Credit Pricer

Applies spreads to benchmarks to price credit bonds and assess risk and relative value.

The Credit Pricer allows a trader to apply a spread off a benchmark and calculate a price with associated analytical values. The benchmark is user-defined and typically is a treasury, future or asset swap spread. The analytical values allow the trader to manage risk and assess relative value against the swap curve or associated CDS curve.

Various reports are available from the system and allow the trader to communicate exposure to Market Risk and send out inventory lists to external clients. There are also user-defined risk reports which bucket exposure across the various asset classes included for hedging.

Broker feeds have been integrated within the system to ensure that the trader has full access to where the bond is quoted outside of the bank.

Traders benefit from having their trade-related info consolidated onto a single screen, and where possible, the system pulls in data from various sources and links the data to facilitate access.

The system uses real-time data from Bloomberg and takes in bespoke feeds from in-house systems.

The system is also used for publishing real-time prices to the Bloomberg ALLQ platform.

Finally, the Technology behind the system allows cost-effective deployment and the operational side requires minimum support.