My good friends at OTCVal have released a White Paper on "Trends and current practices at Hedge Fund Administrators" and have kindly included a quote from yours truly in it. You can read the full text here
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Thursday, November 13
OTC Valuations release White Paper on Valuation Trends for Hedge Fund Administrators
by
Sean Sprackling
on Thu 13 Nov 2008 16:22 GMT
June 2008 Derivative Volumes from the BIS
by
Sean Sprackling
on Thu 13 Nov 2008 10:56 GMT
Regular OTC Derivatives Market Statistics13 November 2008The BIS is releasing today its semi-annual statistics on positions in the global OTC derivatives market at end-June 2008. The statistics cover the notional amounts and gross market values outstanding of the worldwide consolidated OTC derivatives exposure of major banks and dealers in the G10 countries. The notional amounts outstanding of over-the-counter (OTC) derivatives continued to expand in the first half of 2008. Notional amounts of all types of OTC contracts stood at $683.7 trillion at the end of June, 15% higher than six months before. Multilateral terminations of outstanding contracts resulted in the first ever decline of 1% in the volume of outstanding credit default swaps (CDS) since the first publication of CDS statistics in December 2004. The average growth rate for outstanding CDS contracts over the last three years has been 45%. In contrast to CDS markets, markets for interest ... more »
Derivix unveils portfolio risk system
by
Sean Sprackling
on Thu 13 Nov 2008 08:48 GMT
Source: Derivix, 12 November 2008 Derivix,
a financial services software company that provides
institutional-strength options pricing, risk visualization and
analytics solutions, today announced the launch of its new real-time
Portfolio Risk system. This product enables buy- and sell-side firms to visualize real-time options market dynamics and underlying risk exposures to manage and successfully navigate today's highly volatile markets. Available to select customers today, the product will be generally available in the first quarter of 2009. Derivix's new Portfolio Risk system allows financial services firms to compare portfolio performance in live markets side-by-side with limitless simulations, enabling the real-time visualization of current exposures, profit and loss (P&L) and firm-wide risk. Leveraging the power of cloud computing, which utilizes virtual servers and resources delivered via the Internet as a service, this new solution provides powerful technology and remarkable scalability without the large up front capital expense of a traditional high-performance infrastructure. In ... more »
StatPro launches system for pricing complex financial assets
by
Sean Sprackling
on Thu 13 Nov 2008 08:46 GMT
Source: StatPro Group, 12 November 2008 StatPro
Group, a leading provider of portfolio analytics and data solutions for
the global asset management industry, today announced the launch of a
system for pricing complex financial assets. The
software-as-a-service initiative covers instruments such as Interest
Rate Swaps, Credit Default Swaps on single names and baskets, FX
Forwards and Equity Options - that need a 'complex' valuation model and
traded market data to be priced. As well as delivering prices, complex
asset pricing (CAP) also has a unique 'pricing challenge' process that
allows clients to query the price that they receive using a fully
transparent approach.
Derivactiv to Provide Free Cash Flow Verification for Swap Payments
by
Sean Sprackling
on Thu 13 Nov 2008 08:42 GMT
Press release -12 November 2008
DerivActiv, a leading provider of independent derivative valuations, announced today that it will provide a free 12-month swap payment cashflow verification report to all new customers. In these uncertain times with dealers exiting the business, it is important to make sure that swap payments are calculated correctly so that accurate tax compliance calculations are made. So far this year, Bear Stearns was absorbed by JP Morgan, UBS closed its municipal bond division, JP Morgan ended its municipal derivatives practice, Merrill Lynch was purchased by Bank of America and Lehman Brothers went bankrupt. These unexpected events make it even more important for clients to use an independent calculation agent for their derivative calculations. This includes both market valuation and ongoing payments. DerivActiv performs daily mark-to-market valuations and validates cashflows for more than 700 users. “Our experience is that payment calculation errors occur frequently, often at ... more » |
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