BGC MARKET DATA GLOBAL PRODUCT INVENTORY

Transcription

1 BGC MARKET DATA GLOBAL PRODUCT INVENTORY BGC MARKET DATA // GLOBAL PRODUCT INVENTORY

2 BGC Market Data is one of the world s leading specialist providers of real-time, tradeable, indicative, end-of-day, and historical OTC market data. Sourced directly from BGC Partner s global broking operations, including the electronic broking, global pricing systems and analytics to provide external distribution of specialized, independent and verifiable OTC pricing services. Our product suite spans Fixed Income, Interest Rate Derivatives, Credit Derivatives, Foreign Exchange and Options, Money Markets, as well as Structured products. BGC Market Data is made available externally via direct low latency data feeds, as well as via major vendors such as; Bloomberg, Thomson Reuters and specialist vendors. BGC Market Data service offerings are also packaged by way of categorized specialised services and client determined bespoke distribution of enterprise-wide licensing solutions. CONTENTS ASSET CLASS PAGE Fixed Income 3 Interest Rate Swaps 3-4 Short Term Interest Rate Swaps (STIRS) 4-5 Non Deliverable Swaps 5 Interest Rate Options // Core Market 5 Interest Rate Options // Emerging Market 5 Interest Rate Options // Exotics 5 Inflation 6 Credit Default Swaps 6 Money Market 6 Foreign Exchange (FX) // Forwards & NDFs 6 Foreign Exchange (FX) // Options 7 Martin Brokers Foreign Exchange (FX) // Forwards & NDFs 8 Martin Brokers Interest Rate Swaps 8 Martin Brokers Money Market 8

3 FIXED INCOME Government Debt African Government Bonds Asia ex-japan Government Securities Canadian Government Bonds Eurozone Government Bonds Scandinavian Government Bonds GHC, NGN AUD, HKD CAD DKK, NOK, SEK Corporate Bonds Asian Emerging Market Corporate Bonds - Active Issues Canadian Corporate Bonds - Active Issues Eurobond (Corporate, Supranational) - Active Issues Japanese Yen Corporate Bonds - Active Issues VARIOUS CAD JPY INTEREST RATE SWAPS Interest Rate Swaps Asian Emerging Market IRS Australia & New Zealand IRS IRS, Forward IRS European Emerging Market IRS IRS Scandinavian IRS IRS HKD, KRW, SGD, THB AUD, NZD CZK, RUB, TRY DKK, NOK, SEK IRS Spreads AUD IRS EFP, AUD IRS v NZD IRS Spreads IRS Term Spreads v 10Y IRS Butterflies v 6M LIBOR IRS Term Spreads / Forward Forward IRS Spreads Asian Emerging Markets IRS Curve Spreads IRS v UST Spreads AUD, NZD / HKD Basis Swaps AUD Bank Bill Basis Swaps DKK CIBOR Basis Swaps IBOR Basis Swaps LIBOR Basis Swaps NOK NIBOR Basis Swaps SGD SOR and SIBOR Basis Swaps THB THBFIX Basis Swaps Basis Swaps AUD DKK NOK SGD THB Cross Currency Basis Swaps AUD Bank Bill v LIBOR CHF LIBOR v IBOR & LIBOR CZK PRIBOR v IBOR DKK CIBOR v IBOR & V LIBOR IBOR v LIBOR LIBOR v IBOR v LIBOR HKD HIBOR v LIBOR JPY LIBOR v IBOR & v LIBOR NOK NIBOR v IBOR & v LIBOR NZD BKBM v LIBOR AUD/ CHF/, CHF/ CZK/ DKK/, DKK/ / /, / HKD/ JPY/, JPY/ NOK/, NOK/ NZD/ // marketdata@bgcmarketdata.com 3

4 Cross Currency Basis Swaps RUB MOS Prime v LIBOR SEK STIBOR v IBOR & v LIBOR SGD SOR & SIBOR v LIBOR THB THBFIX v LIBOR TRY TRYIBOR v LIBOR RUB/ SEK/, SEK/ SGD/ THB/ TRY/ Cross Currency Swaps CNH v 3M LIBOR KRW v 6M LIBOR RON v 3M IBOR RUB v 3M LIBOR SGD v 6M LIBOR THB v 6M LIBOR TRY v 3M LIBOR AFRICA v 3M LIBOR CNH/ KRW/ RON/ RUB/ SGB/ THB/ TRY/ BWP/, GHS/, KES/, MUR/, NGN/, UGX/, ZMW/ SHORT TERM INTEREST RATE SWAPS (STIRS) Forward Rate Agreement CZK 3M FRA DKK IMM 3M FRA 1M, 3M, 6M, 12M FRA IMM 3M & 6M FRA 1M, 3M, 6M, 12 FRA IMM 3M & 6M FRA HKD 3M FRA NOK IMM FRA RUB 3M FRA SEK IMM 3M FRA SGD 3M, 6M FRA THB 6M FRA TRY 3M FRA CZK DKK HKD NOK RUB SEK SGD THB TRY Overnight Index Swaps AUD OIS DKK CITAs OIS EONIA ECB Meeting Dates EONIA Swaps IMM Spreads: EONIA/FRA IMM FRA/SONIA OIS MPC Meeting Dates SONIA & RONIA OIS RUB RUONIA OIS SGD OIS IMM FRA/OIS OIS AUD DKK RUB SGD Forward OIS EONIA 1M, 3M, 6M, 12M Forward SONIA Forward Forward OIS // marketdata@bgcmarketdata.com 4

