TFS' US weather derivatives division completed the auction on behalf of a client who, the brokerage said, was looking to offset its risk, and gave no further details.
TFS says that offers were solicited for cumulative average temperature calls in Rome for the May–September 2008 time period. The auction had a total of $40 million in notional risk placed, and TFS says it was oversubscribed in terms of the capacity that was available in the market.
The Dutch Auction format sees the auctioneer be
The week on Risk.net, December 2–8, 2017Receive this by email