Markit Launches CVA & Capital System
July 30, 2012
Markit launches CVA & Capital system. ICE to transition all OTC Energy products to futures in January 2013. Linedata upgrades compliance system.
MARKIT: The global financial information services provider announced Monday the launch of Markit Analytics CVA & Capital, a market-leading Basel III-compliant platform which integrates the management of credit valuation adjustment (CVA) and internal model capital.
At a time of regulatory change and rising cost of funding and capital, banks are increasingly adopting simulation-based risk management techniques which allow them to measure and manage financial resources with greater risk sensitivity. Under Basel III, banks that use both the Internal Model Approach (IMA) for market risk capital and the AIRB Internal Model Method (IMM) to calculate counterparty credit risk capital are required to use the advanced method known as CVA Value at Risk (VaR) to calculate the CVA capital charge.
By using the Markit Analytics CVA & Capital system as a unified simulation engine to calculate CVA, funding valuation adjustment (FVA) and internal model capital for CVA, counterparty credit risk (CCR) and market risk, banks are able to meet regulatory requirements and enhance their active portfolio risk management capabilities while saving costs.
Markit Analytics CVA & Capital covers all asset classes from vanilla products to highly complex path-dependent derivatives. Capabilities include pre-trade inception charging, credit checking, post trade P&L and capital management. Markit Analytics’ CVA solution was first implemented by a major financial institution in 2007 to dynamically hedge the CVA of a large multi-currency derivatives book on a batch and intraday basis.
INTERCONTINENTALEXCHANGE: The operator of global regulated futures exchanges, clearing houses and over-the-counter (OTC) markets, announced Monday that all cleared OTC products listed on ICE's OTC energy market will be transitioned to futures products in January 2013. These products will continue be listed and traded on the ICE platform and cleared at ICE Clear Europe, and block trades will continue to be available subject to applicable requirements.
All uncleared swaps will continue to be listed on ICE's OTC platform, which will register as a swap execution facility.
Cleared North American natural gas, electric power, environmental products and natural gas liquids (NGLs) swaps will be listed as futures on the energy division of ICE Futures U.S. Cleared oil products, freight and iron ore swaps will be listed as futures on ICE Futures Europe. All products will continue to clear at ICE Clear Europe, which was approved as a CFTC-regulated derivatives clearing organization in 2010. The transition from OTC swaps to futures is subject to approvals from the Commodity Futures Trading Commission and Financial Services Authority.
LINEDATA: The investment management and credit industry system vendor has unveiled the latest version of Linedata Compliance.
This newest version offers enhanced support for tiered rules and look-through to underlying securities of funds, derivatives and indexes commonly required for regulatory disclosures such as substantial shareholder and short selling restrictions.