OpenGamma upgrades platform

The enhanced platform offers advanced stress testing capabilities, performance improvements, and extended asset-class functionality across listed products and credit derivatives.

via Pocket July 16, 2013 at 10:19PM

CVA risk – Central Clearing

CVA risk – Central Clearing
Posted on July 10, 2013 by Ravikanth Borra
CVA risk (Credit Valuation Risk)

What is credit valuation adjustment?
Credit valuation adjustment (CVA) is an adjustment made by a bank to the market value of an OTC derivative contract to take into account credit risk of the counterparty, i.e. the risk that the credit quality of the counterparty deteriorates or that the counterparty in question defaults. As such, in accounting terms, CVA is the “market value” of credit risk.

Why is CVA important
Under the proposed Basel III framework, the capital charge will be enhanced by a new charge, called the Credit Valuation Adjustment (‘CVA’) Risk Capital Charge.
This is a capital charge, whereby the bank is required to hold additional capital when entering an OTC trade. The charge is designed to cover losses arising from the fact that as the counterparty’s financial position worsens, the market value of its derivatives obligation declines, even though there might not necessarily be an actual default.

Central Clearing

Trades that are cleared through a central counterparty (‘CCP’) will be collateralized daily, reducing any potential CVA charge, but not completely eliminating.
In a centrally cleared model, counterparty risk is reduced by each end investor facing a clearing broker, that clearing broker then facing the CCP. The exposure that the clearing broker has to the client is identical to the exposure it has to the CCP, effectively
‘passing through’ the client’s counterparty risk to the CCP.

Under current proposals, this structure may be treated as a bilateral trade between the end investor and clearing broker, and a centrally cleared trade between the clearing broker and CCP. The ‘end investor to clearing broker’ leg would attract a higher risk weighted capital charge and the ‘clearing broker to CCP’ leg would attract an additional lower risk weighted capital charge.

The charge for entering into a centrally cleared trade may therefore be higher than a bilateral trade alone, the opposite of the desired effect.

EMIR Consultation

The purpose of this consultation is to gather stakeholders’ views on two specific issues in the area of counterparty credit risk, on which:
– Capitalisation of bank exposures to central counterparties (Section I) and
– Treatment of incurred credit valuation adjustments (Section II)

The EMIR consultation paper below describes the proposed solution and issues if any

Click to access consultation_paper_en.pdf

Brady CTRM selected by Agrifert SA for Soft Commodities Trading and Risk Management

Brady plc (BRY.

via Pocket June 20, 2013 at 06:45PM

Icap takes stake in portfolio reporting start-up

Icap takes stake in portfolio reporting start-up

Interdealer broker Icap has taken a stake in a New York-based start-up as part of its broader strategy to incubate next-generation financial technology providers positioned to benefit from regulatory reform.

Icap takes stake in portfolio reporting start-up

Euclid Opportunities, Icap’s two-year-old vehicle for funding early-stage technology firms, has invested in Enso Financial Management, a provider of portfolio reporting and data analytics services for hedge funds and asset managers. The size of the investment was not disclosed.

In a statement issued this morning, Mark Beeston, chief executive of portfolio risk services at Icap, who oversees Euclid Opportunities, said: “EFM have clearly demonstrated their advanced portfolio analytics deliver the transparency and operational insight increasingly required by buy side participants. EFM’s technology is a strong fit for ICAP and will complement our suite of services to help our customers drive the efficiencies demanded in today’s trading environment.”

Icap has a track record of investing in fledgling technology services firms as part of its strategy to become a provider of post-trade risk management services. Its post-trade focused subsidiaries TriOptima and Traiana have become well-established industry names.

The interdealer broker founded Euclid Opportunities in March 2011 as a vehicle for hunting out and nurturing technology companies which are set to benefit from dramatic shifts in the financial market infrastructure brought about by the G20 post-crisis reform agenda.


Today’s investment is the company’s fourth since Euclid was launched. It invested in trade matching and reconciliation software firm Model Two Zero (now known as in January last year and in open-source analytics and risk management provider OpenGamma in August. It is also working with counterparty credit risk software company Global Valuation, which Icap has licensed to provide technology and services to TriOptima.

EFM provides data reporting on more than $100bn worth of assets. The company will use the funding to develop its products and expand geographically, Icap said this morning. Steve Gibson, managing director of Euclid Opportunities, will also join the company’s board.

S&P Capital IQ launches new Portfolio Risk solution delivering Real-Time Risk Analysis for Multi-Asset Class Portfolios

S&P Capital IQ launches new Portfolio Risk solution delivering Real-Time Risk Analysis for Multi-Asset Class Portfolios

Solution incorporates leading risk and scenario analytics with essential market data and fundamentals to produce a one-of-a-kind offering

S&P Capital IQ today announced the launch of its Portfolio Risk solution, an advanced risk and scenario analytics tool that provides traders, portfolio and risk managers with the ability to make decisions about the pricing, hedging and capital management of multi-asset class portfolios in real-time.

