The European Association of Central Counterparty Clearing Houses (EACH) has published a paper that indicates its support for the introduction of central clearing counterparties for the OTC derivatives markets. The industry association believes a CCP can serve as part of the blueprint to effectively mitigate counterparty risk and improve operational efficiency in the OTC derivatives market across asset classes and products.

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Following on from its white paper last month, London-based consultancy Adsatis has published another report looking into the clearing counterparty (CCP) approach in comparison to bilateral agreements with regards to OTC derivatives. Adsatis consultant and author of the white paper, Bill Hodgson, reckons firms can apply aspects of the CCP approach to a non-CCP environment.

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The current financial crisis has had a significant impact on the buy side’s data management practices, according to a recent white paper by Asset Control in partnership with London-based management consultancy Lepus. Martijn Groot, director of market strategy at Asset Control, explains the highlights to Reference Data Review.

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Originally appeared in MiFID Monitor

The market may be overestimating the impact that the introduction of a central clearing counterparty (CCP) will have on systemic risk, according to London-based consultancy Adsatis. The firm’s recent white paper, entitled “A central counterparty for OTC credit derivatives – are we over estimating the importance?”, examines the benefits and possible disadvantages of clearing OTC credit derivatives via a CCP.

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There is no ‘one size fits all’ maturity level for data management projects and firms must consider factors including size, focus, core expertise, business requirements and constraints before embarking on such a projects, according to the latest white paper from LakeFrontData. Different capability levels are therefore appropriate for different business requirements and firms must be careful not to overreach themselves in these endeavours.

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Following the appointment of Tom Abraham as CEO last year, investment management solution vendor DST International (DSTi) has refocused its attention on the area of the middle office within asset management firms. Steve Cheng, head of solution, Investment Control at DSTi, explains to Reference Data Review the details of the vendor’s recent research and its plans for the derivatives middle office space.

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There has been a widespread failure of the Gaussian copula valuation model in the credit derivatives market, according to a recent survey by analytics and risk management solution provider Quantifi. Rohan Douglas, CEO of the vendor, explains that the failure of the standard one factor models that are widely used to price synthetic collateralised debt obligations (CDOs) is one of the most serious challenges being faced by market participants today.

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Hedge fund administrators need to modify their current business and operational processes and to adopt new practices designed to provide greater insight and transparency into the value of derivatives, according to a recent whitepaper by OTC Valuations (OTC Val). The whitepaper, entitled Independent Pricing For Complex Derivatives and Illiquid, Hard-to-Value, Securities: Trends and Current Practices at Hedge Fund Administrators”, looks at the challenges facing this community as a result of the current market environment.

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Written by: Neil Edelstein, Senior Director, Product Development, GoldenSource Corporation. Throughout the boom in complex leveraged and collateralized debt instruments, high yields have all but blinded investors to the significant risk. Now that the market has turned sour, and lenders are calling in the debts, investors are learning the hard way exactly how CDOs and other exotic instruments unravel.The market will survive this crisis, but not without a few major casualties. To avoid becoming another Herstatt or Barings, institutions need a comprehensive understanding of all the debt they hold, and of all the related information on customers, counterparties, issuers and collateral. With a clear view of both their exposure to risk and the collateral they can offset against that risk, institutions can weather the storm and prove their viability to the market.

This 6-page document provides a strategy for surviving the current crisis by harnessing the benefits of Enterprise Data Management.

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Summary

This document describes an exercise to measure the scalability and performance of the Syn~Settlements application upon a Linux/HP platform. The results recorded include:

~ demonstrated scalability consistent with a linear model;
~ peak throughput of the scalable system at 77K trades per hour;
~ demonstrated efficacy of quad-core processor architectures as a means of scaling the database tier;
~ maximum throughput recorded on six CPUs was 105k trades per hour.

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