Euroclear Receives Approval for Creation of New Set of ISO 20022 Messages
Euroclear has received approval from the ISO 20022 registration bodies for the creation of a new set of ISO 20022 messages to be used throughout the global capital markets. According to the firm, it is the first set of approved ISO 20022 messages developed by an organisation operating in the securities industry other than Swift....
FTSE Group Goes Live on XSP v5 Corporate Actions Platform in New York
Following its implementation in London earlier this year, FTSE Group has gone live with the XSP v5 Corporate Actions platform in New York. The implementation is part of FTSE’s initiative to achieve an automated STP environment for the management of corporate action events applied to FTSE indices, explains Chris Broad, chief operating officer at FTSE...
FASB and IASB Begin Review of Mark to Market Principles
The Financial Accounting Standards Board (FASB) has indicated it is beginning a review of mark to market accounting rules in cooperation with the International Accounting Standards Board (IASB). The board is said to be considering extending current mark to market principles to a much broader range of securities than they currently cover by taking a...
OTC Val Adds Valuation Capabilities for Hard to Value MBS and ABS Securities
OTC Valuations (OTC Val) has increased its valuation capabilities of illiquid mortgage backed securities, commercial paper, collateralised debt obligations, and other asset backed products. Bob Sangha, managing director at the vendor, explains that as well as providing a price, OTC Val is also focused on providing data on the modelling behind the price for these...
UK FSA Agrees to Review JWG-IT Group Proposals on Counterparty Data Management
Originally appeared in MiFID Monitor The UK Financial Services Authority (FSA) has agreed to review London-based think tank JWG-IT Group’s guidance on wholesale customer data management, which it plans to submit to the regulator in the first quarter of next year. The group is in the process of drawing together industry guidance that is aimed...
Interactive Data Completes Acquisition of 79% of NTT Data Financial for US$25.8m
Following the announcement of its intention to buy 79% of NTT Data Financial Corporation (NDF) in November, Interactive Data Corporation has finally announced the initial closing of its acquisition. The vendor paid approximately 2.4 billion yen, or approximately US$25.8 million based on current foreign exchange rates, in cash to acquire 79% of NDF, of which...
Widespread Failure of the Gaussian Copula Valuation Model is at Root of Credit Turmoil, Says Quantifi Survey
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...
Xtrakter Launches Mark-to-Market Valuation Service
Xtrakter has launched a new mark to market valuation service, dubbed XM2M, which it says is the first in a series of new tailored information offerings from the firm. XM2M is aimed at providing interdealer brokers and market makers with fixed income market prices, both traded and quoted, to assist them in determining the market...
Standard & Poor’s Index Services Selects Interactive Data for Commercial Paper Valuations
Standard & Poor’s Index Services has selected Interactive Data’s Pricing and Reference Data business to provide daily independent evaluations of commercial paper issues for its recently launched S&P US Commercial Paper Index. Interactive Data’s offering was selected because it provided coverage for the comprehensive collection of securities which comprise the index, says James Rieger, vice...
Prime Source and Pricing Partners Join Forces for Valuations Offerings
Following its selection of Asset Control’s AC Plus earlier this month, NYSE Euronext’s valuations service subsidiary, Prime Source, has announced a partnership with Paris-based Pricing Partners under which the firms will combine their valuations offerings. The valuations vendors hope that the agreement will allow them to extend their instrument and global coverage. Pricing Partners’ focus...