SuperDerivatives, provider of options pricing and a multi-asset derivatives platform for revaluation and risk management, says hedge fund administrator Columbus Avenue Consulting has chosen its credit derivatives platform, SD-CD, to price its clients’ portfolios. Columbus has more than $6.5 billion in assets under administration, and in excess of 45 employees. It offers full onshore and offshore administrative services to hedge fund and fund of hedge fund clients.

READ THE REST

Credaris Portfolio Management has tapped Markit Group to supply pricing and asset valuations for its credit data services. Under the deal, Credaris will gain access to Markit’s credit default swap and loan pricing, as well as to its Markit Reference Entity Database. Credaris, which has EUR 1.3 billion under management, provides asset management services for institutions seeking to generate high returns from their credit assets.

J.P. Morgan has become the second firm to go live with the T-Zero post-trade straight-through processing platform for credit derivatives. T-Zero, a spin off from credit trading outfit Creditex, is already being used to process live trades between Goldman Sachs and hedge fund KBC Alternative Investment Management and is yet another system responding to the increasing pressure from US and UK regulators to clear up the backlog of trade confirmations. The system has been designed to electronically capture and re-direct all trade details, assignments, allocations and other relevant details in the processing of credit derivatives. The platform automatically allows counterparties to send affirmed trades to the Depository Trust and Clearing Corporation for same-day or T+0 legal execution.

Meanwhile, Thunderhead is integrating its document generation platform for OTC derivative trade confirmations with T-Zero’s post-trade processing system, to offer greater automation for the credit derivatives (CDS) market. As a result, Thunderhead can now automatically produce a variety of trade confirmation formats including print, fax, email web and FpML upon receiving an FpML message from T-Zero. This allows dealers to improve the quality and accuracy of their credit trade data before generating physical trade confirmations through the Thunderhead platform. In addition, Thunderhead’s recent announcement of its XML Adapter for the Depository Trust & Clearing Corp.’s Deriv/SERV, which generates DTCC compliant FpML, will enable automated settlement of credit trades as part of this process.

Twelve dealers have stated they will use Swapswire to reach compliance with the 2005 Novation Protocol, published by the International Swaps and Derivatives Association (ISDA). ISDA issued the protocol to reduce derivatives settlement backlogs, a large percentage of which are due to novations, the mechanism by which buy-side clients exit derivatives positions prior to maturity by transferring the rights and obligations of the original transaction to a third party. The 12 dealers are: ABN Amro, Barclays Bank, BNP Paribas, Credit Suisse First Boston, Deutsche Bank, Goldman Sachs, J.P. Morgan Chase & Co., Lehman Brothers, Merrill Lynch, Morgan Stanley, Royal Bank of Scotland, and UBS Investment Bank. The Swapswire system allows the transferer to communicate a fully defined derivative transaction with all trade detail to both the so-called remaining party and the transferee. The remaining party can signal their consent, and the transferee can also confirm that they have received and are in agreement with the trade details. The process used effects a fully ISDA-compliant legal novation confirmation in electronic format, eliminating the need for the three parties to separately generate and match novation documentation. Swapswire supports a wide range of OTC derivative products including interest-rate, credit and equity derivatives.

Risk management platform provider Algorithmics is to include Fitch Ratings’ issuer ratings within its Algo OpVantage Financial Institutions Risk Scenario Trends (First) database of case studies. The addition is aimed at allowing clients to analyze the cost of a risk event. It will also allow Algorithmics to track the impact of operational risk events on a company’s credit rating.

Xenomorph has provided an integrated data driver between its TimeScape Enterprise Solution and Markit’s credit data web services supporting integration of credit derivatives and bonds daily pricing and Reference Entity Database (RED) from Markit. Markit’s dataset also supports the independent pricing of credit instruments using TimeScape’s Pricing Services.

Sophis has released a new version of its buy-side risk management solution, featuring credit derivatives and commodities enhancements. Sophis’s Value platform now offers new valuation and risk correlation modeling capabilities for credit derivatives. Sophis cites the increased popularity of complex cross-asset trading strategies as a key driver of its new credit derivatives model.

Ratings agency Fitch Ratings has acquired the ValuSpread credit derivatives pricing data business from Lombard Risk Management. Fitch paid £6 million plus £625,000 in deferred income for ValuSpread, which was founded in 1999 and provides daily information on credit default swap spreads. Fitch plans to operate the company as an independent business unit.

