Ignis Asset Management Choose Eclipse for Listed and OTC Derivatives Processing

Sean Sprackling — Thu, 19 Nov 2009 10:06:17 +0000

Tuesday, 17 November 2009 07:21

Ignis Asset Management (Ignis) has recently signed an agreement with FFastFill plc for their Eclipse post trade processing settlement and margining solution. This decision comes after an exhaustive selection process and Eclipse now forms an integral part of the new Ignis derivatives technology infrastructure.

Commenting on this Patrick Thornton-Smith, Managing Director at FFastFill says, "We are delighted to welcome Ignis as a new client of our Eclipse software as a service solution to support their listed derivatives and sector swap processing activity. Ignis is a leading UK investment manager and to have the company as a customer underlines our commitment to both the buy and sell side of the post trade processing business."

Derek Montgomery, Derivatives Operations Manager at Ignis, adds, "Following our thorough evaluation process we chose Eclipse not only for the product functionality and flexibility but for the support from the FFastFill ...

Markit changes Boat data service prices

Sean Sprackling — Wed, 04 Nov 2009 09:08:50 +0000

Press Release - 03 November 2009
Markit, a leading global financial information services company, today announced the introduction of a new pricing schedule for its Markit Boat data service.
Markit BOAT provides a comprehensive view of the European over-the-counter (OTC) equity markets. The service gives users access to trade reports on an average of EUR 20 billion of OTC trades in equities every day. This is equivalent to approximately 25% of the daily volumes traded in the European equity markets.

Will Meldrum, Managing Director and Head of Equities Data at Markit, said: "Markit BOAT trade reported data is aggregated from over 30 leading investment firms and multi-lateral trading facilities which use the platform to report their off-exchange equities trades. In February 2009, we introduced a scaling fee schedule that enabled per user fee reductions for firms with a large number of users. Under this new schedule, we are offering an ...

BME to create a Trade Repository for OTC financial products

Sean Sprackling — Wed, 04 Nov 2009 09:07:10 +0000

Press Release - 03 November 2009

Greater control and transparency, in line with the proposal by the European Commission

Bolsas y Mercados Españoles (BME) is going to create a Trade Repository for a wide range of Over the Counter (OTC) financial instruments, in line with the European Commission’s Communication of October 20^thwith the aim of achieving greater operational control and transparency in the trading of these products. The project is expected to be completed by the second quarter of 2010. Visit this link for more information: (http://ec.europa.eu/news/economy/091022_en.htm),

According to the European Commission the appropriate management of systemic risk requires supervisory authorities to have a thorough vision of OTC derivatives markets and this can only be attained if all trades are reported to a Trade Repository, which in turn makes the information available to the supervisory authorities. In this scenario, it is very important that ...

Fitch Solutions Partners with Pricing Partners on CDS Data Distribution

Sean Sprackling — Thu, 29 Oct 2009 08:54:36 +0000

Paris-London: Fitch Solutions, a division of the Fitch Group focusing on the development of fixed-income products and services, and Pricing Partners, the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, today announces a strategic partnership allowing users of Pricing Partners’ Price-it Solution with Fitch Solutions market data license to access seamlessly Fitch Solutions’ market data on OTC credit derivatives.

The partnership will allow the easy integration of CDS spreads market data from Fitch Solutions into Price-it Excel, Pricing Partners’ cross asset independent valuation platform. This will thus enable Price-it Excel users to access and use the Fitch Solutions’ market data source for CDS spreads on single name and index.

The combination of Fitch Solutions data and Pricing Partners cutting edge valuation tools will therefore allow market players to ...

Misys ships OTC derivatives offering

Sean Sprackling — Wed, 28 Oct 2009 07:51:58 +0000

Press Release: Misys, 27 October 2009
Misys (FTSE: MSY.L), the global application software and services company, announces the launch of Summit Invest, the buy-side derivatives solution that leverages the 20 years of OTC and derivatives expertise of Misys Summit FT.

