RiskVal, the provider of pre-trade, trading and risk management applications for fixed income and credit derivatives, launches RiskVal CDS conversion analytics. For a limited time, the RiskVal Portfolio Valuation Solution team will provide pro bono professional services to help convert legacy CDS portfolios to the new standards.
The CDS Big Bang is expected to be implemented on April 8, 2009, says Jordan Hu, CEO and founder of RiskVal. RiskVal, as a leading credit derivative service provider, is proud to offer clients the chance to take advantage of our Re-Coupon service. In these interesting times for credit derivative trading, we are here to help move the industry forward to CDS standardization.
This analysis offers clients a first look at how their portfolios may be exposed to the benefits of greater trade compression as part of the move to standardized CDS premium payments. Other RiskVal products include RVFI, the fixed income trading and risk management platform, RiskVal Credit RT, the real time credit monitor, and professional services and consulting operations including EOD P/L production for first tier banks.
RiskVals Portfolio Valuation team will assume each positions notional is $1MM. The newly converted portfolios will match notional with the original CDS positions. Optionally, clients that provide notional will be able to view notional aggregated maturity buckets. The weighted average coupon will result in the same cash flow schedule, with a coupon effective date as of the last IMM maturity date. Risk profiles of the old and new positions will be identical. Coupon cash accruals in the old positions may need to be settled with counterparties independently.
D.C.