Risk Europe 2003: Reuters signs deal with NumeriX for exotic derivatives libraries

Reuters has signed a deal with NumeriX, the US derivatives analytics company, to offer a suite of exotic derivatives pricing libraries for customers of its Kondor+ flagship risk management system. The deal was unveiled at Risk 's eighth annual Risk Europe conference, held in Paris today.

Kondor has some 11,000 users around the world, but the deal with NumeriX could help it leapfrog competitors in the pricing and risk management of value-enhancing exotic derivatives such as power-reverse duals. The move is part of an ongoing effort by the UK information and systems provider to boost its risk management systems activities following the appointment of Mike Whitaker as managing director of trade and risk management last year.

It also coincides with the release of Kondor+ v2.6, which features an open trade capability. This offers users the flexibility to integrate third-party and proprietary systems into Kondor+.

Users will gain access to NumeriX’s fixed-income and foreign exchange libraries by mid-year, said Craig Bouchard, NumeriX chief executive. Credit and equity derivatives capabilities will be added in the third quarter, while instant cross-asset class exotic pricing and modelling functions should be available by year-end.

NumeriX analytics are used in a number of vendor systems, but Bouchard told RiskNews the deal with Reuters went further than the company’s current relationships, as it would offer Kondor+ customers the chance to price virtually any derivatives instruments. These include profitable power-reverse duals, CMS spreads and stochastic equity volatility instruments.

“Most systems don’t handle hybrid instruments as they are difficult to describe in standard risk systems,” Reuters’ Whitaker told RiskNews. “Usually they are patched in. This makes Kondor+ the first system in the world [to directly handle such instruments].”

Kondor+ v2.6 has also incorporated improved credit derivatives capabilities, and includes coverage of Latin American updates that meet the latest Brazilian regulatory requirements, including Brady bonds, Brazilian yield curves and PTAX management.

Last month, Reuters said Spanish bank Santander Central Hispano and Germany’s Landesbank SchleswigHolstein had signed up to its Kondor Global Limits product, a real-time, global credit risk management tool.