Wall Street Letter Volume XLV Issue 23 | Page 3

NEWS 18 – 24 JULY 2013 POST-TRADE Published by Pageant Media London Thavies Inn House London EC1N 2HA T [phone] F [phone] EDITORIAL Jeanene Timberlake Managing editor [phone] [email protected] Sean Creamer Reporter [phone] [email protected] Gwyn Roberts Group head of content [phone] [email protected] Indira Peters-DiDio Data manager [phone] [email protected] PRODUCTION Claudia Honerjager Head of production c.honerjager@ pageantmedia.com New York 240 W 37th St. Suite 302, NY 10018 T [phone] F [phone] COMMERCIAL Lucy Churchill Group commercial manager [phone] [email protected] Tracey Carey Content Sales Manager [phone] [email protected] EVENTS Beth Hall Head of events [phone] [email protected] DISTRIBUTION Fay Muddle Circulation manager [phone] [email protected] PAGEANT MEDIA Charlie Kerr Chief executive Printed by The Manson Group FICC division to change prepayment model The Government Securities Division of the Fixed Income Clearing Corp. will soon change the prepayment model it uses as part of its value at risk calculations for the General Collateral Finance (GCF) Repo service. The utility detailed the change in an advanced notice it submitted to the Securities and Exchange Commission last month. The change will only affect users of the service that have positions in at least one generic GCF Repo CUSIP if agency mortgage-backed securities are acceptable as collateral, it said. The current prepayment model, which is used to determine the member’s VaR charge for MBS, is one from the Office of Thrift Supervision that is no longer supported, it noted, which prompted the change. FICC said the new model will mirror the model adopted by its MBS Division using market observed data that is expected to be more responsive to market conditions. Parameters for the model will be updated daily using two-year and 10-year swap rates across a rolling, historical 252-day period as well as mortgage current coupons. FICC said by incorporating the different rates, the model can take into account the prepayment from the adjustable rate and fixed rate mortgage markets, as well as the current coupon rates. “FICC believes that the proposed prepayment model will enhance the risk management of the applicable positions cleared at the GSD because the proposed new prepayment model improves FICC’s measurement of market price risk due to changes in MBS durations,” it said. TECHNOLOGY TS-Associates to expand adoption of Infobright analytic database 03 Sub-editor Eleanor Stanley Sub-editor Luke Tuchscherer Sub-editor UK-based TS-Associates plans to incorporate Infobright’s analytic database, the Infobright Enterprise Edition (IEE), into its Correlix offering for trade flow analysis, according to Henry Young, TSAssociates’ CEO. The vendor revealed this month the latest iteration of its TipOff appliance for network analysis and data flow latency monitoring, TipOff G6 Turbo 01 ISSN# 726-98790 © 2013 Pageant Media Ltd. All rights reserved. COPYRIGHT NOTICE: No part of this publication may be copied, photocopied or duplicated in any form or by any means without Pageant Media ?e?????????????????? ?????????????????????????????????????????????? ???????1?????UM???????????Y?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????e?????() =9Q%9U???()Q???????)?????????????????????????)]10?MQIP?1QQH((??????()Q???????????????????????????????????????????????????????U?????????????????????????????????????????????????????????????????(+?q9???????????????????????????????????????????????????????????????????????????????????????????????????????????t??????????????????????????e???????????????????????????????????????%??????????????????? ???????????????????????????????!??????????????????????????????????????????? L??????????????????? L?????????????????????????????????????????()??????????????qA?????%?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????t???????????q]???%?????????????????????????????????????????????????t?%?????????????????????????????????????????????????????????????????????????????????????????????? ??!??????????????????????????????????????????????????%???????????????????????????????????????????????? L????????((