“In response to the rising liquidity demand of corporate and sovereign bonds and increased attention from market participants—specifically algorithm and program traders and regulators around the world—the launch of
Examples of possible applications of
- Liquidity risk management / regulatory compliance: Used as a tool to help meet certain regulatory requirements (e.g.,
SEC rule 22e-4) and can accommodate the prudent valuation standards of theEuropean Banking Authority (EBA) which call for calculating exit prices of portfolio positions assuming a fixed liquidation horizon - Liquidity scoring for individual bonds:
FI ACE provides a supplementary liquidity score for each bond to help facilitate the liquidity comparison across bonds - Cost-aware portfolio construction:
FI ACE estimates can add the much needed liquidity component to a set of portfolio characteristics. Security-specific market impact estimates can be utilized in portfolio rebalancing decisions - Provide analytics to support program trading:
FI ACE can be used to facilitate the decision making around agency and principal trades executed by program desk traders. In agency trades, a program trading desk possessing only generic knowledge about the basket can useFI ACE to determine a fair price of the basket accounting for market impact and volatility exposure - Benchmark trading performance in TCA:
FI ACE can be used as a handicap measure to analyze the client’s execution performance at trade or parent order level.
About
Virtu is a leading provider of financial services and products that leverages cutting-edge technology to deliver liquidity to the global markets and innovative, transparent trading solutions to its clients. Leveraging its global market making expertise and infrastructure, Virtu provides a robust product suite including offerings in execution, liquidity sourcing, analytics and broker-neutral, multi-dealer platforms in workflow technology. Virtu’s product offerings allow clients to trade on hundreds of venues across 50+ countries and in multiple asset classes, including global equities, ETFs, foreign exchange, futures, fixed income and myriad other commodities. In addition, Virtu’s integrated, multi-asset analytics platform provides a range of pre and post-trade services, data products and compliance tools that clients rely upon to invest, trade and manage risk across global markets.
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