Derivatives issues in Investment Management

Syndicate this category

This Month

Month Archive

October 2009
September 2009
August 2009
July 2009
June 2009

Main Page

« Previous 5 articles | Next 5 articles »

Thursday, August 27

TriOptima compression cycle eliminates Thomson CDS trades

by Sean Sprackling on Thu 27 Aug 2009 09:07 BST

Press Release - 26 August 2009

TriOptima announced today that it has completed the first portfolio compression cycle following a restructuring event under the newly-implemented ISDA 'Small Bang Protocol'.

With 28 dealers participating, 6850 Thomson single name trades with a notional value of $16 billion USD were eliminated on a net basis.

Once a restructuring credit event had been determined by the ISDA EMEA Credit Derivatives Determinations Committee, TriOptima offered its triReduce portfolio compression service as the first step in reducing the number of outstanding Thomson trades prior to an auction settlement.

""There were a significant number of European iTraxx index contracts affected by Thomson's restructuring, which resulted in increased operational risk due to the volume of new single name contracts created. We worked in close consultation with the industry to ensure the maximum reduction in both ticket count and gross notional in advance of the auction settlement process to ... more »

Leave Comment | Permanent Link | Cosmos

Wednesday, August 26

Pricing Partners and ActiveEon provide a high performance solution for the valuation of financial derivative products

by Sean Sprackling on Wed 26 Aug 2009 09:21 BST

Paris-London: Pricing Partners www.pricingpartners.com, the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced today that Pricing Partners established a strong technology partnership with ActiveEon www.activeeon.com to provide an ultra rapid solution for the valuation of derivative products. This partnership is based on the mathematic models for valuations of Pricing Partners and the technology of distributed computing from ActiveEon relying on the groundbreaking innovative ProActive Parallel Suite ® originated from INRIA.

This solution, ‘Price-it® Excel Accelerated by ProActive’, will remarkably increase the computing power of Price-it® Excel and thus considerably reduce the required time for the valuation of portfolio of hundreds even thousands of complex products. It will benefit from the effects of scales by using the maximum of available resources within the company’s clients. The grid computing ... more »

Leave Comment | Permanent Link | Cosmos

Thursday, August 13

US Treasury Department Unveils Bill to Reform OTC Market

by Sean Sprackling on Thu 13 Aug 2009 16:09 BST

The US Department of the Treasury yesterday sent the final piece of its financial regulatory reform legislation to Capitol Hill , a 115-page bill aimed at reforming regulation of over-the-counter derivatives and preventing unsophisticated investors from using them

In their press release the Treasury department commented “These markets have largely gone unregulated since their inception...Enormous risks built up in these markets, substantially out of the view or control of regulators, and these risks contributed to the collapse of major financial firms in the past year and severe stress throughout the financial system,”.

Under the proposed legislation, the OTC derivative markets would be regulated in an holistic way for the first time, touching both the regulation of OTC derivatives dealers and other major market participants.

In particular. regulation of credit default swaps markets is aimed at mitigating against activities posing excessive risk to the financial system, and at preventing market ... more »

Leave Comment | Permanent Link | Cosmos

Tuesday, August 11

Markit launches MarkitSERV

by Sean Sprackling on Tue 11 Aug 2009 09:13 BST

The following is taken from an email from Jeff Gooch, the CEO of MarkitSERV

Dear Colleague,

Following regulatory approval for the Markit and DTCC partnership, it gives me great pleasure to formally introduce you to MarkitSERV.

MarkitSERV combines the strengths of Markit’s trade processing services with those of DTCC Deriv/SERV post-trade confirmation and matching services to provide a new integrated multi-asset class solution for the OTC derivatives market. The recently formed management team is already engaging with the industry regarding the market’s priorities for the first year of operation. Our strategic goal is to offer clients a technology platform that will automate a substantial amount of the remaining paper volume, as well as improve STP rates and efficiency of existing electronic confirmations.

Recent market events have accelerated the need to reduce operational risk, streamline processing and improve the safety and soundness of the OTC derivative markets. Our combined ... more »

Leave Comment | Permanent Link | Cosmos

Tuesday, August 4

ICE Clear Europe clears EUR5.9bn in CDS in first week

by Sean Sprackling on Tue 04 Aug 2009 09:38 BST

Press Release: IntercontinentalExchange, 03 August 2009

IntercontinentalExchange (NYSE: ICE), a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets, today announced that in its first week of operation, ICE Clear Europe cleared euro5.9 billion ($8.4 billion) in credit default swap (CDS) indexes.

ICE began clearing the iTraxx index contracts on July 27 through ICE Clear Europe's CDS clearing operations. During its first week, ICE Clear Europe cleared 141 transactions totaling euro5.9 billion of notional value, and resulting in euro382.5 million of open interest. Each of the initial clearing members participated during the first week.

Said Paul Swann, President of ICE Clear Europe: "The successful launch prior to the July 31 deadline coupled with the participation by each initial member demonstrates the industry's commitment to improving the transparency, standardization and counterparty risk profile in the CDS markets. We commend these participants for their leadership in solving for ... more »

Leave Comment | Permanent Link | Cosmos