Leading the way: the Neutral Pricing System

Our FRN prices are real market data, because they originate from actual floater turnovers in the trading departments and are therefore in line with the market at all times – even in phases of high volatility. The data subscriptions are even suitable for the assessment of illiquid papers.

Compare our prices with any other securities database: while the prices of our competitors sometimes remain unchanged for days, the fluctuations of the Neutral Pricing System reflect the true market volatility and make it a reliable foundation for the valuation of your securities portfolio. Furthermore, you continue to profit from comprehensive analysis and filtering possibilities, for example by credit spreads or remaining bond maturities.

• Assessment of securities and/or credit portfolios
• Use as a benchmark, whether in trading or risk controlling activities
• Detailed analysis of bond credit spreads or entire securities portfolios
• Supplement your existing securities database with premium floater data
• Can be implemented in all risk systems, with no need of a Bloomberg or Reuters terminal

The FRN Index Database is worldwide the only offer of its kind for the segment of floating rate notes. The FRN Main Credit Indices are part of the Basic Subscription. Provided since 2003, they have since grown from 6 to 14 index categories. They offer a basic market overview of the most important FRN segments, such as Pfandbriefe or International Financials in the Single A Segment. As of 10/09, the Financial Single A Index incorporates 355 securities with an accumulated issuing volume of 296.1 billion Euro.

The FRN Individual Indices, which are part of the Premium Subscription, enable an even more detailed evaluation of your Floater portfolios. The Floater Indices provide a wide market overview, and a deeper analysis of your portfolio in comparison to the entire market. Approx. 240 branches and country categories, including the corresponding maturity bands 0-3 years, 3-6 years and 6-10 years, offer detailed analysis possibilities.

The liquidity ratios are covered in the Basic as well as in the Premium Subscription. They are well suited for the valuation of secondary market liquidity.

• Analyze the development of credit spreads in investment portfolios
• Use as credit and risk indices
• Consultation by the implementation of FRN sampling points on an index level in internal market risk systems and models
• Analysis of the liquidity risks of bonds with the help of liquidity ratios

Our master and market data can be implemented in any given risk management model and risk system. Below you find several exemplary applications for your market risk and credit risk analysis:

Real floater market data from trading activities and the FRN Credit Indices for the implementation in your individual risk management strategy:

• Market data management and quality control processes using historical data and time series in tabular and visual form
• Implementation and control of market risk models and processes
• Validation of the market risk through high quality pricing for the daily mark-to-market conform back-testing and/or for determination of the amount of regulatory equity capital
• Internal and external risk reporting of the market risk and the profit & loss statement
• FRN prices for monitoring whether prices are in accordance with the prevailing market rates
• Assessment of securities portfolios for liquid and illiquid bonds
• Asset-liabilities-management in real-time for credit portfolios
• Detailed momentum and trend analysis in the scope of 240 FRN Individual Index categories
• Current and historical calculation of the value at risk figures and Monte Carlo simulations
• Prices for floating rate notes for the use within stress-test scenarios in banks
• Supplementation of your MiFID architecture
• Credit Risk Management using finance mathematical valuation models either on an index level or based on single bonds used as sampling points
• Specific secondary market analysis by branches or countries
• Correlation analysis of individual bonds among each other as well as against the complete portfolio using the FRN Credit Indices
• Risk controlling and supervision of trading desks
• Simple implementation in internal credit risk and risk management systems, for example via Excel or FTP
• For use as an independent risk management solution, with no need of your own trading system such as Bloomberg or Reuters