www.i-performance-analvsis.com or i-P-A or i-p-a.com is designed as the internet portal that provides information and tools for the investment analysts community along with our customers and affiliates within asset management
i-P-A has been built by seasoned investment performance measurement and portfolio risk practitioners with the aim to help further the investment analysis profession and also to help those using our outputs or services. This area of asset management is linked to so many others that i-P-A believe we can add value, colour and life
meta-tags and key words
performance analyst,client reporting manager,risk analyst,head of performance, head of risk,recruitment,performance,investment performance,sharpe ratio,information ratio,investment risk,GIPS,performance analysis,sharpe,ipa,i-p-a,i-performance-analysis,analytics,iperformanceanalysis,TWR,MWR,IIR,BAI,performance measurement,beta,alpha,tracking error,standard deviation,GIPS,CFA institute,CIPM,money weighted returns, time weighted returns,attribution,performance theory,attribution theory,global investment performance standards,portfolio analytics software,attribution analysis,performance and attribution,performance measurement,performance measurement software,aimr,aimr pps,aimr-pps,analytic solutions,anthony howland,carl bacon,colin morrison,david spaulding,spaulding,journal of performance,asset management software,asset management industry,attribution,attribution reporting,attribution tools,client verifiers,data analysis,data hub,data migration,data reconciliation,financial software,fund management software,geometric attribution,industry standards compliance,performance software,performance tool,personal portfolio,portfolios,portfolio analysis,portfolio analytics,portfolio management,pps composites,price performance management systems,aimr gips-pps,performance presentation standards,risk management,tracking error,transaction based analysis
i-P-A has been built by seasoned investment performance measurement and portfolio risk practitioners with the aim to help further the investment analysis profession and also to help those using our outputs or services. This area of asset management is linked to so many others that i-P-A believe we can add value, colour and life
meta-tags and key words
performance analyst,client reporting manager,risk analyst,head of performance, head of risk,recruitment,performance,investment performance,sharpe ratio,information ratio,investment risk,GIPS,performance analysis,sharpe,ipa,i-p-a,i-performance-analysis,analytics,iperformanceanalysis,TWR,MWR,IIR,BAI,performance measurement,beta,alpha,tracking error,standard deviation,GIPS,CFA institute,CIPM,money weighted returns, time weighted returns,attribution,performance theory,attribution theory,global investment performance standards,portfolio analytics software,attribution analysis,performance and attribution,performance measurement,performance measurement software,aimr,aimr pps,aimr-pps,analytic solutions,anthony howland,carl bacon,colin morrison,david spaulding,spaulding,journal of performance,asset management software,asset management industry,attribution,attribution reporting,attribution tools,client verifiers,data analysis,data hub,data migration,data reconciliation,financial software,fund management software,geometric attribution,industry standards compliance,performance software,performance tool,personal portfolio,portfolios,portfolio analysis,portfolio analytics,portfolio management,pps composites,price performance management systems,aimr gips-pps,performance presentation standards,risk management,tracking error,transaction based analysis
i-P-A News Volume 4. Issue 2:
Some of the latest market news from around the globe
Some of the latest market news from around the globe
Numerix, the leading independent provider of award winning cross-asset analytics for the structuring, valuation and risk analysis of derivatives and structured products, announced Thomson Reuters will extend Numerix’s vanilla - exotics pricing solutions and risk analytics in Thomson Reuters Kondor+ Suite and TopOffice solutions.
Financial service firms using Thomson Reuters Kondor + Suite to build and trade structured products, can already access the extensive Numerix CrossAsset library of independent pricing models, methods for the pricing and analysis of various exotic derivatives and related transactions. Clients will now have better access to the Numerix CrossAsset library, to include enhanced coverage and pricing capabilities for vanilla instruments.
Clients of Kondor+ Suite can now structure, price and analyze OTC derivatives and structured products quickly and easily using Numerix’s pricing models and analytics. Numerix software will be pre-integrated into Kondor+ Suite, making activations easy and straight forward for new users.
Additionally, Thomson Reuters real-time risk, P&L and liquidity management solution application- TopOffice has also been expanded to include access to Numerix CrossAsset pricing and analytics. TopOffice now offers access to Numerix pricing and risk analysis tools providing users with real flexibility and support for real-time risk and P&L analysis and reporting across all asset classes.
“The expansion of our agreement with Thomson Reuters to include Numerix as the source of pricing models demonstrates the ubiquitous nature of Numerix’s models and risk analytics and represents a solid strategic advancement for both firms,” said Steven R. O’Hanlon, President and COO of Numerix. “We look forward to offering continued access to the independent pricing and risk analytics their clients demand.”
“Our relationship with Numerix helps Thomson Reuters provide our users with a powerful combination of accuracy and flexibility. We are extending our relationship with Numerix across our risk management product range to help our customers achieve the highest possible return on their investment,” said Boris Lipiainen, Global Head of Product and Development, Risk Management, Thomson Reuters.
____________________________________________________________________________________________
GROUPAMA Asset Management, one of France’s largest asset managers with €88.8 billion assets under management (AUM), has selected Fidessa LatentZero’s Sentinel to automate real-time pre- and post-trade compliance of its mutual and institutional funds, and to help it meet the requirements of regulators and client mandates.
GROUPAMA AM selected Sentinel because it met essential functionality requirements such as incident management (detection, monitoring and resolution), and audit trail and reporting. Additional key factors were Sentinel’s high interoperability with third-party systems, (particularly for real-time pre-trade checks on orders), comprehensive pre-configured rule libraries (including UCITS III), and its ability to handle a large number of portfolios and rules with no loss of performance.
Yann-Hervé Beulze, Head of Compliance and Risk at GROUPAMA AM, said: “In today’s highly regulated and fast-moving environment, it is crucial to have dedicated technology in place to allow our people to deliver the best value to clients. Sentinel satisfied our functionality and technology requirements. It was also important for us to partner with an established and reputable vendor in the region, making Fidessa LatentZero the clear choice.”
Georges Setrouk, Regional Sales Manager for Fidessa LatentZero, added: “We are very pleased and honoured to establish this partnership with GROUPAMA AM. This new project will allow us to continue to strengthen our footprint and customer base in continental Europe, and France in particular, and we look forward to developing more lasting relationships in the region.”
____________________________________________________________________________________________
StatPro Group plc, a leading provider of portfolio analytics and data solutions for the global asset management industry, announces that Aviva Investors has signed a contract for its GIPS compliance software, heralding StatPro’s first global SaaS implementation.
Aviva Investors is a global asset management business owned by Aviva plc, the fifth largest insurance group in the world. The three-year deal is for StatPro Composites (a multi-currency tool for composite and account reporting to achieve and maintain GIPS® compliance), within StatPro’s hosted environment.
“This agreement means that StatPro is now integrated into Aviva Investors global GIPS compliance project,” said Justin Wheatley, StatPro Group’s CEO. “Aviva Investors has been using StatPro Composites in the UK and Ireland since 2003 based on the system’s performance, it has now become their hosted global GIPS solution, rolled out to five additional sites in Paris, Des Moines, Melbourne, Warsaw and Bucharest.”
GIPS compliance and verification was achieved with the help of StatPro Composites as the facilitating system in this new environment. All manufacturing offices were verified by December 2009.
Mark Goodey, Head of Performance at Aviva Investors: “StatPro was able to offer a cost-effective hosting solution which enabled easy deployment to these sites. We are now benefiting from GIPS verification for our offices around the world, improved service level agreements and global support on a 24-hour basis.”
Performance, client reporting, marketing and RFP teams around the twenty offices will have access to the system.
____________________________________________________________________________________________
The London Stock Exchange announced that it has commenced a joint venture with FactSet Research Systems. The partnership means that the Exchange will deliver FactSet’s reference data via UnaVista, a web-based platform that provides validation, matching and reconciliation solutions.
Firms will now be able to receive FactSet’s issue-to-issuer linkage data and parent-subsidiary relationship data via the UnaVista platform. UnaVista will reconcile the data against the Exchange’s SEDOL Masterfile and the firm’s own systems. This will reduce the firm’s risk exposure without the need for manual checks. As UnaVista is a web-hosted system, firms don’t have to invest in expensive new hardware to run it, they also benefit from the reassurance of knowing that their data is safe because it is securely hosted at the Exchange.
The first firm to benefit from the joint venture will be a major international bank, who signed up to UnaVista’s service earlier this month. The bank chose UnaVista because of its ability to integrate and reconcile data from multiple sources quickly, with no hardware costs.
Mark Husler, Head of Information Services Business Development at the London Stock Exchange, said:
"By partnering with FactSet, we can provide the very highest quality reference data by combining data from the two businesses and delivering it through a hosted model."Joerg Gerth, Vice President, Content Sales at FactSet, added:
"I am delighted with our new partnership with the London Stock Exchange which enables us to deliver FactSet entity data to clients who wish to have their data hosted and matched back against their own internal content, creating a golden copy of reference data."
Reference data is now considered one of the most important data sets for financial services companies, particularly following an increased focus on counterparty exposure in testing market conditions. A recent survey by Tower Group showed that 43% of firms now recognise the importance of entity data, which has the highest impact on credit analysis, application integration, and compliance with "know your customer" regulations.
FactSet have 1.44 million securities linked to over 168,000 issuing entities, with 872,000 entities participating in 225,000 parent-sub tree hierarchies. The Exchange’s SEDOL Masterfile holds around 10 million unique SEDOL codes, across all asset classes. As a result, the partnership is in a unique position to provide superior reference data to the market.
UnaVista is a web-based platform that provides validation, matching and reconciliation services. UnaVista offers a number of solutions including Compliance, Trade Confirmation, Transaction Reporting, Reconciliation, Reference Data and Commission Sharing.
