Algorithmics and SecondFloor to provide replicating portfolio infrastructure for AEGON

Toronto, London, Amsterdam, The Hague - May 13, 2009 -

Algorithmics and SecondFloor announced today that AEGON, an international life insurance, pension and investment company, has chosen Algo Risk, Algorithmics' high performance market risk and capital management solution, as its provider of replicating portfolio technology. AEGON will use this technology to create replicating portfolios for its assets and liabilities as part of a comprehensive risk management and risk reporting infrastructure.

Mike Dorsel, Vice President - Economic Framework Integration at AEGON, said: "We were looking for an industrial strength, enterprise-wide risk platform to implement portfolio replication for AEGON worldwide. We are confident in our choice to work with both Algorithmics and SecondFloor to integrate replicating portfolio technology into our risk management and reporting processes, and we very much look forward to realizing the benefits for AEGON. We hope to extend the uses of this technology well beyond economic capital reporting and risk dashboards."

AEGON will implement Algo Risk globally and will use Algorithmics' patented scenario-based portfolio optimization functionality to calculate replicating portfolios that can be used to measure the value of assets and liabilities quickly under various market risk sensitivities. Algo Risk also includes the ability to aggregate non-market risks (such as operational, insurance and credit risk) into a full enterprise-wide economic capital figure as well as a web-based reporting engine that allows users to analyze economic capital across multiple dimensions.

SecondFloor, an IT services company based in The Netherlands, will participate in the project to help AEGON enhance its risk reporting platform. SecondFloor is developing a custom application which will integrate with Algo Risk to provide AEGON with a workflow and control process which ensures an auditable, automated and centralized process. The custom solution will provide user interfaces that facilitate data collection and distribution, generate the universe of replicating instruments, manage and monitor the portfolio replication jobs, and maintain a business hierarchy allowing users to define the level and aggregation used for reporting.

Martin Knook, CEO of SecondFloor, explains: "We are delighted with the opportunity to co-operate with Algorithmics to develop a platform for AEGON. This is our third project of this nature with Algorithmics - we jointly won an IT innovation award with a similar solution and we know we have an exciting project ahead of us. Our teams are fully committed to delivering a comprehensive solution within an ambitious timeline."

Curt Burmeister, Vice President of Risk Solutions, Algorithmics, said: "Portfolio replication is quickly becoming a standard and accepted methodology for integrating assets and liabilities into a single consistent framework for risk management. We are pleased that AEGON has joined the list of leading insurance companies that have selected Algo Risk as the platform for computing replicating portfolios"

Dr. Andrew Aziz, Executive Vice President of Risk Solutions, Algorithmics, added: "We are proud that AEGON has chosen to work with Algorithmics and use our technology and methodology to achieve its industry leading vision for capital and risk management. We both share the view that portfolio replication offers an effective and efficient tool for calculating economic capital, for reporting and for real-time risk management."

For more information about Algo Risk for Insurance, please visit: www.algorithmics.com/EN/solutions/myindustry/insurance.cfm

For more information about SecondFloor, visit: www.secondfloor.eu

For further information please contact:
Heather Smith
Senior Communications Manager, Algorithmics (UK) Ltd
Direct line: +44 (0) 20 7392 5820
Mobile: +44 (0) 7515 974223
E-mail: Heather.smith@algorithmics.com  

Jan Mooijweer
Vice President Business Development, SecondFloor Netherlands
Direct line: +31 20 6589 700
Email: j.mooijweer@secondfloor.nl  

Notes to Editors:
As an international life insurance, pension and investment company based in The Hague, AEGON has businesses in over twenty markets in the Americas, Europe and Asia. AEGON companies employ approximately 31,500 people and have over 40 million customers across the globe.

