Aurora Software, a provider of trading solutions for the fixed income community, has purchased rights to the Analytics Library of defunct JP Morgan derivatives spin-off Cygnifi.
Cygnifi filed for Chapter 11 bankruptcy protection on 4 October, 2001, after it failed to raise additional capital from strategic investors or venture capital firms. Cygnifi has been auctioning off its assets to other Wall Street trading firms and vendors.
The Cygnifi analytics are based on the JP Morgan Analytics Library, an application that took several years and millions of dollars to develop. The price paid by Aurora has not been disclosed.
The library acts as a fundamental building block for the valuation and risk management of fixed-income derivative products, and hs been integrated into Aurora's OTC options trading system - which is a part of the WinFITS platform. The options trading module offers a range of pricing management features for treasury, agency, futures and mortgage options portfolios. The Cygnifi analytics will be used to support additional swap related derivatives.
Neil Arora, CEO of Aurora Software, comments: "With Cygnifi's analytics library, we are able to offer our clients a very robust analytical and risk management trading environment."