Wall Street Horizon said it will send dates and date changes “within 1,000 milliseconds” of announcement. Deutsche Boerse units extend pooling market to short-term funding. New York Portfolio Clearing launched a Portfolio Risk Interactive Margin Estimator. Credit Suisse releases a “calendar roll” algorithm for fixed-income trading. LCH.Clearnet gets a “nonobjection” to its foreign exchange clearing plan.
WALL STREET HORIZON: The supplier of calendar-driven corporate event data for trading and risk management said it rolled out a low-latency feed of announcements of corporate earnings and their release dates.
Its Real-Time Earnings Date Monitor automatically tracks press releases from thousands of companies across the major wires, parses text into structured data for release dates and timing, and checks historical data to flag if it is a new date or a date change.
The service’s structured XML messages are delivered to institutions “within 1,000 milliseconds of announcement.’’ A millisecond is a thousandth of a second.
"Whether firms trade on volatility or try to avoid it, they need to know exactly when a public company will release their next earnings report," said Barry L. Star, Managing Director of Wall Street Horizon.
EUREX: Eurex Repo, Eurex Clearing and Clearstream will introduce an extension of the GC Pooling market to short-term funding transactions. The extension, to be called GC Pooling Select, will be available to banks who are active GC Pooling participants.
GC Pooling Select will be specifically designed for secured short-term cash investments from non-financial clients to banks to avoid the systemic risks of unsecured money market operations.
The launch is is scheduled for the fourth quarter.
The marketplace for secured interbank transactions will be enhanced “to contribute to re-building trust between banks and their existing non-financial customers,” the three units of Deutsche Boerse Group said. These include corporations, asset managers and pension funds.
Benefits for the current participants of GC Pooling, the companies said, are additional flow without further investments on their side while keeping the positive effects of risk and balance sheet netting.
The most important benefits for corporate clients are the mitigation of any counterparty risk, as their cash activities are protected through the inclusion of Eurex Clearing’s central counterparty serv ice. Simultaneously, all cash and collateral management functionalities will be handled within Clearstream’s Liquidity Hub including a seamless integration of the two market segments to ensure an optimized cash and collateral usage. To enter into the new market, very limited efforts are required on the client’s side.
NEW YORK PORTFOLIO CLEARING: The clearing house for fixed income derivatives, launched a Portfolio Risk Interactive Margin Estimator. The calculator estimates the "one-pot" margin savings clearing members can achieve for proprietary interest rate futures cleared at NYPC and certain cash positions cleared at the Fixed Income Clearing Corporation subsidiary of The Depository Trust & Clearing Corporation. The calculator, NYC Prime, is free at NYPC’s website. The calculator estimate estimates Value at Risk margin amounts on demand.
CREDIT SUISSE: The financial services firm Credit Suisse has released Calendar Roll, a fixed income algorithm which allows clients to roll bond futures positions to future months while maintaining their risk exposure.
The Calendar Roll algorithm is custom designed for bond futures, where the nature of the market makes rolling a position from one calendar month to the next a complex multi-legged trade that can expose an investor to unintended new risks during execution.
The algorithm is available via the Credit Suisse Onyx fixed income trading platform.
Clients can access to the algo directly from their own desktop machines, “allowing them to seamlessly move their bond futures positions from one month to the next while maintaining their duration exposure,’’ the company said.
"Onyx provides the rates-specific algos that our most demanding clients need, from basis trading to yield curve strategies," said Jeff Jennings, Global Head of Prime Services Listed Derivatives. "The Calendar Roll is another example of how our deep product expertise leads to www.credit-suisse.com .
LCH.CLEARNET: The multi-asset class clearing house said it received regulatory “non-objection” from the Financial Services Authority for its new over-the-counter foreign exchange clearing service, ForexClear The clearer “is working with members towards the imminent launch of non-deliverable forwards.”
Tom Steinert-Threlkeld writes for Securities Technology Monitor.
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