Misys Summit Invest enables trading, risk management, trade processing and OTC lifecycle management in a tailored buy-side environment. It includes many new features to ensure organisations handle the complexity, risk and regulatory reporting of these complex products. The solution is being deployed this month by a major UK-based Asset Manager. This release along with a strong product roadmap for buy-side signals Misys' commitment to be a significant buy-side solutions provider.

Delivered in a flexible and customisable ASP environment, Summit Invest also meets the need for fast deployment, enabling organisations to be up and running within just a few months. It provides a risk-free and flexible approach that ensures buy-side firms ...

Numerix and CDO Software team up

Sean Sprackling — Wed, 28 Oct 2009 07:50:47 +0000

Press Release: Numerix, 26 October 2009
Numerix, the leading independent service provider of award winning cross-asset analytics for the structuring, pricing and risk evaluation of derivatives and structured products, along with CDO Software, a leading provider of CDO and CLO portfolio management tools, today announced their partnership to offer integrated "Numerix Powered" pricing and risk solutions within the CDO Tools application suite.

Users of the CDO Tools suite, including portfolio managers, investors, risk managers and trustees in the credit markets, will be able to access the extensive Numerix CrossAsset library of independent pricing models and methods to price and generate risk sensitivities across synthetic CDO and CLO instruments. The flexibility of the Numerix CrossAsset library allows users to calculate risk analytics by specifying the copula type, correlation model and base correlations from reference deals.

"The integration of Numerix analytics within the CDO Tools application suite offers users a powerful and ...

Pricing Partners Moves its Headquarters to Paris’s Prestigious Financial Area

Sean Sprackling — Thu, 22 Oct 2009 16:42:06 +0100

Paris-London: Pricing Partners (Uwww.pricingpartners.com)U, the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, proudly announced today that it will move its headquarters to central Paris’s downtown area in November 2009 as a result of impressive growth and a consistent demand for products and services. The new address will be:

Pricing Partners,

6 rue Rougemont,

75009 PARIS

Pricing Partners is expanding at a rapid rate, adding more staff, developing new products and extending its client portfolio. After three years in the Paris Cyber Village, an incubator dedicated to young and innovative companies, Pricing Partners has exceeded expectations and decided to move to the most prestigious financial center: the 9^th arrondissement, a district famous for the historical Paris stock exchange, Palais de la Bourse and an ...

Trade Associations Savage the EC Proposals

Sean Sprackling — Thu, 22 Oct 2009 09:09:57 +0100
Well, the dividing lines are well and truly set. Unsurprisingly the exchanges have come out in favour of the EC proposed OTC reforms (see below), and simultaneously several trade bodies have come out fighting against them.

Anthony Belchambers of the Futures and Options association released a statement saying "...(The Communication) still poses serious questions over the continued capacity of the OTC markets to service adequately the essential risk-management needs of insitutional customers and counterparties...there are also continuing concerns over whether the impact of new capital rules, conservative margin requirements and tighter collateralisation, not to mention the prospect of position limits, will adversely impact the underlying economis of risk management.

ISDA also released a statement on the requirement for dealers to use exchanges saying, "...Mandated exchange trading could limit the flexibility of derivatives users to hedge their risk exposure...some forms of price disclosure and inappropriate forms of standardisation will harm liquidity ...

Deutsche Börse and Eurex support EU Commission Plans to increase Safety and Soundness of OTC Derivatives Market

Sean Sprackling — Thu, 22 Oct 2009 08:51:13 +0100
Press Release - 21 Oct 2009
Deutsche Börse and Eurex welcome the communication issued by the EU Commission entitled "Ensuring Efficient, Safe and Sound Derivatives Markets: Future Policy Actions". Both companies support the EU Commission's objective to reduce systemic risks in the OTC derivatives market in order to increase the stability of the market with the proposed measures. Effective risk management and improved transparency are essential elements to strengthen the safety and soundness of the current market organization.

With their expertise as an operator of exchanges and of Europe's largest clearinghouse Deutsche Börse and Eurex want to actively support the EU Commission in implementing its proposals.

