Relative Value

Serving Relative Value and Macro Hedge Funds involved in intra-day spreading, we provide a 24/6 service for execution of listed futures and on-the-run U.S. Treasuries, focused on Fixed Income synthetic spreads.

Our Relative Value desk employs low latency and high frequency infrastructure with an open-ended approach. This allows real-time enhancements and behavioural changes to suit ever-changing market conditions, providing faster execution and better prices on synthetic spreads with less legging risk.

Support and advice around the clock

We’ve assembled a talented global team with multiple years of sales and trading experience and skills in algo design. Our desk supports clients with:

• 24/6 service for synthetic spread execution
• Co-located servers allowing the Relative Value execution platform/s to run via ultra-fast network connectivity between Chicago, New York, London and Frankfurt
• System benchmarked for 500,000 lot execution per order
• Intelligent cash aggregation for maximising liquidity and finding best price
• Strategies, working orders and live quotes available through web interface (coming soon) and Bloomberg chats

Integration with your back office system

We can deliver trade confirmations and risk positions directly into client back office systems. Our goal is to provide a fast, seamless, error-free solution for trade allocations through:

• Straight Through Processing (STP) via FIX for trade allocations and risk drops
• FTP drop copy files for further position and trade management
• N-trade split allocations to support multiple clearing houses and multiple customer end accounts
• Custom Excel & email templates for back office systems to quickly load trade delivery
• Overnight Order reconciliation trade blotters for each trader after session close
• Automated trade matching for clearing clients

Build your own strategy

Our Relative Value desk allows clients to build their own custom strategies with any supported listed security and trade it like an index.

Typical strategies include:

• Benchmark UST Basis and Flies
• TEDs – Bond Futures / Cash Bonds vs STIR Strips
❖ Allows you to mimic swaps/swap spreads e.g. CT3/FV and Curve with ED strip tradable as a package
• TED Boxes – Cross Currency and Curve
• Eurex and CBOT Bond Futures Curves and Flies
• STIR Flies in Standard, PCA, Regression or other weights
• Cross Currency Cross Asset Spreads on Duration and Currency Neutral Structures
❖ For example: TY vs RX, Eminisvs GT10 etc
• Calendar Rolls (Risk/Curve Adjusted)

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