Technology news

Markit enhances loan pricing service

Market data provider Markit has developed its loan pricing service to allow investors to view the specific bids and offers from each individual trader. Through the new dealer price visibility function on the service, investors can request permission from each dealer to see the individual prices shown on the Markit Loans service.

Tom Price, head of the Markit Loans service in Chicago, says: "Previously, investors were only able to view a composite price on loans and had limited ability to dig into the detail on how that composite price was determined. Investors could see the breakdown of the composite price if there were at least three dealers providing levels on a loan, but they could not see where the price was coming from and could not communicate with dealers to resolve any discrepancies."

With this enhancement to the service, says Price, investors can see all of the contributed prices for a particular loan in one view and are able to communicate any price challenges or comments directly back to the dealer. Dealers are also given access to see what prices clients are viewing.

Since offering a beta version of the system in November last year, Markit says that over 80 institutional investors in North America and Europe have signed up and the system is now being rolled out globally. Markit provides daily pricing on nearly 6,000 individual loan facilities from almost 60 loan trading desks in North America and Europe.

Fortis signs with Sophis

Fortis, the Benelux-based financial services provider, is expanding its use of Sophis's Risque platform to manage all its credit derivatives positions, replacing an internally developed system.

The new deal between Fortis and Sophis, the Paris-based vendor of cross-asset, front- to back-office solutions, will cover single-name credit default swap transactions as well as equity, credit and rate-related structured products. Approximately 10 users in the front office are expected to use the new software, with an undisclosed number of other users located in the middle and back offices.

Fortis first outlined its specifications in August 2005, says a Sophis spokesperson. Development on the system started during the first week of January, and is expected to take about a year, says Amron. The first product, the credit default swap platform, is set to go live in May.

"The relationship between Fortis and Sophis dates back almost 10 years," says Pierre Amron, head of credit derivatives, structured credit group at Fortis Bank. Fortis originally took the system for equity derivatives and expanded it to commodities two years ago. The bank now uses the system for these products globally.

The new Sophis-developed system is expected to be faster and more robust than the existing legacy solution, Amron says, but will also be compatible with the bank's existing infrastructure.

Elsewhere, Fortis is extending its electronic trading services with German RTS Realtime Systems Group, a vendor of options and futures trading software. Fortis is adding eRTD, RTS's internet-based trading platform, to its electronic trading services. The front end provides connectivity to major European, US and Asian cash and derivative exchanges.

Banks set up joint venture for interest rate derivatives

Eleven international banks are to launch a joint venture providing price information and guaranteeing liquidity in the interest rate derivatives market. According to a letter of intent signed by the banks, the new service will not include trading although it will offer pricing information and other market data to trading platforms and other intermediaries. It will also define shared trading standards and protocols, and act as a shared pool of liquidity in the interest rate derivatives market.

SciComp upgrades CDO pricing engine

Derivatives pricing software firm SciComp has launched the latest version of its pricing engine for single-tranche collateralised debt obligations (CDOs). The Gaussian copula model runs alongside two other existing pricing models within SciSTCDO: a Monte Carlo method and a semi-analytical model. Pricing CDOs is notoriously difficult for banks and investors, and users differ over which model is the most accurate for pricing CDOs.

Moody's launches RiskAnalyst for Chinese market

Moody's KMV, a provider of credit risk measurement solutions, has launched a Chinese version of RiskAnalyst. The RiskAnalyst platform enables institutions to make lending decisions using internal ratings and analysis of financial statement data based on local accounting standards. It enables users to meet credit risk assessment goals based on Basel II regulatory requirements and internal policies.

TradeWeb and SwapsWire in interest rate tie-up

New Jersey-based Thomson TradeWeb has signed an agreement with UK electronic confirmation service SwapsWire thatit hopes will speed up deal processing and cut risk for its customers. Interest rate derivative trades on TradeWeb will now be confirmed through SwapsWire, which will be accessible through the TradeWeb viewer, Thomson says.