.6

Proposed IM36.4

Change−25%

TTF18.9 → 11.6

German Power11.7 → 8.4

Brentunchanged

NBP5.3 → 3.7

EUAunchanged

CurrentProposed

Maximum margin impact. Minimum disruption.

The objective is not to rebuild the portfolio. Our optimisation finds the smallest useful changes that deliver the largest margin reduction.

Built around your constraints

You define the boundaries. Bluenodes searches inside them.

Optimisation runExample settings

1Objective

Minimise initial margin (IMR).

Or Margin at Risk, credit risk.

2Efficiency

Balance margin reduction against portfolio change and execution cost.

3Constraints

Gross notional ≤ 20% TTF Jan-27 ≤ 150k MWh JKM Feb-28 ≤ 2% of OI

4Products

TTFGerman PowerNBPJKMBrentEUA

Not one trade. A coordinated strategy.

Bluenodes optimises the portfolio as a whole. The result can be a stream of EFPs and EFSs across products and maturities, evaluated together as one strategy.

Current portfolioInitial margin€48.6m
EFP · TTF Q1-27 · Sell 400 lots
EFP · TTF Cal-27 · Buy 150 lots
EFP · DE Base Cal-27 · Sell 90 lots
EFS · NBP Q1-27 · Buy 300 lots
Optimised portfolioInitial margin€36.4m

The strategy’s impact, in detail

Compare the current portfolio with the proposed strategy before you execute. See how margin, notional, positions and trades change.

Strategy impactIllustrative example, change in initial margin, EUR m

Product	Gross IMR	Calendar spread	Correlation benefit	Add-on	Total
TTF	−5.4	−0.9	−0.2	−0.8	−7.3
German Power	−2.5	−0.4	−0.1	−0.3	−3.3
Brent	0.0	0.0	0.0	0.0	0.0
NBP	−1.2	−0.2	−0.1	−0.1	−1.6
EUA	0.0	0.0	0.0	0.0	0.0
Portfolio	−9.1	−1.5	−0.4	−1.2	−12.2

Initial margin €48.6m → €36.4m (−25%). Gross notional −6.1%, net notional +0.3%. 4 of 219 positions changed, 4 trades.

Talk to us.

Tell us a little about your team and we will get back to you.

contact@bluenodes.io