ReMATCH selects OpenGamma to support CDS portfolio risk management
06 March 2014
OpenGamma Platform provides customized, fully integrated risk analytics capabilities for the ReMATCH CDS portfolio rebalancing and market risk mitigation service
LONDON, NEW YORK – March 6, 2014 – OpenGamma, creator of the first open-source risk management and analytics platform for the financial services industry, today announced that ReMATCH, the ICAP owned CDS portfolio rebalancing and market risk mitigation service, has selected the OpenGamma Platform to provide dynamic, on-demand market risk analytics for single-name CDS.
Established in 2009 to help OTC swaps market participants identify and manage legacy CDS portfolio risk over time, ReMATCH’s service allows its clients to access pooled liquidity, find offsetting risk, rebalance their portfolios, and help meet the new OTC market structure requirements. ReMATCH decided to work with OpenGamma to implement a new transparent methodology that could easily integrate with systems across the enterprise while reducing operational overhead.
The OpenGamma Platform provides a customized CDS risk analytics solution that has been integrated with ReMATCH’s legacy systems and data feeds, thereby allowing ReMATCH to reduce operational risk and overall technology costs. Additionally, access to the underlying source code enables ReMATCH to validate the final outputs against the market. Further, OpenGamma provided a clean-room implementation of the ISDA CDS Standard Model.
Philip Perrott, CEO of ReMATCH said: “By working with OpenGamma we are able to enhance our customer offering with a robust, tailored risk analytics capability, while reducing the demand on our internal resources. Reconciling these numbers is a complex task, and requires high attention to detail and close interaction with our internal IT team. OpenGamma proved they not only met our demands for numerical accuracy and superior performance but also that they truly understand our business.”
Mas Nakachi, CEO of OpenGamma, added: “The OTC derivatives market continues to face unprecedented change globally, which is accompanied by a number of new market challenges. Today’s market requires a high level of agility, transparency and certainty, as well as smarter analytics capabilities to better manage risk. ReMATCH is an innovator in its space, and we are delighted to be partnering with them to provide innovative solutions to meet their clients’ needs.”
Since its launch, ReMATCH has worked with the majority of major banks to mitigate their exposure to CDS market risks in the European and Latin American emerging market sectors.
The OpenGamma Platform provides real-time market risk management technology that brings radical transparency to capital markets’ operations at a significantly lower total cost of ownership. Used by buy-side organizations, investment banks, insurance companies, central counterparties (CCPs) and other market participants, the platform provides a unified approach to risk management that improves the quality, accuracy and timeliness of data to end-users, and helps expand the capabilities of in-house IT resources.
The 2.0 version of the OpenGamma Platform was released in July 2013 and provides tools for custom stress testing, increased support for listed products and credit derivatives, and the industry’s first pricing model for deliverable swap futures. OpenGamma recently won ‘Best New Product in Risk Management’ in the FOW International Awards and was named as one of the FinTech50 2014 list of companies redefining financial services through technology.
ReMATCH is a post-trade bulk risk mitigation service that identifies and removes basis and calendar risks that accumulate as a result of market making and the management of legacy portfolios in the CDS market. While most of the liquidity in the CDS market is focused around the five-year maturity, trading portfolios build up net open positions with maturities that shorten over time but are significantly more difficult to exit. Rematch addresses the problem of minimal or no exit liquidity at these “off the run” points in a trader’s CDS risk profile, and reduces the market risk created by the buildup of these illiquid positions. Rematch provides a suite of tools allowing customers to achieve highly controlled and focused results. ReMATCH is part of the Post Trade Risk and Information portfolio of businesses of ICAP plc (IAP.L). For more information please go to www.rematchrisk.com.
OpenGamma helps financial services firms evaluate, understand, and manage market risk in an open, transparent manner.
The company’s flagship technology, the OpenGamma Platform, provides real-time, cross-asset risk and trading analytics across customized risk scenarios and industry-standard metrics. OpenGamma also develops tools for optimizing performance in the evolving OTC markets, including multi-CCP margin calculations for OTC derivatives.
Used by both buy-side and sell-side firms, exchanges, CCPs, and other segments of the OTC market, OpenGamma brings a new standard of transparency to the industry, enabling users to gain more insight into their underlying risk exposures, better assess the true costs of trading, and respond more rapidly to the ever-evolving regulatory landscape.
Backed by Accel Partners, FirstMark Capital, ICAP plc and Euclid Opportunities, OpenGamma is headquartered in London with an office in New York. For more information, visit www.opengamma.com.
Candice Adam, Argentus PR
+44 20 7397 2915
Paragon Public Relations