Fixed income

Robust Solutions for Fixed Income Activities

The fixed income market has reached unprecedented levels of diversification and complexity. In order to make the best trading and investment decisions, market participants need a technology platform with a wide range of features and functionality.

Managing fixed income products requires large volumes of high quality information on issuers, bonds, interest rates and credit. Real-time data import for yield curves is key. The diversity of the fixed income market worldwide also requires the management of all types of specific local conventions.

Along with traditional markets, emerging markets in the fixed income area have risen strongly over the last few years and most financial institutions have diversified their activity on these markets with higher risk and potential returns. Investing in the global fixed income market means being able to manage all types of local particularities, such as complex conventions (day count conventions, spread conventions and inflation rules conventions). Having the right pricing and risk management tools in place is therefore crucial.

Our expertise

Sophis' expertise in cross asset product valuation, risk management and processing allows financial institutions to benefit from a robust solution that addresses all types of fixed income activities: money markets, corporate and government bonds but also on structured and guaranteed capital products; and high yield bond markets.

• Front-to-back straight through processing capabilities allowing users to seamlessly support the deal lifecycle from pre-trade pricing to settlement
• Comprehensive instrument coverage
• Large range of global market conventions, including emerging markets (Asia, Middle East, Latin America, South Africa)
• In-house valuation models using yield curves or with credit / inflation data
• Real-time position keeping and risk management with calculated indicators such as IR delta, duration, credit sensitivity, stress tests, VaR
• Ability to integrate new conventions of specific fixed income markets on client request quickly
• Clients can also develop their own model and computation rules according to the emerging markets they are interested in
• Automatic processing of coupon payments, cash flows, exercises and nominal amortising
• Generation of standard fixed income reports such as average rate of portfolios, average rate per time bucket and corresponding market rate
• Up and running connectivity with data provider sources to load static and market data

Product Coverage

• Bonds (fixed, floating, fixed to float, sinkable, callable)
• Repos
• Bond options
• IR swaps
• Asset swaps
• TRS
• Basis swaps
• Inflation–linked bonds
• Inflation derivatives
• Structured products and hybrids

Find out about our solutions and technology

Learn more about our customisation capabilities

Read our quantitative team publications