The communication finalises the consultation process towards a future regulation of OTC derivatives markets in the European Union and states the proposals of the EU Commission for 2010.

Deutsche Börse published its proposals for a market structure with improved safety and integrity at the ...

European ommission sets out future actions to strengthen the safety of derivatives markets

Sean Sprackling — Tue, 20 Oct 2009 15:59:30 +0100
Press Release 20 October 2009

The European Commission has adopted a Communication for ensuring efficient, safe and sound derivatives markets. The Communication sets out future policy actions to increase transparency of the derivatives market, reduce counterparty and operational risk in trading and enhance market integrity and oversight. They follow the stakeholder consultation launched with the Communication in July ( IP/09/1083 ) and the public hearing in September. The Commission will come forward with legislative proposals in 2010. These proposals will be in line with the G20 Pittsburgh statement and will be accompanied by a thorough impact assessment. In order to avoid any risk of regulatory arbitrage and to ensure a global consistency of policy approaches, the Commission stands ready to work with authorities around the world when finalising the proposals.

Internal Market and Services Commissioner Charlie McCreevy said: "This Communication marks a paradigm shift away from the traditional view that ...

Pricing Partners introduces Hagan Adjuster in the interest rates module

Sean Sprackling — Thu, 15 Oct 2009 14:59:12 +0100

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 it has introduced Hagan Adjuster, a new class of models, for its interest rates module to enhance its valuation capacity. The Hagan Adjuster model thoroughly combines the versatility of dynamic models (Libor Market Model, short rate model like Hull White or Gaussian Quadratic models) and the accuracy of static models (SABR, Black Scholes, Bi-SABR, etc.). With Hagan Adjuster, Pricing Partners now remarkably improves its valuation power on interest rates derivatives and on vanilla like products. This model is available on Price-it® Excel and soon on Price-it® Online.

Pricing and managing derivatives often involves very challenging issues. Models could have complementary advantages, whereas, models suitable for vanilla derivatives cannot always fit complex instruments, ...

Riskart releases XML-based OTC publishing module

Sean Sprackling — Mon, 12 Oct 2009 12:01:13 +0100

Press Release: riskart, 09 October 2009
Following the announcement of the decision from the Committee of European Securities Regulators (Cesr) to back European Commission plans to compel transaction reporting on over-the-counter derivatives, riskart today announced the release in beta test of its new XML-based publishing module.

This will allow the publication in XML in compliance with FpML standards from its state-of-the-art OTC derivatives middle and back office system of all details concerning those derivative contracts whose underlying instrument is traded on a regulated market.
The design of the new publishing module will give clients a standard publishing mechanism that may be easily adapted for reporting requirements both towards regulatory authorities' systems and other trade publishing platforms.
On the basis of Cesr's on-going consultations with the market, the flexible nature of riskart's back office system will also allow clients to easily add to contracts a unique new identification code, whether it ...

TriOptima completes additional Thomson portfolio compression cycles

Sean Sprackling — Thu, 08 Oct 2009 08:48:45 +0100

Press Release: TriOptima, 07 October 2009
TriOptima announced today that it has completed two additional portfolio compression cycles for Thomson single name and Thomson-related index tranche transactions after the implementation of the ISDA 'Small Bang Protocol'.
In the Thomson single name cycle, 31 banks terminated 8105 trades with a notional value of $19.6 billion. The Thomson single names terminated represented over three quarters of the current population of single name trades held by the cycle participants in DTCC's Trade Information Warehouse.

With 26 banks participating, 5232 index tranche trades from ITraxx series 1-7 which include the Thomson name were terminated with a notional value of $215 billion.

"The last single name compression was tailored to meet the inherent challenges of the Restructuring Credit Event," said Athanassios Diplas of Deutsche Bank, co-chair of ISDA's Credit Steering Committee. "It employed a new methodology that allowed us to reduce a much larger number ...

