Tamesis launches tool

Tamesis, risk management and trading solutions supplier, has added Tamesis Credit Trader, a pricing and risk management product, to its range. The product is specifically aimed at institutions trading low volumes of credit derivatives.

The product provides banks and hedge funds with a complete trading and risk management solution for credit derivatives trading. Credit Trader delivers trade capture, pricing from NumeriX, aggregated risk and P&L, and flexible scenario analysis for a range of credit derivatives instruments, from single-name CDS trades to more complex CDO structures.

James Tomlin, chief executive officer of Tamesis, believes that the lower-volume traders of credit derivatives are providing much needed liquidity to the growing market. “Credit Trader is ideal for institutions that have outgrown complete reliance on spreadsheets and want a cost-effective trading and risk management solution,” he says.

Users can configure views of aggregated positions that reflect the simultaneous impact of market and credit risk events. In addition, Credit Trader offers full deal input, pricing, scenario analysis and risk management capabilities.

Other features include the support of detailed online and scheduled what-if scenarios. Users can also run composite scenarios, which simulate, for example, the combined impact on a portfolio of a name defaulting and spreads widening.

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Principia Partners adds single-tranche CDOs

Principia Partners has updated its credit derivatives product to provide straight-through processing support of single-tranche collateralised debt obligations (CDOs). The product is aimed at banking institutions, insurance firms and hedge funds.

“Credit derivatives continue to evolve rapidly both in product complexity and market application. Principia is committed to providing our clients with the leading edge analytics and integrated straight-through processing required to maintain their competitive advantage,” says Douglas Long, product marketing director at Principia Partners.

The addition of single-tranche CDOs is part of Principia’s commitment to provide support to its client base trading credit derivatives, which includes structured finance companies, capital market groups, insurance companies and hedge funds.

Principia’s credit derivative coverage includes single-tranche CDOs, credit default swaps (CDS), digital/binary CDS, credit default baskets (first to default and nth to default), options on CDS and cancellable CDS, and credit-linked notes.

“The market acceptance of a standard credit derivative index for credit trading and the popularity of synthetic securitisation are two important factors that drive demand for single-tranche CDOs,” says Long.

The Principia system applies intensity-based pricing models to credit derivatives, based on market-derived default probabilities and recovery rates. Recovery payment delays, premium payment frequency and accrual, and compounding assumptions are incorporated in the system. The product enables users to imply default probabilities from traded debt or credit default swap prices, as well as from benchmark and exchange-quoted information.

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