The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

RiskVal Launches CDS Conversion Analytics to Valuations Solution

RiskVal has added credit default swap (CDS) conversion analytics to its portfolio valuation solution with a view to helping its customers move to the new credit derivatives standards. The vendor indicates that for a limited time, it will be offering a free service to help these firms convert legacy CDS portfolios to the new standards by the 8 April deadline.

Jordan Hu, CEO and founder of RiskVal, explains that the ‘re-coupon’ service is to help the vendor’s customers adjust to the “CDS big bang”. Portfolios sent in for analysis will have each position returned re-couponed into 100 and 500bps fixed coupon standard CDS contracts, maintaining risk profiles, payment schedule and present value. According to the vendor, this analysis offers clients a first look at how their portfolios may be exposed to the benefits of greater trade compression as part of the move to standardised CDS premium payments.

RiskVal’s Portfolio Valuation team will assume each position’s notional is $1MM. The newly converted portfolios will match notional with the original CDS positions. Optionally, clients that provide notional will be able to view notional aggregated maturity buckets. The weighted average coupon will result in the same cash flow schedule, with a coupon effective date as of the last IMM maturity date. Risk profiles of the old and new positions will be identical. Coupon cash accruals in the old positions may need to be settled with counterparties independently.

Hu comments: “In these interesting times for credit derivative trading, we are here to help move the industry forward to CDS standardisation.”

Related content


Recorded Webinar: Managing the transaction reporting landscape post Brexit: MiFID II, SFTR, EMIR

The transaction reporting landscape has, for many financial institutions, expanded considerably in size since the end of the UK’s Brexit transition period on 31 December 2020 and the resulting need for double reporting of some transactions to both EU and UK authorities. It has also changed dramatically following the UK government’s failure to reach equivalence...


n-Tier Blockchain-Based Reference Data Consensus Solution Aims to Drive Down Errors and Costs

As reference data volumes continue to soar, bringing with them huge data cleansing, validation and management costs, financial institutions are beginning to consider collaborative solutions that can improve data accuracy while reducing cost. n-Tier, a New York headquartered company that helps firms ensure accuracy and completeness of reference data, has joined the party with a...


RegTech Summit New York City

Now in its 5th year, the RegTech Summit in NYC explores how the North American financial services industry can leverage technology to drive innovation, cut costs and support regulatory change.


Preparing For Primetime – How to Benefit from the Global LEI

They say time flies when you’re enjoying yourself, and so it seems the industry have been having a blast with its preparations for the introduction of the global legal entity identifier (LEI) next month. But now it’s time to get serious. To date, much of the industry debate has centred on the identifier itself: its...