Pricing Partners implements Simplex Algorithm and significantly enhances its calibration power

Sean Sprackling — Thu, 08 Oct 2009 08:47:24 +0100

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 Simplex, a new optimization technique, has been implemented in the Price-it Library to enhance its calibration power. This unrivaled first-to-market algorithm, allows time dependent Heston Model parameters, accelerates calibration procedure and improves calibration accuracy. With this upgraded numerical method, Pricing Partners enriches Price-it Library and undoubtedly enhances its strong authority on cutting edge model expertise.

A calibration procedure is a necessary step during which market data (usually implied BS volatility) is used as input to determine the parameters of a financial model. The optimum research for those parameters enables the model to fit the best the input market data. However, calibration can be time consuming and depends on the size of the ...

FSA finalises far-reaching overhaul of UK liquidity regulation

Sean Sprackling — Tue, 06 Oct 2009 11:56:24 +0100

FSA/PN/132/2009
05 October 2009

The Financial Services Authority (FSA) has today published its final rules on the liquidity requirements expected of firms.

The far-reaching overhaul, designed to enhance firms’ liquidity risk management practices, is based on the lessons learned since the start of the credit crisis in 2007. The new rules will require changes to firms’ business models and will bring about substantial long-term benefits to the competitiveness of the UK financial services sector.

London’s competitive position depends on counterparties’ perception of the financial soundness of the firms that operate in the UK. Low-levels of financial soundness cannot provide sustainable long-term competitive advantage. The FSA’s new requirements are designed to protect customers, counterparties and other participants in financial services markets from the potentially serious consequences of imprudent liquidity risk management practices.

Specifically, the rules include:

An updated quantitative regime coupled with a narrow definition of liquid assets;
Over-arching principles of ...

US Bill Exempts Non-Dealers from Central Clearing

Sean Sprackling — Tue, 06 Oct 2009 11:13:48 +0100
I have to say that it is with some relief that I read that the draft bill on compulsory central clearing for CDS being touted by Barney Frank in the US Congress, is to exempt many non-financial firms (ie those that are actually using them as they were designed - to hedge risk). Frank's bill exempts swaps from new rules requiring centralized clearing that are meant to bring more visibility to the market if 'one of the counterparties to the swap is not a swap dealer or major market participant.'

This means that not only the buy-side, but other end-users such as airlines, agricultural businesses and other large corporations, have in fact had their pleas about being forced to deposit the collateral required to satisfy margin requirements involved in centralised clearing heard. The draft bill has also attempted to define the "categories" of derivatives that will, in the future, determine ...

ICE crosses $3 trillion mark in cleared CDS transactions

Sean Sprackling — Tue, 06 Oct 2009 08:28:17 +0100

Press Release: IntercontinentalExchange, 05 October 2009
IntercontinentalExchange((R)) (NYSE: ICE), a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets, announced that its global clearing houses have surpassed the $3 trillion mark in notional value for cleared credit default swap (CDS) contracts.

For the week ending October 2, ICE Clear Europe((R)) cleared a record 136 billion euro ($200 billion) in European CDS index (iTraxx) contracts. Since its CDS clearing launch in July, ICE Clear Europe has cleared 514 billion euro ($750 billion), and has open interest of 64 billion euro ($93 billion). ICE Trust U.S. (ICE Trust(TM)) cleared $91 billion for the week ending October 2. Since its March launch, ICE Trust has cleared $2.3 trillion in North American CDS indexes (CDX), with open interest of $190 billion.
ICE Trust and ICE Clear Europe are operationally ready to begin clearing single name CDS contracts and are working ...

Icap and Fincad upgrade Fair Value Insight

Sean Sprackling — Tue, 06 Oct 2009 08:27:35 +0100

Press Release: Fincad, 05 October 2009
ICAP (IAP.L), the world's leading interdealer broker, and FINCAD, the leading global provider of financial analytics, announced today enhancements to their web-based derivatives valuation solution, Fair Value Insight. The most recent release of Fair Value Insight now enables users to directly upload market data and trades into the system.

