Building a CDS on an ABS System from Scratch in Record Time:

Back in June of 2005, ISDA published it's CDS on ABS template permitting the trading in Synthetic ABS to become standardized. At that time there was practically no market at all for CDS on ABS.

One of our clients (a major Wall Street Broker/Dealer) had recently hired a new head trader for its ABS and Synthetic ABS business and was scheduled to start working on August 1st.

THETICA was hired to develop a CDS on an ABS system within two months.

We met that target and the new head trader was able to start trading CDS on ABS immediately.

Our IT Team Came to be Known as "The Best IT Team in the Bank for Agility and Results":

At that same client (a major Wall Street Broker/Dealer), over time, we expanded the system to permit all of the standard set of functionality expected of a front office trading system for CDS on ABS including:

* Trade Entry (including Single Name CDS on ABS and CMBS; ABX, CMBX)
* Assignments (Novations)
* Terminations
* Cancel/Correct
* Sales Matching
* Remote Office Trade Entry
* Daily Mid Marking
* Setting of CPR/CDR and Recovery rates
* Daily Valuation of all CDS positions integrating a quantitative model with the Intex API for the creation of cash flows and valuing the positions.
* Daily and Historical P&L
* Handling of multiple desks
* Priority if marking (with the dealing desk's marking taking precedence over other desks)
* Support for an ever-growing group of trading desks trading in this product.
* A wide variety of daily feeds to down stream systems including operations, FSA reporting feeds, sales credit system, Polypath integration, Counterparty Credit system, Issuer Risk system, etc.
* We also expanded our interactions to build the best system available anywhere for the handling and creation of "credit events" related to CDS on ABS. This entailed working with ISDA committees, legal and operations teams within the bank. The system automatically created Interest Shortfall and Principal Writedown Notifications as well as related reimbursements.

In short, this was a world class system that permitted the bank to be one of the top dealers in the CDS on ABS market. The system was built to be highly flexible and permitted client IT teams to continue to support and enhance it on an on-going basis after the assignment was completed.

Our IT team came to be known as the "the Best IT Team in the Bank for Agility and Results".

Using ABS Data Vendors in the Correct Way - 20x Savings:

At a major Wall Street bank, we were called on to take a look at how the bank was retrieving data from Bloomberg for its universe of ABS bond. The client was requesting over 40,000+ ABS bonds per month using a technology known by Bloomberg as the "Per Security Request Method".

What the bank didn't realize at that time is that this method of retrieving data cost $2 per bond, per month! At $80,000 per month, over the course of 1 year, this approach would have cost the bank $960,000!

They had been running that process for 4 months, and had already spent 320,000 without realizing it, because the data vendor's costs were being spread out all over the firm into different departments, and therefore no "red flags" had been raised.

By rapidly evaluating that situation and also seeing that there was no strong reason to request the data for that many bonds in that manner, THETICA was able to cut down on the number of bonds being requested to approx 2,000 per month.

This literally decreased the cost down to $4,000 per month, $48,000 per year.

A savings of $912,000 over the course of a single year. A 20x savings.