Just when you thought that it could not get any worse for those lucky people who stuck money into CDOs, yesterday the S&P made a series of announcements that only serves to add another nail in the coffin for their money.
The S&P has changed the assumptions about how much cash will be recovered by investors in those infamous sub prime bonds when individuals default on their loans. This in turn affects the CDOs that are based upon them (in this case those that have at least 40% in sub prime mortgage backed bonds). The recovery rates for the various tranches were announced as follows:
A or Lower Zero
AA 5%
AAA (Junior) 35%
AAA (Super Senior) 60%
This, as the S&P so rightly point out, will lead to even ... more »
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Wednesday, April 30
Another blow for CDO holders
by
Sean Sprackling
on Wed 30 Apr 2008 16:01 BST
Tuesday, April 29
FINCAD Introduces a New Online Derivatives Valuation Tool for Auditors
by
Sean Sprackling
on Tue 29 Apr 2008 10:42 BST
Vancouver, BC, Canada April 28, 2008 FINCAD® announced today the launch of FINCAD® Auditor Insight™. The new Web-based application, powered by FINCAD Analytics, performs valuations of financial derivatives using independent, accurate and up-to-date market data. FINCAD Auditor Insight™ is accessible from any computer, giving field audit teams a solution to value clients' derivative positions on-site. For more complex financial instruments the audit firm's valuation specialists can access formulae, curves, and market data. “We knew the industry needed a solution with this kind of flexibility,” says Jack McKeown, Director of Product Management. “But it's much more than that. FINCAD Auditor Insight™ is a reliable financial derivatives application that can be used for valuing interest rate, foreign exchange and commodity derivatives.” FINCAD Auditor Insight™ is easy to use and easy to learn. Context-sensitive help, including tool tips, analytics specifications and valuation methodologies are at the user’s fingertips. The application is fully supported ... more » Wednesday, April 23
CRMPG III out in July
by
Sean Sprackling
on Wed 23 Apr 2008 14:40 BST
Gerald Corrigan, the veteran former president of the New York Federal Reserve, has in recent days been assembling a number of senior Wall Street figures to study the recent credit turmoil and to propose some remedies. The report, due in july, will be known as CRMPG III and follows Corrigan's original Counterparty Risk Management Policy Group Report that followed the LTCM crisis and a subsequent one three years ago that listed a series of steps that banks needed to take to improve the infrastructure of finance.
The report is due to cover four key areas: - Risk Management systems - Trading of complex financial products - Accounting rules - Financial system infrastructure However he suggests that of all of the four key areas "..the issue which is far and away the most complicated is financial infrastructure...there are a lot of issues here. For example, we clearly need to improve our ... more » Tuesday, April 22
Calypso upgrades Trading and Risk Management platform
by
Sean Sprackling
on Tue 22 Apr 2008 10:04 BST
Source: Calypso Technology, 21 April 2008
Calypso
Technology, today announced the annual major version release of its
integrated trading application suite to the capital markets industry. analysis; more robust risk management capabilities on a desk and enterprise level; and new capabilities to the Calypso Fast-Track product, shortening time-to-value during implementations. "Today, financial services firms are struggling with processing backlogs created by the growing volume of increasingly complex products including treasuries and derivatives. In addition, continued manual processing is slowing innovation and creating additional costs and errors," stated Stephen Bruel, analyst at TowerGroup. Charles Marston, CEO of Calypso, commented, "Version 10 is designed to enable Calypso users to successfully manage current market challenges and innovate to stay competitive. Additionally, clients can implement Calypso's solutions faster than ever as we ... more » Friday, April 18
OTC Contracts - Persona Non Grata
by
Sean Sprackling
on Fri 18 Apr 2008 10:31 BST
There has been a lot of talk in the press and the offices of global regulators about OTC contracts in the last few days - much of which is absolute twaddle, some of which makes some kind of sense...
This all seems to have been based upon the demise of Bear Stearns, claiming that the US Fed had to step in because of their huge risk exposure in the OTC market and the chaos that would have ensued should such an important counterparty unwind. This is only partially true as Bear's exposures were not just to the OTC market, and their fall would have caused ripples in many more markets than OTC derivatives. However, they were exposed to huge OTC risks, and this has raised the question of central counterparties. The exchanges have therefore leaped in and claimed that all would be safer should all OTC contracts be on-exchange. Now ... more » |
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