Fair Value Insight addresses market need for automated and cost-effective Fair Value Insight, built on FINCAD's industry standard analytics and integrated with ICAP's unrivaled market data, provides an online, cost-effective and transparent independent derivatives valuation solution. The new functionality allows users to upload their own curves as well as FX rate groups, spot rates and historical volatilities used to price FX options and FX option strategy trades. The ability to upload trade details directly into the system provides significant time savings for users with large portfolios.
"With the current spotlight on financial reporting, our clients ...

TwoFour Expands its Derivatives Coverage and Improves Time to Market with FINCAD Analytics

Sean Sprackling — Mon, 21 Sep 2009 11:18:44 +0100

Press Release - 21 September 2009

FINCAD, the leading provider of derivatives analytics, today announced that TwoFour has embedded the latest version of its derivatives analytics library into TwoFour’s global trading system. TwoFour, a leading provider of treasury, FX and cash management solutions, recognized the opportunity to differentiate its client offering with FINCAD’s advanced derivatives analytics.

TwoFour has experienced strong growth in volumes of over-the-counter (OTC) derivatives and recently benchmarked 4,000 cash flows per second on the TwoFour System. As a member of the FINCAD Alliance Program, TwoFour is using FINCAD’s derivatives expertise and analytics software to improve its customer experience and meet critical client needs through increased user efficiency and productivity, while greatly reducing its ...

ISDA Mid-Year 2009 Market Survey Shows Credit Derivatives at $31.2 Trillion

Sean Sprackling — Fri, 18 Sep 2009 14:03:03 +0100

NEW YORK, Tuesday, September 15, 2009 – The International Swaps and Derivatives Association, Inc. (ISDA) today announced at its 2009 Regional Conference in New York the results of its Mid-Year 2009 Market Survey of privately negotiated derivatives.

“The derivatives business overall showed consistent growth in the first half of 2009, demonstrating the need for customized risk management solutions to help navigate the more uncertain economic landscape,” said Eraj Shirvani, Chairman, ISDA and Head of Fixed Income for EMEA at Credit Suisse. "This continued growth is a testament to both the utility of derivative instruments and to the industry's ongoing efforts to reduce risk and enhance operational efficiency."

"These survey results reflect the continued resiliency of the privately negotiated derivatives industry and its benefit to businesses globally," said Robert Pickel, Executive Director and Chief Executive Officer, ISDA. "The reduction in CDS outstanding highlights the great progress made through the industry's implementation ...

FYI I will be chairing a conference on Derivative Operations in November....

Sean Sprackling — Fri, 18 Sep 2009 11:44:00 +0100

THE crucial OTC Derivatives Operations event for 2009

24th November 2009, London

Dear Reader,

In today's economy, hedging risk is more important now than ever before but, given international regulators' proposals for OTC derivatives, an almost universal need to enhance collateral management processes across the fund management industry and continuing market uncertainty, how will your company make sure that the very instruments designed to hedge risk aren't exposing your company to the wrong risks?

Join OTC Derivatives Operations 2009 to make sure that you are bang up to date with the latest tools and techniques drawn from the operational experience of an international panel of speakers:
Cliff Warner, Chief Operating Officer, London and Capital
Stephen J. Ingle, Derivatives Product Manager, The Bank of New York Mellon
Guy Usher, Head of Derivatives & Structured Finance, Field Fisher Waterhouse LLP
Danny Peeters, Head of Collateral Management, Fortis Investments
Jamie Brigstock, Vice President, ...

GlobeOp adds valuation and reconciliation processing data access to GoOTC platform

Sean Sprackling — Fri, 11 Sep 2009 09:45:34 +0100
Press Release: 10 September 2009

On-demand access to valuation and reconciliation processing data is now available through GoOTC, GlobeOp Financial Services' integrated OTC derivatives processing platform.

From a single web-based portal, fund managers gain increased transparency across OTC trade lifecycles and are able to demonstrate independent portfolio pricing and valuation confirmation to investors.