____________________________________________________________________________________________
Algorithmica Research AB, a leading provider of solutions for advanced risk management, quantitative analysis and enterprise-wide management of historical data, announced that Öhman Fondkommission, an investment bank based in Stockholm, Sweden, has selected Algorithmica’s risk management solution with real-time connection to Orc’s algorithmic trading platform, and Algorithmica’s market data management solution to support the firm’s expansion into new areas of trading, and associated increased demand for market risk management in real-time.
“Risk management has always been important to us and with the deployment of Algorithmica’s Risk Management solution we feel confident to have found a solution that covers all our present needs, as well as giving us ample power for future expansion” said Pontus Barrné, Chief Financial Officer, Öhman. “We are also very pleased with their tight integration with Orc Software, which gives us second to none real-time risk management right out of the box.”
“We are pleased to supply Öhman with a solution that provides a very flexible, yet robust risk management solution that is well proven, covering all of Öhman’s risk management requirements as well as supporting enterprise-wide management of historical data,” said Johan Treskog, Sales Manager, Algorithmica Research. “Öhman’s choice also reflects the very successful partnership Algorithmica has with Orc Software where we complement Orc in the area of independent risk management.”
____________________________________________________________________________________________
Advent Software, Inc. , a leading provider of software and services for the global investment management industry, announced that it has seen more than 50% growth in its outsourcing client base over the past two years. The Company has nearly 500 clients leveraging its outsourcing services, which are now available under a services offering called Advent OnDemandSM. Advent OnDemandSM delivers Advent’s award-winning suite of investment solutions via a SaaS (software-as-a-service) model, with or without full business process outsourcing (which includes account aggregation, reconciliation and reference data management.)
With nearly 500 clients and a decade of outsourcing experience, Advent has the industry’s largest client base using its outsourced services. Advent OnDemandSM serves a growing number of market segments within the investment management industry, including independent advisors, RIAs, broker/dealers, wealth managers, private client services, family offices and asset managers.
TowerGroup Research Director, Dayle Scher, notes, “TowerGroup expects a strong increase in the adoption of SaaS solutions as a way for firms to address risk management challenges when they are short on internal resources. Vendors of back- and middle-office software that offer their applications as a service, in addition to traditional on-site installations, provide asset managers the opportunity to take advantage of best-of-breed offerings at a reduced total cost of ownership.”
____________________________________________________________________________________________
BNP Paribas Securities Services has chosen Asset Control, the world-wide leader in financial data management solutions, to provide a centralized data management platform for “golden copy” securities reference data. Using AC Plus, BNP Paribas Securities Services will be able to source, store and process a wide range of securities instrument data and quickly bring on new data sources to meet evolving business and customer requirements.
Phil Lynch, Asset Control’s president and chief executive officer, said, “Global service providers are under more pressure than ever to control operating costs while delivering added value to their customers. We’re extremely pleased that BNP Paribas has chosen Asset Control’s AC Plus to provide a configurable, scalable securities data infrastructure that will help them to accelerate time to market, enhance customer service and support growth while reducing costs.”
____________________________________________________________________________________________
Fidessa LatentZero, one of the leading providers of front-office solutions to the buy-side, has announced that it has signed a new agreement with FINCAD, the trusted analytics provider. Under the new partnership, users will be able to value all fixed income and derivatives instruments in their portfolios through the LatentZero platform using FINCAD’s industry-standard analytics.
This development marks a new phase in the already well-established relationship between the two companies, which has been in place since 2005. FINCAD Analytics, which provides comprehensive coverage and transparency with its extensive documentation, was previously integrated into the derivatives module of LatentZero, but will now be available across the entire solution to calculate prices, sensitivities and cash flows, and will include money market and bond functionality. Through this, it will be possible to make cash flow projections, or carry out cash management calculations on a daily basis or historically. Annual upgrades will be implemented automatically.
Amar Budhiraja, director of FINCAD Alliance Program at FINCAD said: “Fidessa LatentZero’s scale and reach, coupled with its reputation for robust yet innovative technology makes it a key strategic partner for FINCAD. It’s a testament to the strength of the relationship to date that we are in a position to extend the partnership in this way. We continue to work closely with the team at Fidessa LatentZero to explore more ways in which our services could complement each other for the benefit of end-users.”
Peter John, derivatives product manager at Fidessa LatentZero added: “We’re delighted to be able to roll this out across our buy-side suite. This new phase of the partnership with FINCAD presents a real leap forward in fixed income and cash management functionality for our clients. What’s particularly exciting is the coverage of Far Eastern bonds, which is something we’ve seen a real interest in from clients in recent months. A further benefit of this relationship is that by integrating third party analytics we meet the necessary compliance standards for international markets. We look forward to further development work over the course of this year.”
LatentZero is a fully integrated front-office position analysis and trading solution that provides support for all asset classes, including OTC derivatives, with real-time positions and P&L, integrated market data, order management and trading, and integrated pre and post-trade compliance.
____________________________________________________________________________________________
Pricing Partners, the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced that the Price-it Library now supports the Multi Curves Method on yield curves to account for market dislocation in interest rates.
This announcement comes at a time when the spreads between EONIA, EURIBOR 1M, 3M, 6M and 12M have become major concerns, diverging from a few basic points to about a hundred during the climax of the crisis and stabilizing currently at about a few tens of basis points. Traditionally, users created as many curves as underlyings in order to accurately mark and price EONIA or EURIBOR 1M, 3M, 6M and 12M derivatives. With this new approach, the Multi Curve Approach, Pricing Partners users create a single, coherent curve based on a common discounting curve that relies on EONIA rates and various forwarding curves to account for the differences on each underlying. This new approach tends to spread in trading rooms and has been detailed and described by Bianchetti and Henrard in various publications.
Eric Benhamou, CEO of Pricing Partners and a former Goldman Sachs employee said: "Having a consistent approach on different curves such as EONIA, EURIBOR 1M, 3M, 6M and 12M, has become a very big concern among market players. At Pricing Partners, our philosophy is to offer our clients the latest tools to coherently price and value according to the latest market practices. The addition of the multi Curves Method continues to strengthen our leading position in the field of pricing models."
Founded by former professionals of the trading floor, working in investment banks like Goldman Sachs, Société Générale, Natixis or HSBC, Pricing Partners has become a major player in the financial derivatives fields in the past two years. In October 2008, Pricing Partners launched its Internet independent valuation platform, Price-it® Online, which affirms its leading place in financial modeling as well as an independent valuations provider. Designed for all major assets like Interest Rates, Equity, Inflation, Credit, Foreign Exchange, Commodities, and Life Insurance to Hybrid products, Price-it® comes either as a software tools or an Internet Platform, providing all the tools for the transparent valuation on structured products. Price-it® online uses cutting edge mathematical models together with a new language to describe the complexity of any structured products.
____________________________________________________________________________________________
Imagine Software, a leading provider of real-time portfolio and risk management solutions worldwide, announced the selection of its award-winning, Internet-based Derivatives.com service by Sydney-based Instinct Capital. The newly launched hedge fund will employ Imagine to provide comprehensive portfolio and risk capabilities.
Head investment manager Fred Eechaute characterizes the firm’s strategy as long/short with a derivatives overlay, tightly focused on equities, and specializing solely on the Japanese market through the Tokyo and Osaka exchanges. “Our management pedigree stems from previous positions at Mizuho and DKR Oasis, and we are very comfortable operating in that market, which offers some unique advantages due to the available liquidity we can offer investors. With that said, operating with a competitive edge and winning investor confidence requires a recognized solution such as Imagine, with its robust selection of real-time portfolio and risk management functions. Operating a spreadsheet-based business was never an option for us.”
Business manager Stephen Good added: “Of the operational issues we faced before launching our fund earlier this month, one of the most critical was ensuring our ability to take fullest advantage of the Japanese market liquidity that Fred mentioned. The ability to enter and exit positions very quickly is paramount, but equally important is proper timing. To maximize investor returns you have to know when to modify positions, and Imagine’s real-time performance means we can run ‘what-if’ scenarios, portfolio stress tests, and other sophisticated metrics in a continuous manner throughout the day. Imagine gives us the insight we need to make the best, most informed trading decisions.
“Another critical issue,” Good continued, “was driven by investor expectations. Today’s investors not only demand stringent risk controls but expect reports that provide transparency into how we manage their assets. Imagine’s custom reporting capabilities enable us to present any number of P&L analysis, attribution, and risk calculations in a rich and visually compelling manner that is tailored to each investor’s needs. The same set of capabilities also enables us to provide a wealth of on-demand data for fund-of-funds managers.”
Instinct Capital’s trading and operations manager, Anita Lam, is in charge of implementing Imagine. “I like the fact that Imagine’s flexible built-in tools facilitate the task of integrating our other front-end trading and execution management systems into a cohesive whole. And we all appreciate the on-site implementation and training support we’re receiving as we learn best practices for day-to-day tasks like trade booking, P&L, ‘flash NAV’ and rate-of-return generation, VaR calculations, and advanced report generation. Such intensive, high-quality training helps us extract more and more value from our investment in Imagine.”
“We think Instinct Capital is an excellent example of experienced principals rising to the challenges of a tougher, more volatile market environment,” said Yvonne Dahl, Global Director of Sales and Marketing at Imagine. “They leverage their use of Imagine to build credibility with their investor base while simultaneously applying more of the system’s advanced capabilities to their business processes. We’re excited about helping them grow their business and extending the competitive edge they now enjoy.”
____________________________________________________________________________________________
Thomson Reuters launched 7500 new equity sector-level indices covering a broad range of regions and sectors unique to Thomson Reuters. These include full lines of Emerging Market and Asia Pacific sector indices in addition to the first line of Iberian sector and NAFTA sector indices, as well as indices for new and relevant sectors such as Water, Renewables, and Diversified Media. The sector indices are the most recent addition to Thomson Reuters indices which include the award-wining Thomson Reuters Realized Volatility Index - a first-of-its-kind index that provides a new way to forecast volatility.
