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Thursday, May 22

OTC Derivatives Market Activity in 2007

by Sean Sprackling on Thu 22 May 2008 10:04 BST

Well, it is that time again; the Bank for International Settlements has released the latest figures for the OTC markets incorporating figures up to the end of 2007. Listed below are some excerpts from the report.

The figures show a relatively steady growth in the second half of 2007, despite the turmoil in global financial markets caused by the credit crunch. Notional amounts of all categories of OTC contracts rose by 15% to $596 trillion at the end of December, following a 24% increase in the first half of the year.Growth remained particularly strong in the credit derivatives market, where the notional amounts of outstanding credit default swaps increased by 36% to $58 trillion. The breakdown by counterparty showed that CDS contracts with insurance firms recorded a high growth rate (46%), along with contracts with banks and securities firms (44%), although the share of insurance firms was still very small ... more »

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Euroclear Bank’s DerivManager links with DTCC’s Deriv/SERV Trade Information Warehouse

by Sean Sprackling on Thu 22 May 2008 08:16 BST

Brussels, 19 May 2008 – Euroclear Bank has today launched a link between its DerivManager OTC derivatives service and the Depository Trust & Clearing Corporation’s (DTCC) Trade Information Warehouse, a service offering of DTCC’s Deriv/SERV unit that currently covers over-the-counter (OTC) credit derivatives contracts. DerivManager aims to both minimise counterparty disputes involving trade valuation and optimise collateral usage to cover exposures arising from all types of OTC derivatives contracts.

With the launch of the DerivManager link, Euroclear Bank clients that are also customers of DTCC’s Deriv/SERV and the Trade Information Warehouse may elect to transmit relevant credit derivatives trade data automatically from the Warehouse’s trade database to DerivManager in order to compare and manage exposures with their trading counterparties. Based on the Deriv/SERV Warehouse’s trade data, and on valuation data supplied by Euroclear Bank clients for all types of derivatives trades, DerivManager identifies and reports on a daily basis any ... more »

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Tuesday, May 20

CMA and Julius Finance Enhance CDX and iTraxx Index Tranche Valuations

by Sean Sprackling on Tue 20 May 2008 09:33 BST

London, 20 May 2008: CMA, the credit information specialist, today announced a partnership with New York based research and technology firm, Julius Finance to provide term structures for CDX and iTraxx index tranches. The deal combines observed data from CMA's unique buy-side consortium combined with the advanced mathematical modelling capabilities of Julius Finance's, JuliusBridgeTM service. The full data set will be accessible through CMA DataVision.

Ongoing volatility in the OTC credit market has lead to an increased demand from buy-side institutions for a market standard pricing model and this will be the first time that a consistently accurate, independent model for calculating notoriously complex tranche values has been made widely available.

"CMA is committed to providing greater price transparency in the OTC credit market," said Laurent Paulhac, CMA's CEO. "Combining data from CMA's buy-side consortium with the advanced technologies of Julius Finance empowers investors and risk managers with a more ... more »

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Markit introduces reference entity database licence for smaller buy-side firms

by Sean Sprackling on Tue 20 May 2008 07:43 BST

Source: Markit, 19 May 2008

Markit, a leading provider of independent data, portfolio valuations and over-the-counter (OTC) derivatives trade processing, today announced a new freely available licence for the Markit Reference Entity Database (RED), aimed at smaller buy-side firms.

Under the terms of the new licence, asset managers with light credit default swap (CDS) trading volumes that use DTCC1 Deriv/SERV for trade confirmation will gain access to market best practice in CDS trade processing.

Markit RED is the industry standard for reference entity and reference obligation identifiers used throughout the CDS market to reduce legal and operational risk in trading, documentation and trade settlement. The service uses legal representatives in over 100 countries to source and scrutinise all relevant documentation to provide subscribers with a complete understanding of each entity.

This initiative aims to support the commitments made by the Operations Management Group (OMG) to the New York Fed in ... more »

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Monday, May 19

CME Group completes trading floor integration

by Sean Sprackling on Mon 19 May 2008 19:18 BST

Source: CME Group, 19 May 2008

CME Group, the world's largest and most diverse derivatives exchange, announced today that it has completed its last major integration milestone needed to deliver cost synergies associated with the July 12, 2007, merger of CME and CBOT.

The company announced that today its trading floor migration is completed, combining all equity, foreign exchange, interest rate and commodity open outcry trading facilities at the historic Chicago Board of Trade building.

Following the merger of the CBOT and the CME to form CME Group, the company in January successfully transferred 70 products from the e-CBOT platform to CME Globex. Today the transfer of more than 30 products and 2,000 traders, clerks and trading floor staff from the CME building was completed within a six-week time period. The floor integration will be marked with an official bell ringing at the start of livestock trading at 9:05 a.m. ... more »

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