We support the sell side and institutional clients in a broad range of cash and derivative instruments, both in capital markets related projects and product advisory. From valuation, new product approval, quoting, distribution, structuring and auto hedging, documentation to ALM integration and accounting. All combined with market data access, own comprehensive theoretical pricing and distribution capabilities cross asset cross currency, view on markets and deep understanding of processing and regulatory reporting needs.
We assist front to risk to accounting both with hand’s on trainings before going live and initial production issues support.
Here come few snippets illustrating what apps we use for prototyping, demos or when offering support services around capital markets instruments, techniques, systems and workflows. Note that all prices/spreads found on our public webpages are indications for educational purposes only. Price Source: FIS MarketMap, 15 minutes delayed.
The easiest way to talking to us is FIX. We use FIXT1.1/FIX50SP2. Below shown are a Logon & Test sent by us and a received NewOrderSingle.
8=FIXT.1.1|9=88|35=A|34=1|49=IADVISORY|52=20190705-11:34:32.095|56=PENSIONFUND|98=0|108=30|141=Y|1137=9|10=203| 8=FIXT.1.1|9=74|35=1|34=2|49=IADVISORY|52=20190705-11:34:32.095|56=PENSIONFUND|112=133432|10=048| 8=FIXT.1.1|9=172|35=D|49=PENSIONFUND|56=IADVISORY|34=3|52=20190705-11:35:04.739|11=20|21=1|55=HOTGR 1.75 07/03/25 EMTN|48=DE000A2LQ5M4|54=1|60=20190705-11:34:54|38=2000|40=2|44=109.11|59=0|10=191|
For a better human readable form you might parse messages online here
The FIX Protocol (Financial Information eXchange Protocol) is widely used pre-Trade, for inter-systems communications, requesting ISINs from ANNA DSB and also with regulatory reporting. The following is an “X” Message for a bond: Market Data Incremental Refresh – Quoting to an APA – Approved Publication Arrangement. When requesting market data let’s assume from an EDM Golden Source, we could use FIX Message “V” – Market Data Request.
8=FIX5.SP2|9=336|35=X|34=31|49=DEUTBOERSAPA|52=20180502-12:58:04.438|56=IADVISORY|268=3|279=0|269=0|278=100.08|55=NDB 1.125 06/04/18 1680 |48=DE000NLB2GB8 |22=4|460=3|461=DBFUFB |200=20180604 |541=20180604|224=20180604|106=Norddeutsche Landesbank -GZ- |270=100.08|15=EUR|271=1000|272=20180502|275=SIIA|336=1|625=6|282=IADVISORY|283=FFM|284=TECHQUARTIER|10=175|
i Market Data
We use the MarketMap Terminal, which provides market data, news, analysis, calculators and improved decision tools. The terminal offers intuitive ease-of-use and is optimized for rapid navigation between multiple markets, a video tutorial can be found here. MarketMap comes with 4 APIs to feed different operating environments, integrations complexity for users and developers is low. MarketMap is also featuring Symphony integration for quote, chart and news sharing and other widgets, thus ideal for traders who use legacy terminals where messaging is a key requirement and who are looking to reduce their spend on market data.
Below shown are inter- and intramarket spreads, created with a few mouseclicks.
Order Entry / Subscription Boxes / IOI’s & RFQ’s (Mockup for a New Issues Tool in DCM using planner24)
BASF cash or share workshop exercise: Underlying, put, market yield & off market coupon. Calculate retail issue details from your institution’s funding level.
i IOIs & iRFQs
Agence Française Développement – Client’s indication of interest transmitted via FIX protocol IOI
Workshop exercise: Convert the below shown FIX client’s IOI into your customer chat and vice versa.
