At last Gerald Corrigan's much heralded report has been published. I have not had a chance to read the whole thing yet (it is 176 pages long), but just skimming it it would appear that there are no surprises - calls for centralised clearing, more spending on infrastructure and risk management, same day trade matching, and agreements to “hardwire” a standard way of settling credit default
swaps in the event of a default in documentation as well as an
agreement on settling trades in the event of a default, or close-outs.
Inevitability all this is likely to increase the cost of transacting in credit derivatives; however as the report points out, “Costly as these reforms will be, those costs will be minuscule
compared to the hundreds of billions of dollars of writedowns
experienced by financial institutions in recent months, to say nothing
of the economic dislocations and distortions triggered by ... more »
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Thursday, August 7
Corrigan Releases CRMPG III
by
Sean Sprackling
on Thu 07 Aug 2008 09:24 BST
Wednesday, August 6
Julius Finance announces independent CDO and credit derivatives valuation service
by
Sean Sprackling
on Wed 06 Aug 2008 07:37 BST
New York, July 31, 2008: Julius Finance, the leaders in model fusion for the $58 trillion dollar credit derivatives market, today announced that due to market demand it has launched an independent valuation service for a range of credit derivatives including bespoke synthetic Credit Derivative Obligations (CDOs), CDO2 (CDO squared), CDO3 (CDO cubed), CPPIs, CPDOs, CDPCs and CDSs. The valuation service makes use of Julius Finance's breakthrough research in model fusion which is uniquely able to price such securities by taking account of all market available information through a next generation unified credit model. With billions of dollars of CDO write downs, investor demand for independent valuation of complex financial instruments has rapidly increased. Julius Finances' breakthrough comes at an opportune moment. Julius's technology provides unprecedented visibility for market derived pricing and analytics. The service is designed for bespoke valuation, ... more » Tuesday, August 5
BNY Mellon Asset Servicing ready for automated trade capture of OTC derivatives
by
Sean Sprackling
on Tue 05 Aug 2008 08:17 BST
Press Release - 04 August 2008 BNY
Mellon Asset Servicing, the global leader in securities servicing, has
achieved operational readiness for the automated trade capture of
over-the-counter (OTC) derivatives through the Swift network using the
Financial Products Markup Language (FpML) standard. "With more than 60,000 OTC transactions processed per month, trade capture automation is a key goal," said Ahmad Sharif, managing director and head of the derivatives product group at BNY Mellon Asset Servicing. "This leads to more efficient and accurate mid-office and back-office operations. It helps the valuation process, collateral management and counter party reconciliation." FpML is recognized by the International Swaps and Derivatives Association (ISDA) community as the standard of choice to communicate electronic information related to over-the-counter derivatives transactions. SWIFTNet FpML was introduced in 2007 in conjunction with ISDA and the SWIFT FpML closed user group and extended in March 2008 to include additional message types. It ... more »
CITADEL SOLUTIONS TO OFFER MARKIT PORTFOLIO VALUATIONS
by
Sean Sprackling
on Tue 05 Aug 2008 08:15 BST
CHICAGO, IL – Aug. 4, 2008 – Citadel Solutions, an innovative provider of hedge fund administration and reporting services, and Markit, a leading provider of independent data, portfolio valuations and over-the-counter (OTC) derivatives trade processing, today announced an agreement for Markit to provide Citadel Solutions’ clients with independent portfolio valuations.
Markit’s Portfolio Valuations service is aimed at buy-side institutions. It provides critical, independent post-trade calculation of the gross asset value of a portfolio of trades. The service covers a wide range of securities and OTC derivative instruments, both vanilla and exotic. Markit draws upon its proprietary data, received from over 90 leading market makers, to drive its portfolio valuations service. The ability to refer to these prices, which span over 1.3 million data points collected daily, sets Markit apart from alternative services. “Markit is well known for providing high-quality, independent valuations, and we are pleased to have forged this new ... more » Friday, August 1
BIS Paper Predicts Death of Asset-backed CDOs
by
Sean Sprackling
on Fri 01 Aug 2008 08:33 BST
A paper released today from the Bank of International Settlement's (BIS) Joint Forum with IOSCO and the IAIS entitled "Credit Risk Transfer - Developments from 2005 to 2007" predicts that the market for asset-backed CDOs will "disappear". The paper finds that an institutional failure to fully understand the complexity of the instruments was the major factor in the turmoil that has bedevilled the financial world since the onset of the credit crunch.
The main points of the paper are summarised below:
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