Complex Asset Pricing (CAP) Update
Dario Cintioli, StatPro, Global Head of Risk
In the last year since we developed CAP we have
constantly improved the quality of our service and today it is, I
believe, the equal of any other service available. The key for
clients has been for StatPro to improve its coverage of assets as
they love the transparency of our pricing service. I would like to
take this opportunity to update you on where we are.
What Have We Done Recently?
We have delivered the pricing at T+0 for CDSs. CAP now takes a
snapshot of the risk factors at 2:30pm EST and starts a pricing run
at 3pm. The objective is to always complete the pricing run by
4:15pm.
We have also moved 142 pricing functions of complex/illiquid
bonds from SRS to CAP which adds to the existing 13 OTC Derivatives
categories means 155 prices are covered by the system to date.
What Are We Going To Do?
In the coming weeks we will add a number of OTC Derivatives to
the coverage: Multi-Callable Swaps (Bermudan), Inflation Swaps, FX
Options.
In the next 6 months we will also add 3 key
functionalities:
- the capacity to insert an instrument today and get
prices in the past;
- production of clean and dirty prices for OTC
Derivatives;
- the capacity to define into a CAP account pricing
frequencies other than daily (i.e. weekly/monthly).
Adding these functionalities will expand our potential market
reach, opening the market of valuations for auditing purposes (e.g.
IAS 39 audits).
Conclusion
We now have a number of clients completely live on the new
service and the recent enhancements mean that we are ready to roll
this product out to many more clients over the coming months.
Demand for transparent, accurate and comprehensive pricing has not
diminished and StatPro has a truly excellent service to offer.
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