SSPA launches structured products risk figure
Beginning on July 1, SSPA’s risk figures and ratings for structured products traded in Switzerland will be available to market participants on the Association’s website. The valueat-risk-based risk figure is re-calculated daily at stock market closing.
Zurich, June 30, 2009. Value At Risk*, or VaR, is the financial industry’s most widely used means of estimating an investment’s market risk. To raise the transparency of structured products listed in Switzerland, SSPA is as of July 1 launching a new system of value-at-risk-based risk figures, recalculated each day after the market’s close. Risk figures and the according SSPA risk ratings will be available before the following day’s stock market opening on SSPA’s website, www.svspverband.ch/riskrating_en. The results are also accessible to data vendors, banks, portals and other market participants via SIX Exfeed as part of the Swiss Market Feed (SMF). The underlying risk figure data are supplied by Derivative Partners Research, with Riskmetrics Group calculating the VaR. Six structured product risk rating categories To raise transparency for investors and other market participants, all structured products stocklisted in Switzerland are as of now assigned one of six risk rating categories, reaching from 1 (low) to 6 (very high). According to SSPA President Roger Studer, “The Association aims to establish the SSPA risk rating system as the standard for investors assessing risk associated with structured products.” A new SSPA risk commission consisting of experts from the structured products and risk management fields under the chairmanship of SSPA Vice-President Prof. Dr. Paolo Vanini scrutinize dynamic risk rating thresholds and adjust intervals periodically. According to Professor Vanini, “The checks ensure that structured product risk ratings are in appropriate correlation”. In the weeks following July 1, SSPA’s risk rating will also be accessible on the websites of companies such as ABN Amro, Bank Vontobel, Clariden Leu, Deutsche Bank, EFG, payoff.ch, scoach.ch, stocks.ch, UBS and WM Datenservice. Other companies will follow.
Passive member Scoach Switzerland Ltd to broaden SSPA base When SSPA was founded in 2006, membership was limited to issuers. Now non-issuers may join as passive members, first among them derivatives exchange Scoach Switzerland Ltd. According to SSPA Executive Director Eric Wasescha, “Extending SSPA membership criteria helps broaden the dissemination of structured product information in Switzerland.” Active SSPA membership remains the province of structured product issuers.Download PDF