The sector indices go beyond the global, country and regional indices previously available by allowing clients to monitor market movements more deeply by sector. Covering 44 countries and 18 regions, Thomson Reuters indices enable clients to monitor global markets, benchmark specific countries, regions, and sectors, and develop investment vehicles globally.
Sunand Menon, Global Managing Director of Indices at Thomson Reuters, said: “Investment managers, quantitative analysts and other financial professionals are continually looking for new ways to evaluate market movements at a deeper level by analyzing the most relevant sectors, particularly in the more difficult to reach emerging markets. The combination of our unbiased classification system, liquidity filter and efficiency of our workflow is unique to the market. With over 8,000 indices now available, Thomson Reuters is providing clients with the depth and breadth of geographical and sector coverage necessary to succeed.”
Each Thomson Reuters index is created using a proprietary liquidity filter that selects stocks based on price, as opposed to volume. By only including stocks that investors can access, the indices provide a more accurate depiction of the investing opportunities available, particularly in emerging markets, where many securities are not accessible to all investors.
The indices utilise the proprietary Thomson Reuters Business Classification (TRBC) system which provides globally consistent sector standards. TRBC is the industry’s broadest classification system covering 71,000 public and 230,000 private companies worldwide.
All Thomson Reuters Indices are accessible via desktops as well as data feeds, in products such as Reuters 3000 Xtra, Thomson Reuters Datastream, StarMine and Thomson Reuters Portfolio Analytics.
Thomson Reuters Indices leverages the Company's 40 plus years of experience calculating and distributing some of the best known indices and benchmarks in today’s global marketplace.
_____________________________________________________________________________________________
Financial service firms using Thomson Reuters Kondor + Suite to build and trade structured products, can already access the extensive Numerix CrossAsset library of independent pricing models, methods for the pricing and analysis of various exotic derivatives and related transactions. Clients will now have better access to the Numerix CrossAsset library, to include enhanced coverage and pricing capabilities for vanilla instruments.
Clients of Kondor+ Suite can now structure, price and analyze OTC derivatives and structured products quickly and easily using Numerix’s pricing models and analytics. Numerix software will be pre-integrated into Kondor+ Suite, making activations easy and straight forward for new users.
Additionally, Thomson Reuters real-time risk, P&L and liquidity management solution application- TopOffice has also been expanded to include access to Numerix CrossAsset pricing and analytics. TopOffice now offers access to Numerix pricing and risk analysis tools providing users with real flexibility and support for real-time risk and P&L analysis and reporting across all asset classes.
“The expansion of our agreement with Thomson Reuters to include Numerix as the source of pricing models demonstrates the ubiquitous nature of Numerix’s models and risk analytics and represents a solid strategic advancement for both firms,” said Steven R. O’Hanlon, President and COO of Numerix. “We look forward to offering continued access to the independent pricing and risk analytics their clients demand.”
“Our relationship with Numerix helps Thomson Reuters provide our users with a powerful combination of accuracy and flexibility. We are extending our relationship with Numerix across our risk management product range to help our customers achieve the highest possible return on their investment,” said Boris Lipiainen, Global Head of Product and Development, Risk Management, Thomson Reuters.
____________________________________________________________________________________________
GROUPAMA Asset Management, one of France’s largest asset managers with €88.8 billion assets under management (AUM), has selected Fidessa LatentZero’s Sentinel to automate real-time pre- and post-trade compliance of its mutual and institutional funds, and to help it meet the requirements of regulators and client mandates.
GROUPAMA AM selected Sentinel because it met essential functionality requirements such as incident management (detection, monitoring and resolution), and audit trail and reporting. Additional key factors were Sentinel’s high interoperability with third-party systems, (particularly for real-time pre-trade checks on orders), comprehensive pre-configured rule libraries (including UCITS III), and its ability to handle a large number of portfolios and rules with no loss of performance.
Yann-Hervé Beulze, Head of Compliance and Risk at GROUPAMA AM, said: “In today’s highly regulated and fast-moving environment, it is crucial to have dedicated technology in place to allow our people to deliver the best value to clients. Sentinel satisfied our functionality and technology requirements. It was also important for us to partner with an established and reputable vendor in the region, making Fidessa LatentZero the clear choice.”
Georges Setrouk, Regional Sales Manager for Fidessa LatentZero, added: “We are very pleased and honoured to establish this partnership with GROUPAMA AM. This new project will allow us to continue to strengthen our footprint and customer base in continental Europe, and France in particular, and we look forward to developing more lasting relationships in the region.”
____________________________________________________________________________________________
StatPro Group plc, a leading provider of portfolio analytics and data solutions for the global asset management industry, announces that Aviva Investors has signed a contract for its GIPS compliance software, heralding StatPro’s first global SaaS implementation.
Aviva Investors is a global asset management business owned by Aviva plc, the fifth largest insurance group in the world. The three-year deal is for StatPro Composites (a multi-currency tool for composite and account reporting to achieve and maintain GIPS® compliance), within StatPro’s hosted environment.
“This agreement means that StatPro is now integrated into Aviva Investors global GIPS compliance project,” said Justin Wheatley, StatPro Group’s CEO. “Aviva Investors has been using StatPro Composites in the UK and Ireland since 2003 based on the system’s performance, it has now become their hosted global GIPS solution, rolled out to five additional sites in Paris, Des Moines, Melbourne, Warsaw and Bucharest.”
GIPS compliance and verification was achieved with the help of StatPro Composites as the facilitating system in this new environment. All manufacturing offices were verified by December 2009.
Mark Goodey, Head of Performance at Aviva Investors: “StatPro was able to offer a cost-effective hosting solution which enabled easy deployment to these sites. We are now benefiting from GIPS verification for our offices around the world, improved service level agreements and global support on a 24-hour basis.”
Performance, client reporting, marketing and RFP teams around the twenty offices will have access to the system.
____________________________________________________________________________________________
The London Stock Exchange announced that it has commenced a joint venture with FactSet Research Systems. The partnership means that the Exchange will deliver FactSet’s reference data via UnaVista, a web-based platform that provides validation, matching and reconciliation solutions.
Firms will now be able to receive FactSet’s issue-to-issuer linkage data and parent-subsidiary relationship data via the UnaVista platform. UnaVista will reconcile the data against the Exchange’s SEDOL Masterfile and the firm’s own systems. This will reduce the firm’s risk exposure without the need for manual checks. As UnaVista is a web-hosted system, firms don’t have to invest in expensive new hardware to run it, they also benefit from the reassurance of knowing that their data is safe because it is securely hosted at the Exchange.
The first firm to benefit from the joint venture will be a major international bank, who signed up to UnaVista’s service earlier this month. The bank chose UnaVista because of its ability to integrate and reconcile data from multiple sources quickly, with no hardware costs.
Mark Husler, Head of Information Services Business Development at the London Stock Exchange, said:
"By partnering with FactSet, we can provide the very highest quality reference data by combining data from the two businesses and delivering it through a hosted model."Joerg Gerth, Vice President, Content Sales at FactSet, added:
"I am delighted with our new partnership with the London Stock Exchange which enables us to deliver FactSet entity data to clients who wish to have their data hosted and matched back against their own internal content, creating a golden copy of reference data."
Reference data is now considered one of the most important data sets for financial services companies, particularly following an increased focus on counterparty exposure in testing market conditions. A recent survey by Tower Group showed that 43% of firms now recognise the importance of entity data, which has the highest impact on credit analysis, application integration, and compliance with "know your customer" regulations.
FactSet have 1.44 million securities linked to over 168,000 issuing entities, with 872,000 entities participating in 225,000 parent-sub tree hierarchies. The Exchange’s SEDOL Masterfile holds around 10 million unique SEDOL codes, across all asset classes. As a result, the partnership is in a unique position to provide superior reference data to the market.
UnaVista is a web-based platform that provides validation, matching and reconciliation services. UnaVista offers a number of solutions including Compliance, Trade Confirmation, Transaction Reporting, Reconciliation, Reference Data and Commission Sharing.
____________________________________________________________________________________________
Algorithmica Research AB, a leading provider of solutions for advanced risk management, quantitative analysis and enterprise-wide management of historical data, announced that Öhman Fondkommission, an investment bank based in Stockholm, Sweden, has selected Algorithmica’s risk management solution with real-time connection to Orc’s algorithmic trading platform, and Algorithmica’s market data management solution to support the firm’s expansion into new areas of trading, and associated increased demand for market risk management in real-time.
“Risk management has always been important to us and with the deployment of Algorithmica’s Risk Management solution we feel confident to have found a solution that covers all our present needs, as well as giving us ample power for future expansion” said Pontus Barrné, Chief Financial Officer, Öhman. “We are also very pleased with their tight integration with Orc Software, which gives us second to none real-time risk management right out of the box.”
“We are pleased to supply Öhman with a solution that provides a very flexible, yet robust risk management solution that is well proven, covering all of Öhman’s risk management requirements as well as supporting enterprise-wide management of historical data,” said Johan Treskog, Sales Manager, Algorithmica Research. “Öhman’s choice also reflects the very successful partnership Algorithmica has with Orc Software where we complement Orc in the area of independent risk management.”
____________________________________________________________________________________________
Advent Software, Inc. , a leading provider of software and services for the global investment management industry, announced that it has seen more than 50% growth in its outsourcing client base over the past two years. The Company has nearly 500 clients leveraging its outsourcing services, which are now available under a services offering called Advent OnDemandSM. Advent OnDemandSM delivers Advent’s award-winning suite of investment solutions via a SaaS (software-as-a-service) model, with or without full business process outsourcing (which includes account aggregation, reconciliation and reference data management.)
