Apologies for the small post but I am rushed off my feet on a couple of interesting client projects at the moment. This doc has been flying around the ether for a while now, but someone has had the nous to stick it on Google docs. Not only is it hilarious, it really is not far from the truth....
Sub Prime Primer
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Thursday, February 28
Sub Prime Primer
by
Sean Sprackling
on Thu 28 Feb 2008 10:19 GMT
Tuesday, February 26
NYSE Euronext to partner with SuperDerivatives
by
Sean Sprackling
on Tue 26 Feb 2008 13:20 GMT
I am reliably informed that NYSE Euronext will soon be announcing a strategic partnership with SuperDerivatives - the news coming only days after they announced their valuation service Prime Source. Clearly all of the exchanges are trying to muscle into the OTC space at the moment, but I would suggest that this is one of the more well thought out initiatives amongst that community. SuperDerivatrives is for many the benchmark in pricing derivatives (especially options) - as well as providing some front office and risk management functionality. So what's in it for SD I hear you cry? Well - it seems that the sweetener on the deal was a term that allows users of SD access to the NYSE Euronext-owned Liffe Connect Trading Platform - thus allowing people to analyse, trade, and price both exchagne traded and OTC instruments in the same place and (theoretically) allowing them greater choice in which instruments ... more » Friday, February 22
Markit Launches Valuation Platform
by
Sean Sprackling
on Fri 22 Feb 2008 08:57 GMT
Surprise, surprise, following this week's announcement (see post below) by Euronext, Markit have countered with the announcement in their Press Release below:
Press release: UK
market data vendor Markit Group is working with six Wall Street banks
to launch a global, multi-bank, cross-asset client valuations platform.
The Markit Valuations Manager platform will provide electronic delivery of daily OTC derivative and consensus cash valuations from Citi, Credit Suisse, Goldman Sachs, JPMorgan, Merrill Lynch and UBS alongside Markit's own independent valuations. Recent regulatory and accounting changes have increased the importance of reliable, independent valuation sources for funds, says Markit and the new platform will provide the buy side with an "accurate, efficient tool to handle the increased regulatory and accounting burden". The new system will also enhance the integrity of position information, counterparty marks and third-party valuations, says the vendor. "Regulators around the world are increasingly focused on the importance of greater ... more » Wednesday, February 20
NYSE Euronext launches Online Valuation Service
by
Sean Sprackling
on Wed 20 Feb 2008 13:16 GMT
NYSE Euronext has announced that is entering the race to establish the industry standard platform for valuing complex structured products and other illiquid securities. They have therefore lauched a service called Prime Source to do just this, and are marketing it aggressively at buy-side managers. The launch has clearly been timed to coincide with the announcement from Reuters who last week launched a pricing service that delivers bespoke valuations for derivatives and complex securities. Reuters said its service (aimed to speed up the process of valuing complex securities) would allow customers to request a price for bespoke transactions, with completely transparent Reuters pricing and methodology behind each valuation. Both services will obviously be competing with Markit who have been offering pricing for a wide range of credit derivatives for some time. Nyse Euronext says the online service, which complements the EuronextValue platform, offers both automated and tailor-made valuation services and helps ... more » Thursday, February 14
Market Volatility drives new Correlation and Dispersion Instruments
by
Sean Sprackling
on Thu 14 Feb 2008 10:58 GMT
As the old saying goes, necessity is the mother of invention, and recent events in the market have proven a fillip for a new derivative class of instrument. These correlation and dispersion swaps have recently seen strong growth in volumes since the turmoil started.
So what are these assets? Well, simply put, they are very similar in both structure and use to Volatility or Variance swaps as they are based on (derived from) underlying equity behaviour. Correlation swaps are based on the level of correlation between two asset classes - for instance between gold and the FTSE100, or even between the FTSE100 and a component of that index. A dispersion swap allows investors to buy (or sell) volatility on an index and sell (or buy) volatility on the stated component of that index. There are already some UCITS funds in the market based on this form of volatility arbitrage - ... more » |
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