Available on the S&P Capital IQ desktop, the product brings together leading risk and portfolio analytics acquired through last year’s purchase of R(2) Financial Technologies and S&P Capital IQ’s extensive market and reference data. The Portfolio Risk solution offers a fully integrated data and analytics platform, eliminating the need to invest in separate data to run risk systems. In addition, it gives users the ability to use interactive portfolio dashboards to aggregate data or drill down to the most detailed level of fundamental financials and research, enhancing understanding of impacts of potential changes on P&L at an actionable level. These views are comprehensive, yet easy to change and organized to suit individual needs.

The Portfolio Risk solution covers a diverse range of asset classes from cash, fixed income and equities to exotic derivatives. By offering best-in-class instrument pricing, portfolio analytics, scenario analysis and stress-testing capabilities via shareable dashboards, it facilitates communication and collaboration around risk and investment strategies while also providing full transparency into underlying methodologies and on-the-fly calculations. These features ensure that risk metrics can be calculated quickly and that new scenarios or market strategies can be tested and acted upon swiftly.

“In just over a year since our acquisition of R(2) Financial Technologies, we have successfully brought together rich data, sophisticated analytics, and relevant market commentary, news and analysis,” said Lou Eccleston, President, S&P Capital IQ. “The result is that our clients can quickly generate a transparent, fully customized risk picture enabling them to react quickly to changes in the market and to new investment ideas.”

“We are just beginning to leverage the depth of S&P Capital IQ’s data resources to deliver what we call ‘risk intelligence,’ including the power to gather new insights into how portfolios behave under varying scenarios,” said Dan Rosen, Managing Director, S&P Capital IQ. “We have assembled one of the most experienced teams of risk and financial engineering experts in the world and dedicated them to delivering interactive, real-time risk analysis as a central part of the investment decision making process.”

Raptor Trading connects to TMX Atrium community in North America

TMX Atrium™, provider of smarter infrastructure solutions for the financial community, today announced that Raptor Trading Inc., (Raptor) has connected to TMX Atrium in Toronto to take advantage of low latency access to Canadian exchange market data.

via Pocket June 17, 2013 at 01:49PM

Ontario Municipal Employees Retirement System (OMERS) strengthens its ALM Modeling capabilities with…

Ortec Finance, a global provider of technology and advisory services for risk and return management, announced today that OMERS, one of the largest pension plans in Canada, has signed an agreement to license and implement its Asset/Liability Management (ALM) software for pension plans.

via Pocket June 17, 2013 at 01:47PM

Fusion Systems’ hardware accelerated Raptor Raw helps traders achieve pre-trade risk management…

In today’s trading marketplace, where increasingly diverse and widespread regional and governmental regulations are imposed, there is a renewed focus on risk management, specifically on pre-trade risk exposure.

via Pocket June 15, 2013 at 07:18PM

Triple Point Launches Commodity XL Strategic Planning and Procurement 8.0

Triple Point Technology, the leading global provider of on-premise and in-cloud Commodity Management software, announced today the availability of Commodity XL Strategic Planning and Procurement™ (SPP) 8.0.

via Pocket June 15, 2013 at 07:01PM

Succession Systems says real-time trade compliance system deployed by Newedge to meet Canadian Requirements

Succession Systems says real-time trade compliance system deployed by Newedge to meet Canadian Requirements–deployed-by-newedge

Anthony Masso, CEO, Succession Systems

Anthony Masso, CEO, Succession Systems

“We tune the implementation to scan the orders in nanoseconds.”

New York City/Toronto – Succession Systems said Newedge Brokerage had deployed its pre-trade compliance solution to meet regulatory requirements for automated trading risk controls in Canada and the United States.

“Compliance requires the consolidation of real time trading flows across many different trading technologies,” said Anthony Masso, CEO Succession Systems. “A broker may have several different trading systems and the Market Access Risk System must adapt to all the platforms in use by clients.”

Succession said its TripleCheck Market Access Risk Solution consolidates, controls and reports on the trade flow from third party trading platforms, direct market access routers, and co-located proprietary servers.

“We tune the implementation to scan the orders in nanoseconds,” Masso said.

Brokers in Canada were given until May 31 to deploy the trading controls needed to meet rules for Canadian exchanges. Pre-order entry filters are required across all trading activity for brokers to manage trading exposures of clients in real time.

New automated trading regulations have been rolling out around the world after the US Securities and Exchange Commission introduced rule 15c3-5 in 2011.

Succession said that prior to the ruling, many brokers relied on their overnight back office systems to reconcile the trades and calculate the client positions, whereas regulators now wanted checks done in real time so that risk limits are enforced on an intraday basis.

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