With nearly 500 clients and a decade of outsourcing experience, Advent has the industry’s largest client base using its outsourced services. Advent OnDemandSM serves a growing number of market segments within the investment management industry, including independent advisors, RIAs, broker/dealers, wealth managers, private client services, family offices and asset managers.
TowerGroup Research Director, Dayle Scher, notes, “TowerGroup expects a strong increase in the adoption of SaaS solutions as a way for firms to address risk management challenges when they are short on internal resources. Vendors of back- and middle-office software that offer their applications as a service, in addition to traditional on-site installations, provide asset managers the opportunity to take advantage of best-of-breed offerings at a reduced total cost of ownership.”
____________________________________________________________________________________________
BNP Paribas Securities Services has chosen Asset Control, the world-wide leader in financial data management solutions, to provide a centralized data management platform for “golden copy” securities reference data. Using AC Plus, BNP Paribas Securities Services will be able to source, store and process a wide range of securities instrument data and quickly bring on new data sources to meet evolving business and customer requirements.
Phil Lynch, Asset Control’s president and chief executive officer, said, “Global service providers are under more pressure than ever to control operating costs while delivering added value to their customers. We’re extremely pleased that BNP Paribas has chosen Asset Control’s AC Plus to provide a configurable, scalable securities data infrastructure that will help them to accelerate time to market, enhance customer service and support growth while reducing costs.”
____________________________________________________________________________________________
Fidessa LatentZero, one of the leading providers of front-office solutions to the buy-side, has announced that it has signed a new agreement with FINCAD, the trusted analytics provider. Under the new partnership, users will be able to value all fixed income and derivatives instruments in their portfolios through the LatentZero platform using FINCAD’s industry-standard analytics.
This development marks a new phase in the already well-established relationship between the two companies, which has been in place since 2005. FINCAD Analytics, which provides comprehensive coverage and transparency with its extensive documentation, was previously integrated into the derivatives module of LatentZero, but will now be available across the entire solution to calculate prices, sensitivities and cash flows, and will include money market and bond functionality. Through this, it will be possible to make cash flow projections, or carry out cash management calculations on a daily basis or historically. Annual upgrades will be implemented automatically.
Amar Budhiraja, director of FINCAD Alliance Program at FINCAD said: “Fidessa LatentZero’s scale and reach, coupled with its reputation for robust yet innovative technology makes it a key strategic partner for FINCAD. It’s a testament to the strength of the relationship to date that we are in a position to extend the partnership in this way. We continue to work closely with the team at Fidessa LatentZero to explore more ways in which our services could complement each other for the benefit of end-users.”
Peter John, derivatives product manager at Fidessa LatentZero added: “We’re delighted to be able to roll this out across our buy-side suite. This new phase of the partnership with FINCAD presents a real leap forward in fixed income and cash management functionality for our clients. What’s particularly exciting is the coverage of Far Eastern bonds, which is something we’ve seen a real interest in from clients in recent months. A further benefit of this relationship is that by integrating third party analytics we meet the necessary compliance standards for international markets. We look forward to further development work over the course of this year.”
LatentZero is a fully integrated front-office position analysis and trading solution that provides support for all asset classes, including OTC derivatives, with real-time positions and P&L, integrated market data, order management and trading, and integrated pre and post-trade compliance.
____________________________________________________________________________________________
Pricing Partners, the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced that the Price-it Library now supports the Multi Curves Method on yield curves to account for market dislocation in interest rates.
This announcement comes at a time when the spreads between EONIA, EURIBOR 1M, 3M, 6M and 12M have become major concerns, diverging from a few basic points to about a hundred during the climax of the crisis and stabilizing currently at about a few tens of basis points. Traditionally, users created as many curves as underlyings in order to accurately mark and price EONIA or EURIBOR 1M, 3M, 6M and 12M derivatives. With this new approach, the Multi Curve Approach, Pricing Partners users create a single, coherent curve based on a common discounting curve that relies on EONIA rates and various forwarding curves to account for the differences on each underlying. This new approach tends to spread in trading rooms and has been detailed and described by Bianchetti and Henrard in various publications.
Eric Benhamou, CEO of Pricing Partners and a former Goldman Sachs employee said: "Having a consistent approach on different curves such as EONIA, EURIBOR 1M, 3M, 6M and 12M, has become a very big concern among market players. At Pricing Partners, our philosophy is to offer our clients the latest tools to coherently price and value according to the latest market practices. The addition of the multi Curves Method continues to strengthen our leading position in the field of pricing models."
Founded by former professionals of the trading floor, working in investment banks like Goldman Sachs, Société Générale, Natixis or HSBC, Pricing Partners has become a major player in the financial derivatives fields in the past two years. In October 2008, Pricing Partners launched its Internet independent valuation platform, Price-it® Online, which affirms its leading place in financial modeling as well as an independent valuations provider. Designed for all major assets like Interest Rates, Equity, Inflation, Credit, Foreign Exchange, Commodities, and Life Insurance to Hybrid products, Price-it® comes either as a software tools or an Internet Platform, providing all the tools for the transparent valuation on structured products. Price-it® online uses cutting edge mathematical models together with a new language to describe the complexity of any structured products.
____________________________________________________________________________________________
Imagine Software, a leading provider of real-time portfolio and risk management solutions worldwide, announced the selection of its award-winning, Internet-based Derivatives.com service by Sydney-based Instinct Capital. The newly launched hedge fund will employ Imagine to provide comprehensive portfolio and risk capabilities.
Head investment manager Fred Eechaute characterizes the firm’s strategy as long/short with a derivatives overlay, tightly focused on equities, and specializing solely on the Japanese market through the Tokyo and Osaka exchanges. “Our management pedigree stems from previous positions at Mizuho and DKR Oasis, and we are very comfortable operating in that market, which offers some unique advantages due to the available liquidity we can offer investors. With that said, operating with a competitive edge and winning investor confidence requires a recognized solution such as Imagine, with its robust selection of real-time portfolio and risk management functions. Operating a spreadsheet-based business was never an option for us.”
Business manager Stephen Good added: “Of the operational issues we faced before launching our fund earlier this month, one of the most critical was ensuring our ability to take fullest advantage of the Japanese market liquidity that Fred mentioned. The ability to enter and exit positions very quickly is paramount, but equally important is proper timing. To maximize investor returns you have to know when to modify positions, and Imagine’s real-time performance means we can run ‘what-if’ scenarios, portfolio stress tests, and other sophisticated metrics in a continuous manner throughout the day. Imagine gives us the insight we need to make the best, most informed trading decisions.
“Another critical issue,” Good continued, “was driven by investor expectations. Today’s investors not only demand stringent risk controls but expect reports that provide transparency into how we manage their assets. Imagine’s custom reporting capabilities enable us to present any number of P&L analysis, attribution, and risk calculations in a rich and visually compelling manner that is tailored to each investor’s needs. The same set of capabilities also enables us to provide a wealth of on-demand data for fund-of-funds managers.”
Instinct Capital’s trading and operations manager, Anita Lam, is in charge of implementing Imagine. “I like the fact that Imagine’s flexible built-in tools facilitate the task of integrating our other front-end trading and execution management systems into a cohesive whole. And we all appreciate the on-site implementation and training support we’re receiving as we learn best practices for day-to-day tasks like trade booking, P&L, ‘flash NAV’ and rate-of-return generation, VaR calculations, and advanced report generation. Such intensive, high-quality training helps us extract more and more value from our investment in Imagine.”
“We think Instinct Capital is an excellent example of experienced principals rising to the challenges of a tougher, more volatile market environment,” said Yvonne Dahl, Global Director of Sales and Marketing at Imagine. “They leverage their use of Imagine to build credibility with their investor base while simultaneously applying more of the system’s advanced capabilities to their business processes. We’re excited about helping them grow their business and extending the competitive edge they now enjoy.”
____________________________________________________________________________________________
Thomson Reuters launched 7500 new equity sector-level indices covering a broad range of regions and sectors unique to Thomson Reuters. These include full lines of Emerging Market and Asia Pacific sector indices in addition to the first line of Iberian sector and NAFTA sector indices, as well as indices for new and relevant sectors such as Water, Renewables, and Diversified Media. The sector indices are the most recent addition to Thomson Reuters indices which include the award-wining Thomson Reuters Realized Volatility Index - a first-of-its-kind index that provides a new way to forecast volatility.
The sector indices go beyond the global, country and regional indices previously available by allowing clients to monitor market movements more deeply by sector. Covering 44 countries and 18 regions, Thomson Reuters indices enable clients to monitor global markets, benchmark specific countries, regions, and sectors, and develop investment vehicles globally.
Sunand Menon, Global Managing Director of Indices at Thomson Reuters, said: “Investment managers, quantitative analysts and other financial professionals are continually looking for new ways to evaluate market movements at a deeper level by analyzing the most relevant sectors, particularly in the more difficult to reach emerging markets. The combination of our unbiased classification system, liquidity filter and efficiency of our workflow is unique to the market. With over 8,000 indices now available, Thomson Reuters is providing clients with the depth and breadth of geographical and sector coverage necessary to succeed.”
Each Thomson Reuters index is created using a proprietary liquidity filter that selects stocks based on price, as opposed to volume. By only including stocks that investors can access, the indices provide a more accurate depiction of the investing opportunities available, particularly in emerging markets, where many securities are not accessible to all investors.
The indices utilise the proprietary Thomson Reuters Business Classification (TRBC) system which provides globally consistent sector standards. TRBC is the industry’s broadest classification system covering 71,000 public and 230,000 private companies worldwide.
All Thomson Reuters Indices are accessible via desktops as well as data feeds, in products such as Reuters 3000 Xtra, Thomson Reuters Datastream, StarMine and Thomson Reuters Portfolio Analytics.
