SARON

Clearwater Analytics' Latest Product Updates Unlock Unparalleled Efficiency for Users

Retrieved on: 
Monday, December 19, 2022

BOISE, Idaho, Dec. 19, 2022 /PRNewswire/ -- Clearwater Analytics (NYSE: CWAN), a leading provider of SaaS-based investment accounting, reporting, and analytics solutions, today announced that it delivered new product features and enhancements in the third quarter of 2022 to support the latest accounting and reporting standards, enrich asset class reporting, and enhance the user experience. 

Key Points: 
  • Clearwater included the expiration transaction type in four reports for Solvency II QRT (Quantitative Report Template) S.08.02 and Lloyd's QAD/AAD 23 reports.
  • Clearwater created several new reports for updated and accurate Solvency Capital Requirements (SCR) calculations.
  • Clearwater strengthened the scope of our market analytics support to include three new fields for zero-volatility spread (z-spread) analytics.
  • Clearwater Analytics is a global industry-leading SaaS solution for automated investment data aggregation, reconciliation, accounting, compliance, risk, performance, and reporting.

ICE Names Caterina Caramaschi as Head of Combined Global Interest Rates and Equity Derivatives Product Portfolio

Retrieved on: 
Monday, October 3, 2022

Intercontinental Exchange, Inc. (NYSE: ICE), a leading global provider of data, technology, and market infrastructure, and home to the most liquid markets for trading FTSE, MSCI and multi-currency European interest rate derivatives, today named Caterina Caramaschi as head of a combined portfolio covering ICEs global interest rates and equity derivatives futures and options.

Key Points: 
  • Intercontinental Exchange, Inc. (NYSE: ICE), a leading global provider of data, technology, and market infrastructure, and home to the most liquid markets for trading FTSE, MSCI and multi-currency European interest rate derivatives, today named Caterina Caramaschi as head of a combined portfolio covering ICEs global interest rates and equity derivatives futures and options.
  • Caramaschi, who becomes Vice President, Financial Derivatives, has worked at ICE and formerly LIFFE, for 21 years.
  • She has held the role of ICEs Global Head of Equity Derivatives since December 2020.
  • Trademarks of ICE and/or its affiliates include Intercontinental Exchange, ICE, ICE block design, NYSE and New York Stock Exchange.

OptionMetrics Moves to Novel Methodology for International Options Calculations, Drawing from Options Market for Highest Levels of Accuracy

Retrieved on: 
Tuesday, February 8, 2022

OptionMetrics , an options database and analytics provider for institutional investors and academic researchers worldwide, is announcing its new options implied methodology, offering even greater accuracy in options calculations in the U.S., Europe, Asia Pacific.

Key Points: 
  • OptionMetrics , an options database and analytics provider for institutional investors and academic researchers worldwide, is announcing its new options implied methodology, offering even greater accuracy in options calculations in the U.S., Europe, Asia Pacific.
  • In applying leading overnight rates from the options market (such as with SOFR replacing LIBOR) and data from index options, OptionMetrics methodology more accurately reflects the cost of borrowing and lending in the options markets in Europe, North America and Asia Pacific.
  • (Graphic: Business Wire)
    In leveraging data from index options, OptionMetrics more accurately reflects costs of borrowing and lending in options markets.
  • At OptionMetrics, we are committed to ensuring the most accurate options data , Greeks, and implied volatility calculations.

ICE SONIA Hits Record Volume as Investors Manage UK Interest Rate Risk

Retrieved on: 
Monday, February 7, 2022

The SONIA volume record is a 13% increase on the previous record set on September 16, 2021.

Key Points: 
  • The SONIA volume record is a 13% increase on the previous record set on September 16, 2021.
  • ICE Euribor futures and options, the benchmark contract for managing Euro-denominated interest rate risk, saw a total of 3,857,686 contracts trade on February 3, marking the highest trading day in 2022 so far for the contract.
  • SARON futures, the contract for managing Swiss Franc (CHF) interest rate risk, also hit record volume of 29,278 lots on February 3.
  • Trademarks of ICE and/or its affiliates include Intercontinental Exchange, ICE, ICE block design, NYSE and New York Stock Exchange.

ICE Transitions Sterling and Euroswiss LIBOR-based Derivatives to SONIA and SARON Ahead of Sterling and Swiss Franc LIBOR Cessation

Retrieved on: 
Tuesday, December 21, 2021

The transition completes ICEs LIBOR cessation process for these contracts and ICE SONIA is now the benchmark contract for managing U.K. short term interest rate risk, said Steve Hamilton, Global Head of Financial Derivatives at ICE.

Key Points: 
  • The transition completes ICEs LIBOR cessation process for these contracts and ICE SONIA is now the benchmark contract for managing U.K. short term interest rate risk, said Steve Hamilton, Global Head of Financial Derivatives at ICE.
  • Open interest in SONIA futures and options stands at 6,976,654 with open interest of 153,208 in SARON.
  • At ICE Mortgage Technology , we are transforming and digitizing the U.S. residential mortgage process, from consumer engagement through loan registration.
  • Trademarks of ICE and/or its affiliates include Intercontinental Exchange, ICE, ICE block design, NYSE and New York Stock Exchange.

Xignite Enhances Popular Interbanks and Rates APIs In Preparation for LIBOR Rates Transition Adds Four Alternative Risk Free Rates (RFRs)

Retrieved on: 
Wednesday, June 9, 2021

Other countries are introducing their own local-currency-denominated alternative reference rates for short-term lending.

Key Points: 
  • Other countries are introducing their own local-currency-denominated alternative reference rates for short-term lending.
  • Xignite enhanced its Interbanks and Rates APIs with SOFR earlier this year and has now added four of the alternative overnight risk-free rates (RFRs) recommended to replace LIBOR for currencies in respective markets.
  • The new rates include Euro Short-Term Rate (ESTR), Swiss Reference Rates (SARON), Sterling Overnight Index Average (SONIA), and Tokyo Overnight Average Rate (TONAR).
  • "Our rates and InterBanks APIs were the first REST APIs ever released to serve the needs of the lending and banking industries.

New JPMorgan Chase Institute Research Explores Hedge Fund Trading During the Swiss Franc Floor Period

Retrieved on: 
Tuesday, January 15, 2019

On the fourth anniversary of the Swiss National Banks (SNB) removal of the Swiss Franc (CHF) floor, the JPMorgan Chase Institute released a new study further exploring the trading behavior of hedge funds during the SNBs Minimum Exchange Rate policy period.

Key Points: 
  • On the fourth anniversary of the Swiss National Banks (SNB) removal of the Swiss Franc (CHF) floor, the JPMorgan Chase Institute released a new study further exploring the trading behavior of hedge funds during the SNBs Minimum Exchange Rate policy period.
  • JPMorgan Chase Institute data and analysis show that when the EUR/CHF exchange rate approached the 1.20 floor, hedge funds bought EUR and sold CHF in the anticipation that the exchange rate would rise.
  • The research measures hedge fund net flows in EUR/CHF spot and forward transactions during the SNBs Minimum Exchange Rate policy period.
  • The JPMorgan Chase Institute is a global think tank dedicated to delivering data-rich analyses and expert insights for the public good.