8=FIX.4.49=14835=649=PENSIONFUND56=IADVISORY34=552=20180917-07:20:48.82623=128=N55=AGFRNC 0.5 10/31/25 EMTN54=127=2500000044=99.7162=20180928-09:00:0010=189
IOI and RFQ: Symphony© messenger bots
Speed up and simplify the process for initiating and resolving customer, sales or syndicate communications by connecting fragmented tools with Symphony IOI and RFQ bots.
i Spreadsheets | BCBS 368
In times of regulation often being a business of its own, cost pressure and at the same time need for easy electronic connectivity to clients (!) and APA’s, one must carefully optimise usage of trading- and core banking systems with light weight technologies. We of course use Excel and Google Sheets, and, with cloud services, also Excel add-ins. The following diagram shows actual IRRBB EUR-scenarios, plotted in Google sheets and sent here to wordpress.
i Quotes to permissioned clients, public pages or the intranet
Data on our client-sites is beeing inserted and updated, satisfying MiFID pre-trade transparency requirements. The following table is real-time pushed from Excel and can be distributed in parallel via Symphony Messenger or Slack; use cases might also be distributing funding spreads to your intranet or publishing quotes for MiFID pre-trade transparency (or to an APA via FIX from the same source).
The below shown quotes are linked real-time from an SQL-Server database, price driver ASW
When pricing certificates/warrants, one must take into account issuer yields on their unsecured funding and CDS spreads. The following credit curve is also queried from our SQL server database, format template only; actual spreads can be found published by DDV
The following is a slightly enriched extract from the ESMA transparency calculations as of May 5, 2018. Here, FIS MarketMap has feeded delayed prices and the Bloomberg Exchange code / OpenFigi mapping.
i FRNs | Margin Indications
FRNs are often more tricky than one might expect. This is not limited to express tradeable ISMA simple- and discount margins B2B & B2C; also vendor feeds containing caps, floors and other features may differ.
Below shown is an example for [de-] composing products and preparing for upcoming new hedge items: A corporate bond ETF in single currency.
i Bonds & i Swaps
The following is an extract from middle office training in 1998 [bond replaced]. We look at calculating bond spreads and their history, tenor- and cross currency swaps; including basis and currency conversion for the off market xccy spread. We then discuss what may lead to a xccy basis away from it’s theoretical price, who’s making the market and what risk reports to address to senior management.
We start with a straight bond, issuer also Volkswagen, swapped into six/three month Euribor and vs EONIA. We then convert this package for clients into USD & JPY 3 month Libor. Below shown is the bond as of 2017-09-01. Note we retrieve historical spreads by adding the historical date to the symbol, both for the security and the underlying swaps curve constituents. Recall the iSpread is a “non tradeable” indication only, what we trade is always an ASW based on full cashflows.
i Data | OpenFigi API Access
Data warehousing has always been a major effort even without latest MiFID, ESMA & BCBS inventions. Based on years of front office experience we may also assist you in efficient record keeping and mappings for trading, accounting and reporting purposes.
Example reference data: European regulators now require ISIN identifiers for new regulatory reporting, a choice, which is an ongoing challenge to the industry. We enrich all reference data with tickers and the OpenFIGI (Financial Instrument Global Identifier) through the OpenFIGI API . FIGI fills in the gap for asset classes that do not normally have a global identifier, including loans and options.
You may from here test the open platform by uploading a .txt with format <ID_ISIN|XS0908570459> (up to 99 ISINs or other identifier). Or copy http://www.bloomberg.iadvisory.trade/bloomberg.php into your browser.
Our blueprint for a global financial markets interface front to accounting stems from music, it is called “MIDI” and it’s connectivity is more or less unchanged since 1982. You can watch MIDI connecting an actual I/O device (“Master / MIDI out”) with a module manufactured in 1989 (“MIDI in”) here.
Comparing data “now and then” is an integral part of any implementation or upgrade project. Since 2006 we use the Excel-based Synkronizer, a powerful and well documented tool.
We clearly are your partner in running and extending businesses, and usually not heading your PMO. Nevertheless we have built our own toolboxes over the years to push your projects and ventures forward. More formally, we favorite PRINCE2®, where we are certified.