Derivatives issues in Investment Management

Syndicate this category

This Month

Month Archive

May 2009
April 2009
March 2009
February 2009
January 2009

Main Page

« Previous 5 articles | Next 5 articles »

Tuesday, March 31

Omgeo links CrossCheck to DTCC Trade Information Warehouse

by Sean Sprackling on Tue 31 Mar 2009 09:32 BST

Source: Omgeo, 30 March 2009

Omgeo today announced the availability of an automated data feed between Omgeo CrossCheck and The Depository Trust & Clearing Corporation's (DTCC's) Trade Information Warehouse (Warehouse), a service offering of DTCC's Deriv/SERV unit.

The link is designed to reduce operational risks in the over-the-counter (OTC) credit derivatives market by enabling market participants to align their portfolios with contract records maintained by the Warehouse.

Omgeo CrossCheck is a centrally-hosted, exception management solution that automates the comparison of portfolios of derivatives between counterparties. The Trade Information Warehouse is the market's first and only comprehensive trade database and centralized electronic infrastructure for post-trade processing of OTC derivatives contracts over their lifecycles, from confirmation through to final settlement. The Warehouse, which currently covers OTC credit derivatives, holds the legal, or "golden," copies of confirmed contracts.

The new link enables Omgeo clients that are also customers of DTCC's Deriv/SERV and the ... more »

Leave Comment | Permanent Link | Cosmos

Friday, March 27

Pricing Partners backs out CDS recovery rate from bond market to get more accurate independent valuation on credit derivatives

by Sean Sprackling on Fri 27 Mar 2009 11:31 GMT

Press release - 27 March 2009

The current financial crisis has emphasized inaccurate modelling assumptions on credit derivatives. In particular, market participants have realized abruptly after the Lehman default that the standard 40% recovery rate assumption for CDS market was very optimistic as they recover just around 5% of their notional value. This has casted some major doubts about the fair level for recovery rate.

In an attempt to bring more accurate valuation on CDS and consequently on all credit derivatives products based on CDS like synthetic CDOs, FTDs, NTDs or any other credit OTC derivatives, Pricing Partners has started to back out the recovery rate from the underlying bond of the CDS. It has observed that the standard 40% recovery rate assumption that is still market practice in the major market data providers is very misleading and very optimistic for distressed names.

Eric Benhamou, CEO of Pricing Partners, comments ... more »

Leave Comment | Permanent Link | Cosmos

Thursday, March 26

CMA Announces Preparations for CDS "Big Bang"

by Sean Sprackling on Thu 26 Mar 2009 09:13 GMT

London, 25th March 2009: CMA, the credit information specialist, today announced that it has implemented the necessary updates and upgrades to its QuoteVision, DataVision and Analytics product sets to support the new standardised 100/500 CDS contracts for North American single name CDS, which are scheduled to launch on 8th April this year.

Jav Bose, Head of Product Development at CMA said that "The upcoming changes to quoting conventions for single name CDS are required for smooth settlement and position netting in the CDS market. The adaptations we have made will make it easier for clients to manage the new conventions and pricing conversions and minimise the time from price discovery to taking trading and risk management decisions."

CMA encourages market participants who have questions regarding the new quoting conventions, price conversions or product upgrades, to contact CMA in London or New York for more information.

DataVision is a high quality ... more »

Leave Comment | Permanent Link | Cosmos

Monday, March 23

Markit Launches Data Portal to Increase Transparency in CDS Market

by Sean Sprackling on Mon 23 Mar 2009 12:04 GMT

Press release - 20 March 2009

Markit, a financial information services company, today announced the launch of a credit default swap (CDS) data and information portal designed to increase transparency and provide a broader audience with a tool to monitor the market.

The new data portal will make a wide range of Markit's independent CDS data sets publicly available, including:

- Prices for Markit's widely traded family of CDS indices, the Markit CDX and Markit iTraxx

- The last quote received by Markit before New York close of trading for approximately 450 of the most liquid CDS contracts, including G20 sovereigns, large financial corporations and constituents of Markit's iTraxx and CDX indices

- The biggest daily single name CDS movers for North America, Europe and Asia

- Daily Markit/ICE TrustTM CDS settlement prices for the most liquid Markit CDX index contracts listed for clearing by ICE Trust.

Furthermore, in support ... more »

Leave Comment | Permanent Link | Cosmos

Tuesday, March 17

GoldenSource launches derivatives data system

by Sean Sprackling on Tue 17 Mar 2009 08:38 GMT

Source: GoldenSource, 16 March 2009

GoldenSource Corporation, a global software provider of enterprise data management (EDM) solutions for financial and securities institutions worldwide, today launched a new data solution, GoldenSource for Derivatives, to help financial institutions accurately value portfolios and manage risk for derivatives products.

A preconfigured solution for risk management, GoldenSource for Derivatives allows for a 360 degree view of instrument, issuer and counterparty exposure, creating a local CDS warehouse capability.

GoldenSource for Derivatives increases transparency and auditability for derivatives portfolios held by banks, brokers and asset managers by feeding trading and risk management systems with accurate and trustworthy data. The solution was developed in response to client demand for instrument-level transparency and in anticipation of increased regulatory and repository requirements

"Given increasing, board-level and regulatory pressure, the industry needs to increase auditable transparency and decrease the operational risk inherent with derivatives. This increased oversight directly translates to an ... more »

Leave Comment | Permanent Link | Cosmos