Thomson Reuters Indices leverages the Company's 40 plus years of experience calculating and distributing some of the best known indices and benchmarks in today’s global marketplace.
_____________________________________________________________________________________________
Click here to find us on
DST International (DSTi), a leading provider of business solutions and services to the asset management sector, has launched a new web-based automated client reporting system, Reporter.
DSTi has worked with top asset managers around the world for over 30 years across the broadest spectrum of investment styles and products and has drawn on this experience to deliver an end-to-end reporting solution that aims to meet and exceed the requirements of the most demanding investors. Reporter has realised reductions of up to 80% in cost efficiency and threefold improvements in turnaround while delivering consistently high-quality output.
Reporter, which is powered by Kurtosys technology and delivered as a managed service, will help clients to significantly reduce costs and implementation times and to progress from engagement to production in as little as 6 - 8 weeks. The managed service is designed to provide a flexible state-of-the-art solution to meet the premier standards in hosting, security, and business continuity. Reporter has no anticipated barriers to expansion as the service easily scales to accommodate clients’ expanding needs without an increase in their IT footprint.
DSTi has developed a comprehensive set of industry templates that underpin Reporter. These comprise hundreds of baselined industry reports, best practice workflows and standardised data models to manage the entire client reporting process. Taking data in from multiple systems through to delivery via the web, the solution is built on domain knowledge but also customisable to a client’s unique needs. Reports are fully personalised and branded for the asset manager, which ensures consistency and provides differentiation in the marketplace, building and strengthening client relationships.
Tom Abraham, Chief Executive Officer of DSTi said, “Client reporting is a high visibility action with a low efficiency equation. We are all too familiar with the issues and complexities our clients face in delivering reports, whether it is the cost of ownership, speed of turnaround and inflexibility or reports that simply do not reflect the quality and image of their organisation. Reporter brings together DSTi’s global scale and stability with Kurtosys’ ‘best of breed’ reporting platform. We believe that Reporter will not only increase efficiencies and reduce costs, but also deliver to clients a significant competitive advantage through the ability to customise and brand reports so that they become an integral part of the client management process.”
DSTi and Kurtosys already have mutual clients, such as Stanlib, which uses DSTi’s HiPortfolio Investment Accounting Application and the Kurtosys platform to produce monthly and quarterly reports. At Stanlib, this implementation has significantly increased report collation productivity and reduced reporting process cycles.
DSTi has worked with top asset managers around the world for over 30 years across the broadest spectrum of investment styles and products and has drawn on this experience to deliver an end-to-end reporting solution that aims to meet and exceed the requirements of the most demanding investors. Reporter has realised reductions of up to 80% in cost efficiency and threefold improvements in turnaround while delivering consistently high-quality output.
Reporter, which is powered by Kurtosys technology and delivered as a managed service, will help clients to significantly reduce costs and implementation times and to progress from engagement to production in as little as 6 - 8 weeks. The managed service is designed to provide a flexible state-of-the-art solution to meet the premier standards in hosting, security, and business continuity. Reporter has no anticipated barriers to expansion as the service easily scales to accommodate clients’ expanding needs without an increase in their IT footprint.
DSTi has developed a comprehensive set of industry templates that underpin Reporter. These comprise hundreds of baselined industry reports, best practice workflows and standardised data models to manage the entire client reporting process. Taking data in from multiple systems through to delivery via the web, the solution is built on domain knowledge but also customisable to a client’s unique needs. Reports are fully personalised and branded for the asset manager, which ensures consistency and provides differentiation in the marketplace, building and strengthening client relationships.
Tom Abraham, Chief Executive Officer of DSTi said, “Client reporting is a high visibility action with a low efficiency equation. We are all too familiar with the issues and complexities our clients face in delivering reports, whether it is the cost of ownership, speed of turnaround and inflexibility or reports that simply do not reflect the quality and image of their organisation. Reporter brings together DSTi’s global scale and stability with Kurtosys’ ‘best of breed’ reporting platform. We believe that Reporter will not only increase efficiencies and reduce costs, but also deliver to clients a significant competitive advantage through the ability to customise and brand reports so that they become an integral part of the client management process.”
DSTi and Kurtosys already have mutual clients, such as Stanlib, which uses DSTi’s HiPortfolio Investment Accounting Application and the Kurtosys platform to produce monthly and quarterly reports. At Stanlib, this implementation has significantly increased report collation productivity and reduced reporting process cycles.
DST International (DSTi), a leading provider of business solutions and services to the asset management sector, has launched a new web-based automated client reporting system, Reporter.
DSTi has worked with top asset managers around the world for over 30 years across the broadest spectrum of investment styles and products and has drawn on this experience to deliver an end-to-end reporting solution that aims to meet and exceed the requirements of the most demanding investors. Reporter has realised reductions of up to 80% in cost efficiency and threefold improvements in turnaround while delivering consistently high-quality output.
Reporter, which is powered by Kurtosys technology and delivered as a managed service, will help clients to significantly reduce costs and implementation times and to progress from engagement to production in as little as 6 - 8 weeks. The managed service is designed to provide a flexible state-of-the-art solution to meet the premier standards in hosting, security, and business continuity. Reporter has no anticipated barriers to expansion as the service easily scales to accommodate clients’ expanding needs without an increase in their IT footprint.
DSTi has developed a comprehensive set of industry templates that underpin Reporter. These comprise hundreds of baselined industry reports, best practice workflows and standardised data models to manage the entire client reporting process. Taking data in from multiple systems through to delivery via the web, the solution is built on domain knowledge but also customisable to a client’s unique needs. Reports are fully personalised and branded for the asset manager, which ensures consistency and provides differentiation in the marketplace, building and strengthening client relationships.
Tom Abraham, Chief Executive Officer of DSTi said, “Client reporting is a high visibility action with a low efficiency equation. We are all too familiar with the issues and complexities our clients face in delivering reports, whether it is the cost of ownership, speed of turnaround and inflexibility or reports that simply do not reflect the quality and image of their organisation. Reporter brings together DSTi’s global scale and stability with Kurtosys’ ‘best of breed’ reporting platform. We believe that Reporter will not only increase efficiencies and reduce costs, but also deliver to clients a significant competitive advantage through the ability to customise and brand reports so that they become an integral part of the client management process.”
DSTi and Kurtosys already have mutual clients, such as Stanlib, which uses DSTi’s HiPortfolio Investment Accounting Application and the Kurtosys platform to produce monthly and quarterly reports. At Stanlib, this implementation has significantly increased report collation productivity and reduced reporting process cycles.
DSTi has worked with top asset managers around the world for over 30 years across the broadest spectrum of investment styles and products and has drawn on this experience to deliver an end-to-end reporting solution that aims to meet and exceed the requirements of the most demanding investors. Reporter has realised reductions of up to 80% in cost efficiency and threefold improvements in turnaround while delivering consistently high-quality output.
Reporter, which is powered by Kurtosys technology and delivered as a managed service, will help clients to significantly reduce costs and implementation times and to progress from engagement to production in as little as 6 - 8 weeks. The managed service is designed to provide a flexible state-of-the-art solution to meet the premier standards in hosting, security, and business continuity. Reporter has no anticipated barriers to expansion as the service easily scales to accommodate clients’ expanding needs without an increase in their IT footprint.
DSTi has developed a comprehensive set of industry templates that underpin Reporter. These comprise hundreds of baselined industry reports, best practice workflows and standardised data models to manage the entire client reporting process. Taking data in from multiple systems through to delivery via the web, the solution is built on domain knowledge but also customisable to a client’s unique needs. Reports are fully personalised and branded for the asset manager, which ensures consistency and provides differentiation in the marketplace, building and strengthening client relationships.
Tom Abraham, Chief Executive Officer of DSTi said, “Client reporting is a high visibility action with a low efficiency equation. We are all too familiar with the issues and complexities our clients face in delivering reports, whether it is the cost of ownership, speed of turnaround and inflexibility or reports that simply do not reflect the quality and image of their organisation. Reporter brings together DSTi’s global scale and stability with Kurtosys’ ‘best of breed’ reporting platform. We believe that Reporter will not only increase efficiencies and reduce costs, but also deliver to clients a significant competitive advantage through the ability to customise and brand reports so that they become an integral part of the client management process.”
DSTi and Kurtosys already have mutual clients, such as Stanlib, which uses DSTi’s HiPortfolio Investment Accounting Application and the Kurtosys platform to produce monthly and quarterly reports. At Stanlib, this implementation has significantly increased report collation productivity and reduced reporting process cycles.
DST International (DSTi), a leading provider of business solutions and services to the asset management sector, has launched a new web-based automated client reporting system, Reporter.
DSTi has worked with top asset managers around the world for over 30 years across the broadest spectrum of investment styles and products and has drawn on this experience to deliver an end-to-end reporting solution that aims to meet and exceed the requirements of the most demanding investors. Reporter has realised reductions of up to 80% in cost efficiency and threefold improvements in turnaround while delivering consistently high-quality output.
Reporter, which is powered by Kurtosys technology and delivered as a managed service, will help clients to significantly reduce costs and implementation times and to progress from engagement to production in as little as 6 - 8 weeks. The managed service is designed to provide a flexible state-of-the-art solution to meet the premier standards in hosting, security, and business continuity. Reporter has no anticipated barriers to expansion as the service easily scales to accommodate clients’ expanding needs without an increase in their IT footprint.
DSTi has developed a comprehensive set of industry templates that underpin Reporter. These comprise hundreds of baselined industry reports, best practice workflows and standardised data models to manage the entire client reporting process. Taking data in from multiple systems through to delivery via the web, the solution is built on domain knowledge but also customisable to a client’s unique needs. Reports are fully personalised and branded for the asset manager, which ensures consistency and provides differentiation in the marketplace, building and strengthening client relationships.