Algorithmics is the world's leading provider of enterprise risk solutions. Financial organizations from around the world use Algorithmics' software, analytics and advisory services to help them make risk-aware business decisions, maximize shareholder value, and meet regulatory requirements. Supported by a global team of risk experts based in all major financial centers, Algorithmics offers proven, award-winning solutions for market, credit and operational risk, as well as collateral and capital management. Algorithmics is a member of the Fitch Group. www.algorithmics.com

SecondFloor is an IT project organization, based in the Netherlands and Germany. SecondFloor services organizations within the financial industry worldwide with comprehensive expertise of the industry and ICT. SecondFloor provides business process improvements, (SOA) software solutions and temporary professionals to organizations that want to redefine and renew their (IT-) processes, that seek for new solutions or want to introduce new products into the market. Industry best practices and a proven project management approach are the foundation of the services, solutions and sourcing possibilities that SecondFloor offers on a fixed price - fixed date basis. For more information about SecondFloor, visit: www.secondfloor.eu  

Algorithmics' Risk and Economic Capital for Insurance solution is designed to provide a consistent, enterprise-wide view of risk, an essential outlook for insurers and pension funds seeking to maximize investment performance through intelligent risk taking. Supporting underwriting, market risk, credit risk, and portfolio management activities across both assets and liabilities, Risk and Economic Capital for Insurance helps firms to manage economic capital, enhance productivity, and ultimately generate greater shareholder value.

Algo Risk supports the pursuit of informed investment decisions with real time access to market and risk information. Addressing the diverse needs of risk managers, traders, portfolio managers, and quants, Algo Risk supports multiple investment strategies, asset classes, valuation methodologies, risk/portfolio analytics, and scenario generation techniques. Algo Risk integrates the front and middle office through a flexible reporting interface. Decision support functions such as "what-if" analysis and "best hedge" recommendations are provided in addition to standard risk and performance analysis. Supporting a wide range of advanced portfolio and risk analytics, Algo Risk combines real time risk monitoring and an easy-to-use, customizable structure within an enterprise-wide data management system.

Replicating Portfolios
Leveraging Algorithmics' wide asset coverage and a patented, scenario-based portfolio optimization module, Algo Risk can be used to determine an optimal proxy portfolio of asset instruments that replicate the characteristics of a given set of scenario-dependent liability cash flows. This replicated portfolio can then be further simulated and stress tested to determine capital requirements. Liability cash flows can be imported from any existing actuarial projection system, providing consistency and integrated reporting across business lines and geographic borders. In particular, the replicated portfolio technique can be adopted as a computationally efficient method for modeling liabilities in a hedging analysis, economic capital or regulatory capital calculation.

Fitch Group is the parent company of Fitch Ratings, a global ratings agency committed to providing the world's markets with independent, timely and prospective credit opinions. With 49 offices worldwide, Fitch Ratings' global expertise spans across capital markets in over 150 countries. Fitch Ratings is headquartered in New York and London.

The Fitch Group also includes Fitch Solutions, a distribution channel for Fitch Ratings products and a provider of data, analytics and related services; and Algorithmics, the world's leading provider of enterprise risk solutions.

The Fitch Group is a majority-owned subsidiary of Fimalac, S.A., headquartered in Paris, France. For additional information, please visit www.fitchratings.com www.algorithmics.com and www.fimalac.com  

© 2009 Algorithmics Software LLC. All rights reserved. ALGO, ALGORITHMICS, Ai & design, ALGORITHMICS & Ai & design, KNOW YOUR RISK, MARK-TO-FUTURE, RISKWATCH, ALGO ALM, ALGO COLLATERAL, ALGO CREDIT ADMINISTRATOR, ALGO CREDIT DATA SERVICES, ALGO CREDIT ECONOMIC CAPITAL, ALGO CREDIT EXPOSURE, ALGO CREDIT LIMITS, ALGO CREDIT REGULATORY CAPITAL, ALGO CREDITVANTAGE, ALGO ETREASURY CREDIT, ALGO FIRST, FIRST 500, ALGO MARKET ANALYTICS, ALGO OPDATA, ALGO OPVAR, ALGO RECONCILIATION, ALGO RISK, ALGO RISK SERVICE, and ALGO SUITE are trademarks of Algorithmics Trademarks LLC.