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Friday, July 31

Reval to Offer Service as Trade Repository of OTC Derivatives for Corporate End Users

by Sean Sprackling on Fri 31 Jul 2009 09:28 BST

Single-Version, Web-based Software Platform Provides

New York, July 30, 2009 – In an effort to aid its corporate clients as well as the Obama administration’s plans to bring transparency to the $592 trillion over-the-counter (OTC) derivatives market, Reval, a global provider of derivative risk management and hedge accounting solutions, announced today its intent to serve as a trade repository for OTC derivatives used by corporate end-users.

According to the Administration’s white paper on Financial Regulatory Reform released on June 22, all OTC derivatives are to be recorded in a trade repository for regulators to monitor systemic risk, gain transparency and efficiency, control market manipulation and ensure that derivatives are sold properly. “All” OTC derivatives include those used by companies to hedge business exposure to fluctuating interest rates, foreign exchange rates and commodity prices.

“Since its inception a decade ago, Reval has specialized in helping companies value and effectively account for ... more »

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Thursday, July 30

ISITC Releases New Market Practice for OTC Derivatives based on FpML

by Sean Sprackling on Thu 30 Jul 2009 14:26 BST

ISITC's OTC Derivatives Working Group has released a paper called "The Market Practice - OTC Trade Notification". The paper aims to address the problem of dealing with increasing OTC trading volumes. Industry groups, from the FpML committees to the International Swaps and Derivatives Association (ISDA) have been working to introduce standardised trade notifications to the OTC derivatives market for some time.

The Market Practice focuses on communications related to contract notifications sent from Investment Managers to third party providers including prime brokers, custodians, accounting agents and prime brokers. The standards include adopting the use of FpML tags for communication and information used in message formats.and outsourced providers

Notifications covered by the Market Practice are:
· Initiation
· Increase
· Novation
· Amendment
· Termination

The OTC Trade Notification Market Practice took two years to develop by ISITC's OTC Derivatives Working Group, in conjunction with the Asset Managers Forum and the ... more »

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ICE Clear Europe introduces CDS clearing

by Sean Sprackling on Thu 30 Jul 2009 14:14 BST

Press Release: IntercontinentalExchange, 29 July 2009

IntercontinentalExchange (NYSE: ICE), a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets, announced that ICE Clear Europe has introduced clearing for European credit default swaps (CDS), beginning with iTraxx contracts, effective this week.

ICE's CDS clearing operations are designed to address the operational and risk management needs of the credit market, as well as calls by regulators and policy makers for transparency, standardization and systemic risk reduction. The U.K. Financial Services Authority (FSA) has completed its regulatory review of ICE Clear Europe's CDS clearing operations, risk management and governance.

ICE Clear Europe, which also provides clearing services for ICE's futures and OTC energy markets, has established a separate risk pool for clearing CDS, including guaranty fund and margin accounts, as well as a dedicated risk management system and governance structure. Together with ICE Trust U.S. (ICE Trust(TM)), ICE is ... more »

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Tuesday, July 28

Pricing Partners presents an acceleration method by a factor 100 for the calculation of options at the “Stochastic Processes and Their Applications SPA 2009” conference

by Sean Sprackling on Tue 28 Jul 2009 10:09 BST

Press Relkease - Paris-London:

Pricing Partners the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced today that the latest research about the acceleration by a factor 100, calculating the price of financial options with a stochastic volatility model, caught the attention of the scientific committee, the 33^rd edition of the Stochastic Processes and Their Applications (SPA 2009) Conference, and will be presented during the week of this Conference in Berlin from 27 to 31, July 2009.

SPA 2009 Conference (Stochastic Processes and Their Application) is a major event in the field of mathematic research in stochastic processes and their applications. This event will gather the latest work of significant contributions to basic research and important people working in many areas.

This year for example, the topics ... more »

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ICE makes OTC regulatory framework changes

by Sean Sprackling on Tue 28 Jul 2009 09:58 BST

Press Release - IntercontinentalExchange, 27 July 2009

IntercontinentalExchange (NYSE: ICE), a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets, announced enhancements to its OTC regulatory framework.

In accordance with the recent rulemaking of the Commodity Futures Trading Commission (CFTC) regarding Significant Price Discovery Contracts (SPDC), ICE is now a registered entity with the CFTC and will begin submitting enhanced market statistics for its cash-settled Henry Hub natural gas swap market to the CFTC immediately. Clearing firms will begin providing large trader data to the CFTC and ICE's data will be incorporated in the weekly Commitment of Traders (COT) report. ICE has worked with the CFTC in developing regular OTC market reporting, including large trader information, since October 2006. In addition to its inclusion in the COT report, the ICE Henry Hub swap will also be subject to position limits and accountability levels.

In May 2008, ... more »

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