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The European hedge fund Whard Stewart Master Fund has joined the client-clearing services of the new EurexOTC Clear for Interest Rate Swaps (IRS).
JP Morgan, one of the largest clearing service providers for listed and OTC derivatives globally, acted as clearing member in respect of initial transactions for Whard Stewart, which was on-boarded as a Registered Customer.
“We have found that clients appreciate the margin efficiencies of clearing listed and OTC in a single CCP. Eurex clearing understands the importance of client asset segregation, and their responsiveness in shaping the new service to meet market needs has been key for
TAIFEX, the Taiwan Futures Exchange, and Eurex Exchange, the international derivatives marketplace, have announced a product cooperation to trade and clear derivatives based on the TAIEX index, one of the most heavily traded Asian equity indexes.
A letter of intent was signed today by Dr Tony Fan, chairman of TAIFEX, and Andreas Preuss (pictured), chief executive of Eurex, in Taipei, Taiwan. The letter foresees to establish a link between both marketplaces. As a first step, the partners plan to list TAIEX options and TAIEX futures as daily expiring futures on Eurex Exchange in Q4 2013.
The TAIFEX/Eurex project is the
ML Capital Asset Management, the investment manager and promoter of the MontLake Ucits Platform, has published the ninth edition of the quarterly ML Capital Alternative Ucits Barometer.
The Barometer is designed to help identify and anticipate key trends in the demand for the major strategies within the alternative Ucits sector.
John Lowry, chairman of ML Capital, says: “The barometer this quarter has recorded some very significant shifts in the demand levels across many of the main strategies. Probably the biggest two winners this quarter have been European and global emerging long/short funds, both of whom received strong levels of support,
Two of the largest European investment managers, Insight Investment Management (Global) Limited in London and OFI Asset Management in Paris, have successfully begun client-clearing services of the EurexOTC Clear for Interest Rate Swaps (IRS).
Both clients were introduced to the service as Registered Customers by the OTC Derivatives Clearing division of Barclays, a leading provider of global multi-asset clearing solutions for OTC and listed derivatives. Among the first to clear such transactions, Barclays and its clients underlined their first mover commitment to being prepared well ahead of the clearing obligation in Europe.
“EurexOTC Clear is developing a comprehensive package for
The Dow Jones Credit Suisse Core Hedge Fund Index closed up 1.61 per cent in January as each of the seven index component strategies reported positive results for the month.
Managed futures and event driven led the way with returns of 2.14 per cent and 2.05 per cent respectively, while global macro (1.10 per cent) and fixed income arbitrage (1.23 per cent) were the worst performers.
The Dow Jones Credit Suisse Core Hedge Fund Index provides daily published index values which seek to enable investors to track the impact of market events on the hedge fund industry.
Towers Watson, a global investment consultant, will include MSCI’s RiskMetrics HedgePlatform into some of its hedge fund advisory and investment processes.
As part of the agreement Towers Watson will use HedgePlatform to evaluate and monitor individual investment managers with reports based on hedge fund positions, complementing its existing suite of risk tools and enhancing hedge fund risk reports to its clients.
“Demand for position-based risk analytics of hedge fund investments continues to rise, evidenced by the growth MSCI’s risk analytics business has seen over the last 12 months – from adding two of the world’s top 20 pension funds as
ICAP has launched Hazard Rates and Survival Probabilities as part of an expanded end of day Credit Derivatives Service.
Hazard rates are often referred to as the default intensity or conditional default probability of a specified company while survival probabilities are the unconditional probability of no-default (survival).
Hazard rates provide a more sensitive way of looking at default risk than simple asset prices, and can be used in many aspects of credit risk modelling.
Launched in October 2012 in conjunction with Rapid Ratings, ICAP Credit Derivatives closing service provides daily levels and full term structure for more than 200 European
A new white paper published jointly by Quantifi and Risk Analytics explores how to deal with counterparty credit risk in the current financial environment by detailing some of the associated aspects and challenges.
It also studies the conditions for effective management of counterparty credit risk.
The paper, “Managing Counterparty Credit Risk – Capital Requirements for Retail, Commercial and Proprietary Portfolio Strategies”, compares capital requirements, identifies inconsistencies in prudential regulations and applies the various capital approaches on typical portfolio strategies observed within financial institutions.
There is currently a strong market focus on counterparty credit risk and more specifically on Credit
Credit fund performance and flows in 2013 are unlikely to reach the levels seen in 2012, says Fitch Ratings.
In a new sector update on high yield (HY) and investment grade (IG) funds, the agency notes that liquidity from central banks’ actions and a reduction in eurozone systemic risk in H212 provided strong technical support to credit markets, resulting in double-digit performance for all credit fund categories.
Higher beta corporate credit funds (i.e. those with greater sensitivity to market movements) outperformed in 2012, notably European HY (25.5 per cent) and funds with allocations to European subordinated financials. Global HY funds
NYSE Euronext has reported net income of USD28m, or USD0.12 per diluted share, for the fourth quarter of 2012, compared to net income of USD110m, or USD0.43 per diluted share, for the fourth quarter of 2011.
Financial results for the fourth quarter of 2012 included a higher level of merger and exit costs, reflecting a write-off of clearing investments in connection with the decision to move to ICE Clear, the unwind of BlueNext and merger related expenses. Fourth quarter of 2012 financial results also included costs of USD24m, consisting primarily of the premium paid to former bondholders, to refinance a
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