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A path to fixed income market success

Alexandre Hardouin
Alexandre Hardouin
Director, Fixed Income Desktop, London Stock Exchange Group
Douglas Munn
Douglas Munn
Head of Enterprise Real-Time Feed Propositions, Refinitiv

The quality of fixed income market data now makes it easier and more efficient to analyze risk. But as this also brings to light new complexities, how can traders pick the right tools to support their post-trade workflows and achieve robust portfolio analysis?

  1. With regulatory insight and intelligent workflow tools, it is possible to better manage compliance and mitigate fixed income market risk.
  2. MARVAL is a comprehensive suite of pricing and risk tools powered by Refinitiv’s award-winning pricing libraries and fixed income market data.
  3. Post-trade process sophistication reduces inefficiencies and the length of the settlement cycle, giving traders confidence in fixed income market transactions.

Today’s fixed income markets are heavily focused on accurate quantification, mitigation and reporting of credit default risk. This poses significant challenges for all participants, whether rates sales and structuring desks, corporate treasuries, auditors or risk consultancies.

While they all face the same environment, each has their own unique challenges. For example, on the buy-side, corporate treasuries don’t usually have large quant teams to run their valuations and neither do they measure and manage Counterparty Valuation Analysis (CVA).

Yet, they must still comply with International Financial Reporting Standard 9 (IFRS 9). Large sell-side banks, on the other hand, created CVA desks to better manage risk, which are reinforced by their quant teams. However, both buy-side and sell-side analysts can benefit from a powerful solution that can help value their portfolios and understand key risks.

Whether you’re trying to address the Basel III capital charge, calculate the CVA on a large portfolio, or comply with IFRS 9 requirements, an intelligent solution is key.

With traditional portfolio management systems, outcomes are calculated using return distribution systems, simplifying conclusions. An integrated intelligent trading system gives traders a more sophisticated and comprehensive assessment of value and risk.

In this landscape, one-size does not fit all. But there is one place to go to store, analyze and monitor your fixed income portfolio.

Douglas Munn Quote

Trusted data sources

Different customers will have different needs. Whether it’s through humans or machines, the way data is consumed varies. You may need a trading application for your human traders to perform analyses or a data platform for your machines to read and manage. No matter what your needs are, we have a solution.

With Refinitiv Eikon, you can access a range of trusted data sources with multi-asset content as well as powerful tools to help you pick out fixed income market insights, visualize data and find alpha.

In addition, Eikon’s machine learning processing, intelligent search and built-in charts and visuals can take you from insight to action faster and do so more easily.

Eikon also offers one multi-asset risk and valuation system, known as MARVAL. It is a comprehensive suite of pricing and risk tools powered by Refinitiv’s award-winning pricing libraries and market data.

MARVAL’s asset class coverage encompasses a broad spectrum of financial instruments, including cash products, exchange-traded, over-the-counter derivatives, and structured products.

MARVAL is fully integrated with Refinitiv Eikon single security calculators, offering an integrated, easy-to-use, end-to-end workflow.

These include Swap Pricer for interest rate derivatives, Bond Calculator for fixed rate bonds, FRNS, ILBs, convertibles, FX option calculator for FX derivatives and swap point, and outrights for cash FX instruments.

Your fixed income portfolio with Refinitiv

The Refinitiv Eikon MARVAL App is our portfolio analytics application with multiple capabilities, so you can:

  • Create, share and manage portfolios of interest rate derivatives, cash bonds, bond features, repo, interbank lending, FX swaps, forwards, options and outrights.
  • Calculate the portfolio mark-to-market using real-time data, end-of-day or conduct valuations for an historical date with risk measures and greeks on your entire portfolio.
  • Make calculations based on transparent and observable market-leading data inputs, including from advanced multi-curve framework, basis free zero curves bootstrapped from Tradeweb swap data, MarketAxess & Tradeweb bond prices, Refinitiv’s FX data, and Markit CDS.
  • Organize positions by portfolio, underlying instrument, asset class, currency, counterparties or rating.
  • Support multi-currency exposures as well as allow specification of the functional or base currency.
  • Conduct scenario analysis on the portfolio.

While interbank trading in vanilla interest rate and FX derivatives has migrated towards clearing, trading between banks and corporate, sovereigns, and pension funds remains mostly bilateral.

MARVAL gives you the ability to quantify expected counterparty losses with portfolio CVA, DVA, and PFE calculations based on our powerful American Monte Carlo Engine.

Eikon from Refinitiv

Post-trade value

Refinitiv offers a portfolio-centered, cross-asset pricing and valuation system that delivers unrivaled price and value discovery, advanced analytics, multi-asset CVA, mark-to-market P&L and risk reporting.

Our open collaboration capabilities based on award-winning market data are not only available on Eikon.

Refinitiv’s Elektron Data Platform also provides powerful analytics solutions and access to a wide range of real-time, reference, end-of-day, time series and alternative data that is cleaned, tagged and standardized so you can easily spot the linkages, relationships and connections.

This capability is important when trading and taking into account counterparty risk.

For example, if parties face a dispute on a deal, using the same tool can help them reach a better price agreement easier and faster.

With regulatory insight and intelligent workflow tools, you can better manage compliance and mitigate risk. This post-trade process sophistication will reduce inefficiencies and the length of the settlement cycle, giving you confidence in your transaction.

Contact a Refinitiv fixed income specialist today to find out more.