kACE Treasury Rates
kACE Treasury Rates - Enhancing accuracy for interest rates
kACE Treasury Rates provides high quality data aggregation, pricing and publishing for interest rates.
Data aggregation and cleansing
Our advanced aggregation solution collects and cleanses data from a wide range of sources.
- Up to 15+ separate proprietary sources per currency or asset can be aggregated
- Aggregation supplied per tenor or per source basis
- Various aggregation algorithms are available to meet an institution’s requirements
- Sophisticated aggregation routines prevent use of outliers in inbound data
- Live dealing prices can be used as reference or override
- Individual sources can be weighted.
- Sources can be supplied from multiple data vendors
kACE Treasury Rates’ pricing engine is backed with a sound theoretical foundation and delivers prices in line with current market best practice. The dynamic architecture allows prices and calculations to quickly adapt to external events and changing data.
Backpressure and conflation are both handled automatically, so no computing power is wasted. This allows the pricing engine to always operate at optimal performance levels.
- Interest rate curves, for 1m, 3m, 6m and 12m periods using fixings, volume weighted mid futures and a variety of live interest rate instruments as appropriate.
- Futures prices are calculated from bid/ask prices weighted (if desired) by size interest and adjusted for futures convexity in real time.
- Interest instruments used include forward rate agreements (FRAs), interest rate swaps (IRSs) either live or spread over government bonds/futures with predictive cut/hike methodology.
- Where applicable, discounting is through overnight index swap (OIS) curves.
- Stepped OIS curves, built from Fed Fund futures (or other currency equivalent) or alternatively from Central Bank meeting to meeting dates market data.
- OIS, calendar, broken and fwd starting dates. Calculated spread to 3m calendar and International Monetary Market (IMM)
- IRSs, vs 1s, 3s, 6s, 12s. Calendar, broken and fwd starting dates. Also, spread and butterfly calculators for price and duration amounts. IMM dated IRSs. Fwd fwd and spread grids
- FRAs, 1m, 3m, 6m and 12m FRAs, calendar strips, broken date runs. IMM dated FRAs
- IR basis swaps, 3s OIS, 3s1s, 3s6s, 3s12s, 6s12s. Calendar runs, broken and fwd fwd dates, spreads and butterflies
- Calculate IRS prices as spread over government bonds/futures. Asset swap calculator. Dollar duration (DV01)/risk analysis profile. Bond hedges.
- CSA pricing for cross currency basis swaps and interest rate swaps
- Non-standard pricing for amortising, accreting and roller coaster swaps
- 30+ currencies covered
Distribution and publishing
Our data publishing module distributes prices and calculations to a wide variety of destinations. This is particularly beneficial for clients with both internal and customer facing eCommerce platforms.
Control and safety are essential parts of our solution. If any price made breaks a pre set rule, it will be automatically withdrawn from the market and the eCommerce platform will revert to displaying no price for that product.
Key features include:
- An integrated, easy to use publishing dashboard
- Full support of multiple publishing targets
- Global/regional/local spread management
- Ability to skew and spread individual targets as groups or individual tenors
- Option to publish curve to middle office systems
- Full validation and flexible throttling of outgoing data to ensure downstream systems are not flooded