The Fixed Income module is a comprehensive trading and risk management system for fixed-income securities and derivatives. Fixed Income extensive coverage of emerging markets debt makes it an ideal system for trading operations in emerging market debt instruments as well as G7 Treasuries, corporate bonds and exchange-traded futures and options.
FOCUS^SQL Instrument Definition features allow the users to define any fixed-income instrument directly into the system, including collateral, rolling interest, amortization and uneven coupon periods bond features. Fixed Income module also offers a sophisticated repo calculator built directly into the Deal Input screen. Advanced repo functionality maintains user-definable collateral portfolios as well as repo margin calls. The module allows for the consolidation and analysis of multi-portfolio, multi-trader and multi-currency portfolios of fixed-income and money market instruments.

• Treasuries
• Corporate debt
• Emerging markets debt
• Eurobonds
• Brady bonds
• "When-issued" bonds
• Repos and reverse repos
• Commercial paper
• Yankees
• Futures on bonds
• Futures on deposits
• Options on interest rate futures

• Supports all major accrual/day count bases
• Coupons types are fixed, floating, step-up, mixed, long/short
• Amortization and capitalization
• Supports ex-dividend date
• Forward pricing based on repo curves
• Hedge calculator calculates hedge equivalents to offset interest rate risk
• Sensitivity analysis, stress testing
• Yield to maturity calculator
• Stripped yield to maturity
• Duration, convexity, DV01/PVBP reporting
• Real-time quote feeds provide intraday mark-to-market and P&L
• Yield curve shift analysis, including non-parallel
• Repo and forward bond calculator
• Options pricing sheets
• Partial position close-outs
• Future cash flow and liquidity reporting
• Realized and unrealized P&L on-the-fly reporting using FIFO/LIFO/WA
• Duration bucket reporting
• Asset/liability buckets
• Supports amortizing and capitalizing debt
• Liquidity buckets
• Back-office operations - payments manager, netting, S.W.I.F.T. compatible files
• Sophisticated and flexible reporting - realized, unrealized and historical P&L, mark-to-market, position, risk, credit as well as any custom reporting needs

Risk Scenario Manager - allows the user to set up risk scenarios to view just about any result (P&L value or Greek) of the entire or sub-selected portfolio, by varying spot, volatility or time horizon across two axes. Charts and individual figures breakdown is supported.

Positions Calculator - allows the user to quickly change market parameters to recalculate P&L and market values of the entire or sub-selected portfolio. This information can be viewed at trade level detail, allowing intraday viewing and daily exposure of the selected portfolio to various changes in the markets.

Value at Risk Reporting - daily, monthly and regulatory Value-at-Risk calculations using RiskMetrics variance/correlation datasets and Monte-Carlo simulation methods.

Risk Management Reports - like gap report, liquidity report, topography report, maturity ladder, P&L decomposition, risk of leverage, limits reports and so on.

Yield Curve Shift Analysis - permits users to analyze risk due to yield curve shifts and twists.

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