GlobeOp, a leading independent fund administrator, currently processes approximately 3% of the daily global OTC derivatives trade volume. Its robust, scalable GoOTC platform supports full post-trade lifecycle management - trade capture, valuation, reconciliation, operations, collateral management and documentation. The new features enable fund managers to filter portfolios based on reconciliation and confirmation status, and to drill down to and compare trade-specific valuation details.

"Our goal with these enhancements is to bring our clients closer to their data," said Jon Anderson, global head of OTC derivatives at GlobeOp. "Greater transparency and independent valuation is a priority across funds, ...

DTCC expands public release of CDS data

Sean Sprackling — Thu, 03 Sep 2009 08:30:04 +0100

Press Release: Depository Trust & Clearing Corporation, 02 September 2009
The Depository Trust & Clearing Corporation (DTCC) today has brought further transparency to the global credit default swaps (CDS) market, worth more than $31 trillion, by expanding its public release of CDS data maintained in its Trade Information Warehouse to include historical information on those contracts.
The Warehouse is the only comprehensive global repository for the OTC credit derivatives market. DTCC gathers and stores in this global repository information on OTC credit derivatives and performs critical post-trade processing functions such as automated calculation, netting and central settlement of payment obligations, as well as settlement of credit events such as bankruptcies. The expanded data release will now show information on the legally binding records from the previous week, month and year, in addition to the data for the current week.

DTCC first began publishing the CDS information from its global registry ...

CME Group appoints Laurent Paulhac MD, OTC products and services

Sean Sprackling — Thu, 03 Sep 2009 08:29:03 +0100

Press Release: CME Group, 01 September 2009
CME Group, the world's largest and most diverse derivatives marketplace (Nasdaq: CME), today announced that it has appointed Laurent Paulhac, an executive with more than 17 years of derivatives industry experience, to its Management Team as Managing Director, Over-the-Counter (OTC) Products & Services.
Paulhac will report to Rick Redding, Managing Director, Products & Services effective today.

Paulhac will be responsible for leading the development, execution and management of CME Group's global OTC business strategy. He will be based in New York.

"CME ClearPort has grown into a $220 million business over the past seven years, and we are committed to helping market participants around the world to mitigate their counterparty risk and access neutral valuations for OTC products across multiple asset classes," said CME Group Chief Executive Officer Craig Donohue. "With more than 700 products currently available for clearing in energy, metals and ...

Derivatives issues in Investment Management

ICAP predicts surge in CDS

Ignis Asset Management Choose Eclipse for Listed and OTC Derivatives Processing

Markit changes Boat data service prices

BME to create a Trade Repository for OTC financial products

Fitch Solutions Partners with Pricing Partners on CDS Data Distribution

Misys ships OTC derivatives offering

Numerix and CDO Software team up

Pricing Partners Moves its Headquarters to Paris’s Prestigious Financial Area

Trade Associations Savage the EC Proposals

Deutsche Börse and Eurex support EU Commission Plans to increase Safety and Soundness of OTC Derivatives Market

European ommission sets out future actions to strengthen the safety of derivatives markets

Pricing Partners introduces Hagan Adjuster in the interest rates module

Riskart releases XML-based OTC publishing module

TriOptima completes additional Thomson portfolio compression cycles

Pricing Partners implements Simplex Algorithm and significantly enhances its calibration power

FSA finalises far-reaching overhaul of UK liquidity regulation

US Bill Exempts Non-Dealers from Central Clearing

ICE crosses $3 trillion mark in cleared CDS transactions

Icap and Fincad upgrade Fair Value Insight

TwoFour Expands its Derivatives Coverage and Improves Time to Market with FINCAD Analytics

ISDA Mid-Year 2009 Market Survey Shows Credit Derivatives at $31.2 Trillion

FYI I will be chairing a conference on Derivative Operations in November....

GlobeOp adds valuation and reconciliation processing data access to GoOTC platform

DTCC expands public release of CDS data

CME Group appoints Laurent Paulhac MD, OTC products and services