Tom Abraham, Chief Executive Officer of DSTi said, “Client reporting is a high visibility action with a low efficiency equation. We are all too familiar with the issues and complexities our clients face in delivering reports, whether it is the cost of ownership, speed of turnaround and inflexibility or reports that simply do not reflect the quality and image of their organisation. Reporter brings together DSTi’s global scale and stability with Kurtosys’ ‘best of breed’ reporting platform. We believe that Reporter will not only increase efficiencies and reduce costs, but also deliver to clients a significant competitive advantage through the ability to customise and brand reports so that they become an integral part of the client management process.”
DSTi and Kurtosys already have mutual clients, such as Stanlib, which uses DSTi’s HiPortfolio Investment Accounting Application and the Kurtosys platform to produce monthly and quarterly reports. At Stanlib, this implementation has significantly increased report collation productivity and reduced reporting process cycles.
DSTi has worked with top asset managers around the world for over 30 years across the broadest spectrum of investment styles and products and has drawn on this experience to deliver an end-to-end reporting solution that aims to meet and exceed the requirements of the most demanding investors. Reporter has realised reductions of up to 80% in cost efficiency and threefold improvements in turnaround while delivering consistently high-quality output.
Reporter, which is powered by Kurtosys technology and delivered as a managed service, will help clients to significantly reduce costs and implementation times and to progress from engagement to production in as little as 6 - 8 weeks. The managed service is designed to provide a flexible state-of-the-art solution to meet the premier standards in hosting, security, and business continuity. Reporter has no anticipated barriers to expansion as the service easily scales to accommodate clients’ expanding needs without an increase in their IT footprint.
DSTi has developed a comprehensive set of industry templates that underpin Reporter. These comprise hundreds of baselined industry reports, best practice workflows and standardised data models to manage the entire client reporting process. Taking data in from multiple systems through to delivery via the web, the solution is built on domain knowledge but also customisable to a client’s unique needs. Reports are fully personalised and branded for the asset manager, which ensures consistency and provides differentiation in the marketplace, building and strengthening client relationships.
Tom Abraham, Chief Executive Officer of DSTi said, “Client reporting is a high visibility action with a low efficiency equation. We are all too familiar with the issues and complexities our clients face in delivering reports, whether it is the cost of ownership, speed of turnaround and inflexibility or reports that simply do not reflect the quality and image of their organisation. Reporter brings together DSTi’s global scale and stability with Kurtosys’ ‘best of breed’ reporting platform. We believe that Reporter will not only increase efficiencies and reduce costs, but also deliver to clients a significant competitive advantage through the ability to customise and brand reports so that they become an integral part of the client management process.”
DSTi and Kurtosys already have mutual clients, such as Stanlib, which uses DSTi’s HiPortfolio Investment Accounting Application and the Kurtosys platform to produce monthly and quarterly reports. At Stanlib, this implementation has significantly increased report collation productivity and reduced reporting process cycles.
i-Performance-Analysis Ltd Registered in England & Wales no. 6357873 VAT no. 918715307 © 2007-9. all rights reserved
Use this Google search tool to find any reference to a topic on our website:
Through a unique combination of three business lines - research, consulting and benchmarking - Cutter Associates works closely with asset managers to improve investment processing and make them more competitive. CutterBenchmarking member firms from North America and Europe voted the following topics as their 2010 priorities for benchmarking analysis:
- Enterprise Architecture
- Market Data
- Performance and Attribution
- Pricing and Valuation
Cutter Associates is also pleased to announce overall enhancements to the CutterBenchmarking product. Based on detailed client feedback, Cutter Associates has redesigned its benchmarking solution to provide more actionable and focused analysis to help participating firms enhance and streamline their investment processing capabilities. Key enhancements include more focused surveys, redesigned reports, specific actionable recommendations and key survey findings for senior management reporting.
Jacqueline Alvarez, Managing Director, CutterBenchmarking commented “Cutter Associates works with our member firms to analyze and evaluate the topics they identify as key priorities for the upcoming year. Through CutterBenchmarking, we aim to help our clients improve their operational effectiveness and increase efficiency. The additional enhancements to the CutterBenchmarking product allow us to match client demand by tailoring our offering to their business needs."
_____________________________________________________________________________________________
Advent Software, Inc., Causeway Capital Management live on new version offering more scalability, efficiency and globalization
Eagle Investment Systems LLC, a leading provider of financial services technology and a wholly owned subsidiary of BNY Mellon, announced the availability of Eagle Version 10.0 (V10.0), a major technical and functional upgrade of its integrated suite of data management, investment accounting, and performance measurement and attribution solutions.
As part of Eagle’s commitment to product innovation, it regularly evaluates and integrates new features to support today’s evolving financial services industry. Eagle’s V10.0 offers clients a broad array of important benefits including increased scalability, updated reporting to comply with industry regulations such as International Financial Reporting Standards (IFRS), new global instrument types, and enhanced reporting and delivery.
With each release, Eagle enhances the workflow and system architecture that underlies its investment management solutions ensuring its products run most efficiently and reducing its clients’ total cost of ownership. Overall, the suite has been updated to provide more efficiency and optimization based on benchmark and stress tests performed over the course of last year. To address the processing needs of business lines with a high volume number of accounts, the entire suite now supports application partitioning. Seamless to end-users, partitions are leveraged to provide a predictable, highly scalable, cost-effective solution.
A number of clients have initiated deploying V10.0 to gain access to the new functionality and technical enhancements, including Causeway Capital Management, which is currently using the latest version of Eagle’s data management and accounting platform.
“We are pleased to be on Eagle V10.0 and believe it strategically positions us to further streamline and automate our workflows while enhancing our systems controls,” said Pete Petersen, director of technology at Causeway Capital Management. “The technologies embedded in the architecture create opportunities allowing for a more efficient integration between Eagle and many other third-party systems.”
“Eagle remains committed to delivering the most innovative solutions to address ever-changing client and market needs, and our year-over-year investment in our products is one of the key reasons we’re known as an industry leader,” said John Lehner, chief executive officer and president of Eagle. “With many of the changes being introduced in V10.0, particularly the enhancements around IFRS support, Eagle’s investment accounting solution is one of the most functionally-rich offerings available.”
Functional enhancements in V10.0 were based on a number of factors, including input from clients, supporting additional needs for globalization, and providing the necessary support for changing industry regulations. New functionality has been added across all of Eagle solutions including these highlights:
• Data Management offers new updates including support for increased types of reference data, and quality investment which resulted from benchmark testing. This release expands support for various types of reference data as well as streamlines the workflow for corporate actions. Additionally, improvements to workflow and user flexibility were made to provide clients with an enhanced user experience and ease of use.
•Information Delivery, a component of the data management solution providing capabilities for reporting and dissemination of information, has been augmented to increase efficiencies for creating and delivering reports. V10.0 introduces an Eagle Mart, an information delivery platform that includes a preconfigured data mart and packaged reports offering users faster speed to delivery and the benefits of shorter project timelines. With packaged reports, users are able to select look and feel and can combine the reports with a table of contents for streamlined creation.
• Investment Accounting contains many enhancements, including increased support and further integration for derivatives instruments, support for compliance with IFRS, enhanced capabilities for operational reports, and further development to mutual fund accounting in the areas of expense processing and payments. This release also supports additional NAIC regulatory changes for investment schedules and expanded reporting.
• The Performance Measurement suite has been enhanced to support client needs in the areas of GIPS® 2010, globalization and scalability. In preparation for GIPS 2010, enhancements streamlined the workflow to support maintenance of composites. Additional standard reports were added to augment verification support. To address the trend of increased globalization of our client base, a “Karnosky and Singer” style multicurrency attribution method was added to the attribution module to support currency management analysis.
“We are proud to offer products that are truly Web-based, via install, hosted service, or through outsourcing. Coupled with our functionality, these deployment options distinguish Eagle from all other investment management solutions in the market today,” said Lehner.
Eagle Investment Systems LLC, a subsidiary of BNY Mellon, is a global provider of financial services technology. Eagle provides leading-edge technology and services for data management, investment accounting and performance measurement. Eagle’s product suite is offered as an installed application or can be hosted via Eagle ACCESSSM, Eagle’s ASP offering.
BNY Mellon Asset Servicing offers clients worldwide a broad spectrum of specialized asset servicing capabilities, including custody and fund services, securities lending, performance and analytics, and execution services.
_____________________________________________________________________________________________
Interactive Data Corporation, a leading provider of financial market data, analytics and related solutions, announced that its Pricing and Reference Data business will provide its Fair Value Information Service (FVIS) for international equities to Russell Investments for use in providing fair value adjusted information on Russell’s global equity indices.
This information is designed to help investment professionals effectively compare the performance of their international funds to benchmark indices by incorporating information that approximates the fund’s fair value procedures for international equity securities. Russell’s fair value adjusted index data will be available in a monthly report to clients of Russell Investments and Interactive Data, as well as to the public via Russell Investments’ website.
An important component of fund performance measurement is the concept of tracking error, which estimates the standard deviation of the differences between a mutual fund’s returns versus those of a comparable benchmark index. Generally, when comparing similar funds with identical returns, a fund with a lower tracking error is perceived to exhibit less risk. A research report by Interactive Data (whitepaper #14) revealed that comparing the performance of international mutual funds that employ fair valuation techniques for international equity securities with benchmark indices that do not include fair value adjustments can increase the fund’s perceived tracking error, which can be misleading. By compiling index data utilizing Interactive Data’s FVIS evaluations, Russell can help investment professionals make a more ‘apples-to-apples’ comparison of performance to a given benchmark.
