FMFinancial. GTR Analytics. Traded Prices From Around The World. Financial Models and Solutions. Machineries

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1 GTR Analytics Traded Prices From Around The World Powered by Financial Machineries Financial Models and Solutions

2 OTC Regulation Regulation International and national regulation have introduced the obligation to register all OTC transaction in authorised Trade Repositories (TR) In US, Dodd Frank Act forces US banks to register in TR new trades dealt after January 2013 on In Europe, EMIR regulation obligates European banks to register trades dealt after February 2014 Data Available TR are a huge source of information Data refer to real trades: they are not consensus prices (as those provided by mark-to-market services) or tradable prices (as those shown on brokerage houses screens) Not only interbank standard trades are registered. More information on exotic products Use within Financial Institutions Market monitoring of OTC derivatives trades, also those not dealt through brokers Check of revaluation parameters with data based on real trades, adding robustness to consensus data (e.g.: brokers pages, Markit, etc.) TR data are the building blocks for prudential valuation adjustments to deals revaluation 2

3 GTR Analytics What GTRA does Collects trades data from TR from all around the world and for all types of contracts Cleans up the database of the TRs of manifest inconsistencies and errors Aggregates according to asset classes and deal types Creates a new DB easily accessible Tools to Analyse Data Historical Search: extraction of time series from the DB, filtered according to several criteria, to graphs and.csv files Market Monitoring: predefined and custom pages show prices of deals in real time, as they are registered in the TR, in a well arranged and effective fashion Market Assessment: analysis on volumes of live deals, distributions per expiries, etc. Tools to Create Reports On demand reports on trades, organised by type of deals and execution time Reports on predefined or custom enquiries for last trades, produced and sent via at scheduled times (daily, weekly, etc.) Utilities to create, save and load workspaces and DB enquiries 3

4 Database Clean-Up Action Contract Type Indeces Price and DC coventions The GTRA live DB contains only live deals All NEW deals are added to the DB CANCEL action for a deal implies the cancelling of the deal from the live DB CORRECT action amends an existing deal A CANCEL-CORRECT action cancels a live deal and replaces it with a new contract with one or more amended contract terms TR DB contains all all types of actions Contracts are grouped (per asset classes) in categories of products and types of contracts (e.g.: Swap Fixed vs Floating) In the TR DB deals are often not correctly categorised (e.g. OIS swaps or XCCY can be defined as Fixed vs Floating) Standard dates are introduced (e.g.: 3Mx6M for FRAs, 10Y for swaps, etc.) The enquiries on the TR DB can be inconsistent and inaccurate TR do not make any check on the entries of the DB fields A huge number of values fill the Index field and this make very difficult to properly enquiry the DB The Index field often reports also information on the payment frequency and on the spread GTRA DB gathers all the indeces in a smaller number Frequency and spreads are entered in the proper fields Deal prices are input in TR DB without any check Swap rates, option premiums and strikes can be input as numbers, percentage, or basis points (e.g.: 5% fixed rates can input as 0.05, 5 or 500) GTRA DB adjusts prices so that all fields show percentage value (e.g.: 5% strike is always 5) Day Count conventions are categorised in a predefined set of values 4

5 Market Monitor Choose a type of contract, e.g.: Rates and FRAs Choose Market Monitor Select a screen, e.g.: Predefined Select a currency, e.g.: USD 5

6 Market Monitor Select an index, e.g.: LIBOR Choose the index frequency e.g.: 3M A window with prices pops up 6 Filters for IMM dates and Mkt Standard available

7 Historical Analysis Choose a type of contract, e.g.: Rates and Swaps Choose the type of swap: Fix-to-Floating Select Historical Analysis 7 Fill the fields: Create Graph. CSV export available

8 Market Assessment Choose a type of contract, e.g.: Rates and FRAs Select Market Assessment Select a screen, e.g.: Predefined Select a currency, e.g.: USD 8

9 Market Assessment Select an index, e.g.: LIBOR Choose the index frequency e.g.: 3M A window with volumes vs expiry dates pops up 9

10 Reporting Center Select a predefined or custom screen to insert in the report, e.g.: Swap OIS- USD>2Y Set the frequency and the time for the production of the report, e.g.: Weekly at The report will be sent to the user s on scheduled time Reports can be saved, edited, viewed on demand: in this case a.csv file is immediately produced 10

11 Financial Machineries is a company created by market practitioners, financial quants and programmers with valuable experience achieved in dealing rooms and in the technology departments of financial institutions. Financial Machineries offers a unique blend of skills and expertise in the understanding of financial markets, in the pricing of complex financial instruments and in the best technology to use in the financial industry. The company s structure is very flexible and grants a fully bespoke service to its Clients. Financial Machineries believes in the ability to develop new quantitative finance approaches through research and to apply them in practice within the most effective technology frameworks. This is critical to the high quality and performance standards required in the modern financial industry. For this reason, Financial Machineries constantly strives to find new solutions striking a balance between rigour and efficiency. To know more, please contact us at info@financial-machineries.com. Financial Machineries Financial Models and Solutions