Steps Ahead

NEXT GENERATION PERFORMANCE ANALYTICS FOR CAPITAL MARKETS

RATES

CASH

  • Issuer: G10 Government, Supra or Agency and denominated in G10 currency
  • Currency: G10 = USD, CAD, EUR, GBP, SEK, DKK, NOK, JPY, AUD, NZD)
  • Type: Bullet bonds, linkers, FRNs, strips, bills, notes, zero coupon bonds, Multi-leg (bond vs. bond)
  • Out-of-scope: Mortgages, anything backed by a pool, agency TBAs, callables

DERIVATIVES

  • Currency: G10 (USD, CAD, EUR, GBP, SEK, DKK, NOK, JPY, AUD, NZD)
  • Type: Linear product only – Vanilla Swaps, IMM Swaps, OIS Swaps vs FF, Forward Starting, MACs, Multilegs (swap vs. swap, swap vs. futures, swap vs. bond, bond vs. future, Agency spreads)
  • Out-of scope: Non-linear product, Amortizing Swaps, Fees

CREDIT

CASH

  • Issuer: Investment Grade, High Yield, Supra, Agencies, Sovs
  • Currency: G10 = USD, CAD, EUR, GBP, SEK, DKK, NOK, JPY, AUD, NZD
  • Type: Bullet, FRNs, zero coupon, callables (AT1)
  • Out-of-scope: Defaulted bonds, junk bonds (CCC rated and below)

DERIVATIVES

  • Type: Index CDX Itraxx (Europe, HiVol, Xover, Japan, Asia (ex-Japan)*, Australia* , Single name CDS, (*Possible future release based on client demand CDX (IG, HiVol, HY, EM))
  • Out-of-scope: CDOs, iBOX, TRS, EFTs

FX

CASH

  • Currency:
    • G10 = USD, CAD, EUR, GBP, SEK, DKK, NOK, JPY, AUD, NZD
    • EM CEEMEA = CZK, HUF, ISK, ILS, KZT, PLN, ROM, RUB, RSD,ZAR, TRY, UAH, AZN, BGN, TND, MAD, QAR, SAR, KWD, OMR, BHD, AED, AOA, BWP, EGP, GHS, KES, NGN, UGX, ZMW
    • EM LATAM = ARS, BRL, CLP, COP, MXN, PEN, UYU EM APAC = CNH, CNY, HKD, INR, IDR, MYR, PHP, SGD, KRW, TWD, THB, VND
  • Precious Metals = XAU, XAG, XPT, XPD
  • Type: Spot

DERIVATIVES

  • Currency:
    • G10 = USD, CAD, EUR, GBP, SEK, DKK, NOK, JPY, AUD, NZD
    • EM CEEMEA = CZK, HUF, ISK, ILS, KZT, PLN, ROM, RUB, RSD, ZAR, TRY, UAH, AZN, BGN, TND, MAD, QAR, SAR,KWD, OMR, BHD, AED, AOA, BWP, EGP, GHS, KES, NGN, UGX, ZMW
    • EM LATAM = ARS, BRL, CLP, COP, MXN, PEN, UYU
    • EM APAC = CNH, CNY, HKD, INR, IDR, MYR, PHP, SGD, KRW, TWD, THB, VND
  • Precious Metals: XAU, XAG, XPT, XPD
  • Type: Forwards, NDFs, Swaps, Options

EMERGING MARKETS

CASH

  • Issuer: Sovereign Governments and Supra/Agency in Local Currency
    • EM LATAM = MX, CL, PE, BR, AR, CR, CO, DO, PE, UY, VE
    • EM CEEMEA = PL, HU, CZ, RO, ZA, RU, TR, IL, LT, LV, CY, EE, EG, GH, IS, KE, KZ, NG, RS, SI, SK, UA, VN, ZM
    • EM EMASIA = IN,SG,ID,MY, TH,KR,TW,CN,LK,PH
    • EM CEEMEA EURO EMERGING = LT, LV, CY, EE
  • Currency: Local Currency or G10
  • Type: Bullet bonds, linkers, FRNs, strips, bills, notes, zero coupon bonds, Multi-leg (bond vs. bond)
  • Out-of-scope: EM Corporates

DERIVATIVES

  • Currency: Local EM Currency
  • Type: Linear product only – Vanilla Swaps, IMM Swaps, OIS Swaps vs FF, Forward Starting, MACs, Multilegs (swap vs. swap)
  • Out-of-scope: Non-linear product, Amortizing Swaps, Fees

MONEY MARKETS

CASH

  • CP, CD, Repo & Sec Lending, T-Bills, Short-end Agencies

DERIVATIVES

  • Short Term IRS, Cross CCY Swaps

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