Russell will initially provide fair value adjusted index data based on its equity indexes that reflect the following comprehensive market segments: Global, Global Large Cap, Global Small Cap, Global ex-U.S., Developed Large Cap, Developed ex-North America Large Cap, Developed Europe, Asia Pacific, Asia Pacific ex-Japan, Emerging Markets, Global ex-Frontier, and Global ex-Frontier Large Cap.
“Our top priority is to provide clients and end investors with the best possible measures of fund performance,” said Susie Caswell, senior product manager for Russell Indexes at Russell Investments. “By employing Interactive Data’s service on top of our truly reflective and modular index construction, we’ll serve those investment managers who use fair value adjusted pricing for their international funds with another way to examine returns. As the only index provider whose primary business is investment management, we understand the importance of accurate analysis of performance measurement.”
Caswell added that the announcement does not indicate a change to Russell’s index methodology, but it does present a new option for investment managers who would like to see the impact of Interactive Data’s fair value factors on specific Russell Indexes.
“We are very pleased to be working closely with Russell to advance their objective of providing indices that help investment managers accurately track fund performance,” said Liz Duggan, managing director, Evaluations. “Interactive Data believes that the mutual fund community can benefit from fair value adjusted benchmark index data from Russell, as it offers more of an ‘apples-to-apples’ comparison for measuring fund performance. We look forward to continuing to explore other applications for our Fair Value Information Services that can help address challenges faced by financial institutions.”
The result of extensive research and development, Interactive Data’s Fair Value Information Services reflect decades of leadership in providing mission-critical data to financial institutions worldwide. Interactive Data’s Fair Value Information Service is designed to provide information that can be used to estimate a price for an exchange-traded international equity security, equity index futures contract, or equity option that would likely prevail in a liquid market, in view of market information available at the time of evaluation. In January 2007, Interactive Data was awarded a patent by the U.S. Patent & Trademark Office for Fair-Value Pricing of a Financial Asset.
_____________________________________________________________________________________________
Eagle Investment Systems LLC, a leading provider of financial services technology and a subsidiary of BNY Mellon, announced that Industrial Alliance Insurance and Financial Services Inc. based in Quebec City has selected Eagle’s data management solution to help manage its investment portfolio.
The need for improved access to data to support timely risk and portfolio management reporting is leading investment managers in Canada and around the globe to enhance their data management strategies.
A leading life and health insurance company, Industrial Alliance selected Eagle as its platform for integration and consolidation of its internal and third-party investment data and increased automation of reporting processes. Once Industrial Alliance’s data has been consolidated onto Eagle’s data management platform, they will leverage Eagle to help enhance its fund, client service, and portfolio management reporting, which will be delivered to end users via the Eagle Portal.
“Today’s investment managers are working with vendors that have proven technology, the strength to sustain current market conditions, and a dedicated and knowledgeable client service team,” said Mal Cullen, managing director of Eagle’s Canadian operations. “As we approach our ten-year anniversary in Canada, Eagle continues to be a vendor of choice for data management, investment accounting and performance measurement solutions.”
Founded in 1892, Industrial Alliance Insurance and Financial Services Inc. is a life and health insurance company that offers a wide range of life and health insurance products, savings and retirement plans, RRSPs, mutual and segregated funds, securities, auto and home insurance, mortgage loans and other financial products and services. The fourth largest life and health insurance company in Canada, Industrial Alliance is at the head of a large financial group, which has operations in all regions of Canada, as well as in the United States. Industrial Alliance contributes to the financial wellbeing of over three million Canadians, employs more than 3,400 people and manages and administers over $58 billion in assets. Industrial Alliance stock is listed on the Toronto Stock Exchange under the ticker symbol IAG. Industrial Alliance is among the 100 largest public companies in Canada.
Eagle Investment Systems LLC, a subsidiary of BNY Mellon, is a global provider of financial services technology. Eagle provides leading-edge technology and services for data management, investment accounting and performance measurement. Eagle’s product suite is offered as an installed application or can be hosted via Eagle ACCESSSM, Eagle’s ASP offering.
BNY Mellon Asset Servicing offers clients worldwide a broad spectrum of specialized asset servicing capabilities, including custody and fund services, securities lending, performance and analytics, and execution services.
_____________________________________________________________________________________________
Interactive Data Corporation, a leading provider of financial market data, analytics, and related solutions, announced that its Fixed Income Analytics business has released BondEdge® Version 3.2. This new BondEdge release contains enhancements to help institutional investors assess risk related to prime and sub-prime residential mortgage-backed securities (RMBS), including fixed and adjustable mortgage pools, collateralized mortgage obligations (CMOs) and asset-backed securities (ABS).
Included within BondEdge Version 3.2 are the following enhancements:
• A new multi-factor term structure model (G2++) to compute analytic risk measures and provide interest rate and credit spread simulation analysis on prime and sub-prime RMBS. This arbitrage free model of interest rates includes a volatility surface which is calibrated on a daily basis to the swaptions market.
• The availability of enhanced collateral detail on non-prime RMBS, including historical delinquency, loss, and default data as well as current credit trigger status and subordination levels.
• A security specific BondEdge prepayment model scaling tool for prime RMBS which provides the ability for clients to tune prepayment model assumptions at a bond level.
• A capability to automate the provision of security specific base case prepayment, default, and loss severity assumptions, as applicable, for prime and non-prime RMBS.
“This new release extends BondEdge’s analytic capabilities to institutional investors having RMBS exposure within their fixed income portfolios”, said Keith Webster, managing director, Interactive Data Fixed Income Analytics. “The RMBS-related enhancements delivered with this latest release of BondEdge are a reflection of feedback provided by clients, across all market segments that we serve, to provide more granular security detail and greater modeling flexibility for this complex asset class.”
“We appreciate the opportunity to work closely with Interactive Data to provide our perspective for the ongoing development of mortgage-backed security analytics,” said Thomas H. Atteberry, CFA, Partner First Pacific Advisors. “BondEdge provides tools to analyze RMBS and other fixed income asset classes that can assist in our assessment of absolute and relative portfolio risk.”
Interactive Data provides fixed income portfolio analytics to more than 400 leading banks, investment managers, brokerage firms, insurance companies and pension funds throughout North America and Europe. BondEdge allows clients to identify opportunities and analyze portfolio risk using robust modeling techniques.
BondEdge Version 3.2 is available via the BondEdge Next Generation platform, which is built on the Microsoft® .NET Framework and provides a highly intuitive and flexible user interface.
BondEdge Next Generation includes an extensive structured finance deal library, cash-flow engine, and term structure and prepayment models, enabling clients to generate dynamic risk measures and asset cash flows for agency and non-agency RMBS including sub-prime issues, as well as ABS and commercial mortgage-backed securities (CMBS).
- Enterprise Architecture
- Market Data
- Performance and Attribution
- Pricing and Valuation
Cutter Associates is also pleased to announce overall enhancements to the CutterBenchmarking product. Based on detailed client feedback, Cutter Associates has redesigned its benchmarking solution to provide more actionable and focused analysis to help participating firms enhance and streamline their investment processing capabilities. Key enhancements include more focused surveys, redesigned reports, specific actionable recommendations and key survey findings for senior management reporting.
Jacqueline Alvarez, Managing Director, CutterBenchmarking commented “Cutter Associates works with our member firms to analyze and evaluate the topics they identify as key priorities for the upcoming year. Through CutterBenchmarking, we aim to help our clients improve their operational effectiveness and increase efficiency. The additional enhancements to the CutterBenchmarking product allow us to match client demand by tailoring our offering to their business needs."
_____________________________________________________________________________________________
Advent Software, Inc., Causeway Capital Management live on new version offering more scalability, efficiency and globalization
Eagle Investment Systems LLC, a leading provider of financial services technology and a wholly owned subsidiary of BNY Mellon, announced the availability of Eagle Version 10.0 (V10.0), a major technical and functional upgrade of its integrated suite of data management, investment accounting, and performance measurement and attribution solutions.
As part of Eagle’s commitment to product innovation, it regularly evaluates and integrates new features to support today’s evolving financial services industry. Eagle’s V10.0 offers clients a broad array of important benefits including increased scalability, updated reporting to comply with industry regulations such as International Financial Reporting Standards (IFRS), new global instrument types, and enhanced reporting and delivery.
With each release, Eagle enhances the workflow and system architecture that underlies its investment management solutions ensuring its products run most efficiently and reducing its clients’ total cost of ownership. Overall, the suite has been updated to provide more efficiency and optimization based on benchmark and stress tests performed over the course of last year. To address the processing needs of business lines with a high volume number of accounts, the entire suite now supports application partitioning. Seamless to end-users, partitions are leveraged to provide a predictable, highly scalable, cost-effective solution.
A number of clients have initiated deploying V10.0 to gain access to the new functionality and technical enhancements, including Causeway Capital Management, which is currently using the latest version of Eagle’s data management and accounting platform.
“We are pleased to be on Eagle V10.0 and believe it strategically positions us to further streamline and automate our workflows while enhancing our systems controls,” said Pete Petersen, director of technology at Causeway Capital Management. “The technologies embedded in the architecture create opportunities allowing for a more efficient integration between Eagle and many other third-party systems.”
“Eagle remains committed to delivering the most innovative solutions to address ever-changing client and market needs, and our year-over-year investment in our products is one of the key reasons we’re known as an industry leader,” said John Lehner, chief executive officer and president of Eagle. “With many of the changes being introduced in V10.0, particularly the enhancements around IFRS support, Eagle’s investment accounting solution is one of the most functionally-rich offerings available.”
Functional enhancements in V10.0 were based on a number of factors, including input from clients, supporting additional needs for globalization, and providing the necessary support for changing industry regulations. New functionality has been added across all of Eagle solutions including these highlights:
• Data Management offers new updates including support for increased types of reference data, and quality investment which resulted from benchmark testing. This release expands support for various types of reference data as well as streamlines the workflow for corporate actions. Additionally, improvements to workflow and user flexibility were made to provide clients with an enhanced user experience and ease of use.