Kamakura Corp. has integrated Markit Group’s credit default swaps pricing database into its Kamakura Risk Manager default probability and default correlation models. The deal will give mutual clients pricing on more than 2,600 entities based on contributions from 50 dealing firms. The prices can be used as modeling inputs to the Kamakura systems.

Major banks involved in the credit derivatives marketplace have been called to a meeting with the Federal Reserve Bank of New York to discuss risk management practices. The Fed, worried about the growing number of unsigned confirmations outstanding in the fast-moving credit derivatives markets, has invited senior executives and risk managers from 14 major players to a meeting in New York on September 15 to discuss risk management practices. Last month, the Counterparty Risk Management Policy Group urged market players to clear the backlog of unconfirmed trades and to set more robust infrastructures for processing credit derivatives transactions.

New York private equity firm TA Associates has injected $50 million into electronic derivatives trading platform Creditex in return for a minority stake. Creditex is an electronic execution platform for credit derivatives used by 800 traders worldwide.

SwapsWire went live last month, with eight dealers confirming their OTC equity options transactions electronically using the platform.

At its launch, 12 institutions had committed to use the system: Barclays, BNP Paribas, Calyon, Citigroup, Credit Suisse First Boston, Deutsche Bank, Dresdner Kleinwort Wasserstein, Goldman Sachs, J.P. Morgan, Merrill Lynch, Societe Generale and UBS.

SwapsWire expects more to join soon. It also reported that Citigroup and Goldman Sachs have used the platform to clear a backlog of executed but unconfirmed credit default swaps (CDS) trades between
themselves.

Investkredit Bank has opted for AIM Software’s risk management system to manage its credit risk calculations. The system will allow the bank to automate previously manual risk management processes, reducing the potential for error during data import and processing.

Bear Stearns is consolidating its derivatives trading and processing operations on to a single platform using Calypso Technology. The new platform will combine the investment bank’s credit derivatives processes with those for interest-rate and equity derivatives. Bear Stearns hopes the new set-up will streamline its front-to-back-office process flows.

Anvil has added a credit default swap (CDS) module to its Denarius system. Denarius is a deal-capture and straight-through-processing system covering fixed income, equities, money markets, repurchase agreements (repos), foreign exchange and derivatives. Users of the new module will be able to automate many aspects of a CDS trade, reducing the high proportion of broken trades that characterizes this marketplace.

Reuters plans to release a new Kondor Global Risk module, using grid and Linux technologies, for managing limits and credit exposures on an enterprisewide basis. The new module will feature a Basel II compliance module. IBM, Intel and DataSynapse were involved in the development to ensure the efficient use of grid technologies, which will support a Monte Carlo simulation engine.

Fortis Bank’s merchant banking unit has implemented Sungard Trading & Risk Systems’ Adaptiv Risk to manage its global counterparty credit risk exposures and limits in real time. The system is supporting several hundred users, who gain access on an ASP basis, in the bank’s Hong Kong, Taipei, New York, Singapore, Amsterdam, Warsaw, Krakow, Luxembourg, Brussels and London offices. Adaptiv processes over 5,000 trades per day and over 15,000 limits across a range of portfolios for more than 5,200 counterparties. Up to 100,000 deals per month pass through the system for pre-deal limit checking, exposure measurement and limits updates, violation management and credit risk reporting.

Standard Bank Group has selected Sungard Trading & Risk Systems’ Adaptiv Credit Risk as part of its plan to develop common credit risk processing platform for all investment and wholesale banking activities within the group. The South African bank will use Adaptiv Credit Risk to manage global wholesale credit risk across multiple locations on an ASP basis, using Sungard’s South African-based data centre as its host.

Kamakura Corp. has expanded the number of default probability correlations offered on its Kamakura Risk Information Service (KRIS). Kamakura now offers 896 million correlations between the default probabilities of all possible pairs of companies formed from its 16,000-company KRIS service. KRIS includes correlations for default probability maturities of one month, three months, six months, one year, two years, three years and five years. Pair-wise default probability correlations are essential to accurate pricing and valuation of collateralized debt obligations. Separately, Kamakura has released credit model performance tests to clients for version 4.0 of KRIS. Version 4.0 will be launched officially in the second quarter.