•Information Delivery, a component of the data management solution providing capabilities for reporting and dissemination of information, has been augmented to increase efficiencies for creating and delivering reports. V10.0 introduces an Eagle Mart, an information delivery platform that includes a preconfigured data mart and packaged reports offering users faster speed to delivery and the benefits of shorter project timelines. With packaged reports, users are able to select look and feel and can combine the reports with a table of contents for streamlined creation.
• Investment Accounting contains many enhancements, including increased support and further integration for derivatives instruments, support for compliance with IFRS, enhanced capabilities for operational reports, and further development to mutual fund accounting in the areas of expense processing and payments. This release also supports additional NAIC regulatory changes for investment schedules and expanded reporting.
• The Performance Measurement suite has been enhanced to support client needs in the areas of GIPS® 2010, globalization and scalability. In preparation for GIPS 2010, enhancements streamlined the workflow to support maintenance of composites. Additional standard reports were added to augment verification support. To address the trend of increased globalization of our client base, a “Karnosky and Singer” style multicurrency attribution method was added to the attribution module to support currency management analysis.
“We are proud to offer products that are truly Web-based, via install, hosted service, or through outsourcing. Coupled with our functionality, these deployment options distinguish Eagle from all other investment management solutions in the market today,” said Lehner.
Eagle Investment Systems LLC, a subsidiary of BNY Mellon, is a global provider of financial services technology. Eagle provides leading-edge technology and services for data management, investment accounting and performance measurement. Eagle’s product suite is offered as an installed application or can be hosted via Eagle ACCESSSM, Eagle’s ASP offering.
BNY Mellon Asset Servicing offers clients worldwide a broad spectrum of specialized asset servicing capabilities, including custody and fund services, securities lending, performance and analytics, and execution services.
_____________________________________________________________________________________________
Interactive Data Corporation, a leading provider of financial market data, analytics and related solutions, announced that its Pricing and Reference Data business will provide its Fair Value Information Service (FVIS) for international equities to Russell Investments for use in providing fair value adjusted information on Russell’s global equity indices.
This information is designed to help investment professionals effectively compare the performance of their international funds to benchmark indices by incorporating information that approximates the fund’s fair value procedures for international equity securities. Russell’s fair value adjusted index data will be available in a monthly report to clients of Russell Investments and Interactive Data, as well as to the public via Russell Investments’ website.
An important component of fund performance measurement is the concept of tracking error, which estimates the standard deviation of the differences between a mutual fund’s returns versus those of a comparable benchmark index. Generally, when comparing similar funds with identical returns, a fund with a lower tracking error is perceived to exhibit less risk. A research report by Interactive Data (whitepaper #14) revealed that comparing the performance of international mutual funds that employ fair valuation techniques for international equity securities with benchmark indices that do not include fair value adjustments can increase the fund’s perceived tracking error, which can be misleading. By compiling index data utilizing Interactive Data’s FVIS evaluations, Russell can help investment professionals make a more ‘apples-to-apples’ comparison of performance to a given benchmark.
Russell will initially provide fair value adjusted index data based on its equity indexes that reflect the following comprehensive market segments: Global, Global Large Cap, Global Small Cap, Global ex-U.S., Developed Large Cap, Developed ex-North America Large Cap, Developed Europe, Asia Pacific, Asia Pacific ex-Japan, Emerging Markets, Global ex-Frontier, and Global ex-Frontier Large Cap.
“Our top priority is to provide clients and end investors with the best possible measures of fund performance,” said Susie Caswell, senior product manager for Russell Indexes at Russell Investments. “By employing Interactive Data’s service on top of our truly reflective and modular index construction, we’ll serve those investment managers who use fair value adjusted pricing for their international funds with another way to examine returns. As the only index provider whose primary business is investment management, we understand the importance of accurate analysis of performance measurement.”
Caswell added that the announcement does not indicate a change to Russell’s index methodology, but it does present a new option for investment managers who would like to see the impact of Interactive Data’s fair value factors on specific Russell Indexes.
“We are very pleased to be working closely with Russell to advance their objective of providing indices that help investment managers accurately track fund performance,” said Liz Duggan, managing director, Evaluations. “Interactive Data believes that the mutual fund community can benefit from fair value adjusted benchmark index data from Russell, as it offers more of an ‘apples-to-apples’ comparison for measuring fund performance. We look forward to continuing to explore other applications for our Fair Value Information Services that can help address challenges faced by financial institutions.”
The result of extensive research and development, Interactive Data’s Fair Value Information Services reflect decades of leadership in providing mission-critical data to financial institutions worldwide. Interactive Data’s Fair Value Information Service is designed to provide information that can be used to estimate a price for an exchange-traded international equity security, equity index futures contract, or equity option that would likely prevail in a liquid market, in view of market information available at the time of evaluation. In January 2007, Interactive Data was awarded a patent by the U.S. Patent & Trademark Office for Fair-Value Pricing of a Financial Asset.
_____________________________________________________________________________________________
Eagle Investment Systems LLC, a leading provider of financial services technology and a subsidiary of BNY Mellon, announced that Industrial Alliance Insurance and Financial Services Inc. based in Quebec City has selected Eagle’s data management solution to help manage its investment portfolio.
The need for improved access to data to support timely risk and portfolio management reporting is leading investment managers in Canada and around the globe to enhance their data management strategies.
A leading life and health insurance company, Industrial Alliance selected Eagle as its platform for integration and consolidation of its internal and third-party investment data and increased automation of reporting processes. Once Industrial Alliance’s data has been consolidated onto Eagle’s data management platform, they will leverage Eagle to help enhance its fund, client service, and portfolio management reporting, which will be delivered to end users via the Eagle Portal.
“Today’s investment managers are working with vendors that have proven technology, the strength to sustain current market conditions, and a dedicated and knowledgeable client service team,” said Mal Cullen, managing director of Eagle’s Canadian operations. “As we approach our ten-year anniversary in Canada, Eagle continues to be a vendor of choice for data management, investment accounting and performance measurement solutions.”
Founded in 1892, Industrial Alliance Insurance and Financial Services Inc. is a life and health insurance company that offers a wide range of life and health insurance products, savings and retirement plans, RRSPs, mutual and segregated funds, securities, auto and home insurance, mortgage loans and other financial products and services. The fourth largest life and health insurance company in Canada, Industrial Alliance is at the head of a large financial group, which has operations in all regions of Canada, as well as in the United States. Industrial Alliance contributes to the financial wellbeing of over three million Canadians, employs more than 3,400 people and manages and administers over $58 billion in assets. Industrial Alliance stock is listed on the Toronto Stock Exchange under the ticker symbol IAG. Industrial Alliance is among the 100 largest public companies in Canada.
Eagle Investment Systems LLC, a subsidiary of BNY Mellon, is a global provider of financial services technology. Eagle provides leading-edge technology and services for data management, investment accounting and performance measurement. Eagle’s product suite is offered as an installed application or can be hosted via Eagle ACCESSSM, Eagle’s ASP offering.
BNY Mellon Asset Servicing offers clients worldwide a broad spectrum of specialized asset servicing capabilities, including custody and fund services, securities lending, performance and analytics, and execution services.
_____________________________________________________________________________________________
Interactive Data Corporation, a leading provider of financial market data, analytics, and related solutions, announced that its Fixed Income Analytics business has released BondEdge® Version 3.2. This new BondEdge release contains enhancements to help institutional investors assess risk related to prime and sub-prime residential mortgage-backed securities (RMBS), including fixed and adjustable mortgage pools, collateralized mortgage obligations (CMOs) and asset-backed securities (ABS).
Included within BondEdge Version 3.2 are the following enhancements:
• A new multi-factor term structure model (G2++) to compute analytic risk measures and provide interest rate and credit spread simulation analysis on prime and sub-prime RMBS. This arbitrage free model of interest rates includes a volatility surface which is calibrated on a daily basis to the swaptions market.
• The availability of enhanced collateral detail on non-prime RMBS, including historical delinquency, loss, and default data as well as current credit trigger status and subordination levels.
• A security specific BondEdge prepayment model scaling tool for prime RMBS which provides the ability for clients to tune prepayment model assumptions at a bond level.
• A capability to automate the provision of security specific base case prepayment, default, and loss severity assumptions, as applicable, for prime and non-prime RMBS.
“This new release extends BondEdge’s analytic capabilities to institutional investors having RMBS exposure within their fixed income portfolios”, said Keith Webster, managing director, Interactive Data Fixed Income Analytics. “The RMBS-related enhancements delivered with this latest release of BondEdge are a reflection of feedback provided by clients, across all market segments that we serve, to provide more granular security detail and greater modeling flexibility for this complex asset class.”
“We appreciate the opportunity to work closely with Interactive Data to provide our perspective for the ongoing development of mortgage-backed security analytics,” said Thomas H. Atteberry, CFA, Partner First Pacific Advisors. “BondEdge provides tools to analyze RMBS and other fixed income asset classes that can assist in our assessment of absolute and relative portfolio risk.”
Interactive Data provides fixed income portfolio analytics to more than 400 leading banks, investment managers, brokerage firms, insurance companies and pension funds throughout North America and Europe. BondEdge allows clients to identify opportunities and analyze portfolio risk using robust modeling techniques.
BondEdge Version 3.2 is available via the BondEdge Next Generation platform, which is built on the Microsoft® .NET Framework and provides a highly intuitive and flexible user interface.
BondEdge Next Generation includes an extensive structured finance deal library, cash-flow engine, and term structure and prepayment models, enabling clients to generate dynamic risk measures and asset cash flows for agency and non-agency RMBS including sub-prime issues, as well as ABS and commercial mortgage-backed securities (CMBS).