5 Short Term IRS IRS v 1M, 3M, 6M IBOR IMM IRS IMM Swaps IRS v 1M & 3M LIBOR NOK IRS v 1M NIBOR SGD IRS v 1M & 3M SOR THB IRS v 1M THBFIX NOK SGD THB NON DELIVERABLE SWAPS Non Deliverable Cross Currency Swaps CNY NDS v 6M LIBOR IDR NDS v 6M LIBOR INR NDS v 6M LIBOR CNY/ IDR/ INR/ Non Deliverable Interest Rate Swaps CNY NDIRS v 3M SHIBOR & 7D REPO MYR NDIRS v 3M KLIBOR THB NDIRS v 6M THBFIX CNY MYR THB Non Deliverable OIS INR NDOIS v ON MIBOR INR INTEREST RATE OPTIONS // CORE MARKET Swaption ATM Lognormal & Normalized Vols, Spot & Forward Premiums AUD,,, JPY, Cap/Floor Cap/Floor Premiums Cap/Floor Volatility Cap/Floor Volatility Wedge Cap/Floor Strikes Forward Start Cap/Floor Volatilities, Premiums AUD,,, JPY, AUD,,, JPY,,, JPY,, Swaption Skew/Smile Swaption Skew/Smile - Lognormal Vols % difference v ATM Swaption Skew/Smile - Normal Vols % difference v ATM Swaption Skew/Smile - Premiums AUD,,, JPY,,, INTEREST RATE OPTIONS // EMERGING MARKET Swaption ATM Lognormal & Normalized Vols, Straddle Premiums & Forward AED, CZK, HUF, ILS, PLN, RUB, SAR, TRY, ZAR Swaption Skew/Smile Swaption Skew/Smile - Lognormal Vols % difference v ATM AED, CZK, HUF, ILS, PLN, RUB, SAR, TRY, ZAR Cap/Floor Skews Cap/Floor Skew AED, CZK, HUF, ILS, PLN, RUB, SAR, TRY, ZAR INTEREST RATE OPTIONS // EXOTICS Constant Maturity Swaps CMS Spread Option - Single & Quarterly Look CMS Swaps, // marketdata@bgcmarketdata.com 5

6 INFLATION Inflation Swaps O HICPxT Swaps French CPI Swaps UK RPI Swaps US CPI Swap Spreads (interpolated) US TIPS Asset Swaps US CPI ZC Interpolated Swaps European (Euro & French) Assets Swaps UK Asset Swaps O Inflation Bonds Inflation Options O HICPxT YoY Caps, Floors O HICPxT Zero Coupon Caps, Floors French CPI YoY Caps, Floors French CPI Zero Coupon Caps, Floors UK RPI YoY Caps, Floors UK RPI Zero Coupon Caps, Floors US CPI YoY Caps, Floors US CPI Zero Coupon Caps, Floors CREDIT DEFAULT SWAPS Credit Default Swaps CDS: Single Names and Indexes Asian, European, US MONEY MARKET Certificate Deposits Certificate Deposits Fed Funds US Fed Funds Deposits Cash Deposits CNY,, HKD, SGD FOREIGN EXCHANGE (FX) // FORWARDS & NDFs African FX Forwards FX Forwards EU Emerging Market FX Forwards G4 FX Forwards Asian FX Forwards BWP/, /GHS, /KES, /MAD, /MUR, /TND, /TZS, /UGX, /ZMK /HRK, /RON, /RSD, /RSD, /TRY, /BGN / /CNH, /HKD, /SGD, /THB African NDF /EGP, /NGN Non Deliverable Forwards Non Deliverable Forwards Asian NDF EU Emerging Market NDF LATAM NDF /CNY, /IDR, /INR, /KRW, /MYR, /PHP, /TWD /AZN, /KZT, /RUB, /UAH /ARS, /BRL, /CLP, /COP, /PEN // marketdata@bgcmarketdata.com 6

7 FOREIGN EXCHANGE (FX) // FX OPTIONS FX Options FXO ATM Volatilities, 10D & 25D Butterfly, 25D Risk Reversal 75+ Currency Pairs // 7

8 BGC MARKET DATA // MARTIN BROKERS PRODUCT INVENTORY FOREIGN EXCHANGE (FX) // FORWARDS & NDFs EU FX Forwards FX Forwards Asian FX Forwards Africa FX Forwards /, /, /CHF, /DKK, /NOK, /SEK /CNH, /HKD, /SGD, /THB /GHS, /ZAR Non Deliverable Forwards African NDF /AOA, /GHS, /KES, /NGN, /ZMW INTEREST RATE SWAPS Cross Currency Basis Swaps IBOR v LIBOR & LIBOR LIBOR v LIBOR JPY LIBOR v LIBOR LIBOR v CHF LIBOR /, / / JPY/ /CHF Cross Currency Swaps AFRICA v 3M LIBOR GHS/, KES/, NGN/, UGX/, ZMW/ Interest Rate Swaps NOK IRS SEK IRS NOK SEK IRS Spreads FRA/EONIA Spreads SONIA/LIBOR Basis Swaps OIS EONIA SONIA SEK RIBA & STINA SEK Forward Rate Agreements IMM FRA NOK, SEK MONEY MARKET Deposits Cash Deposits DKK,,, NOK, SEK, // marketdata@bgcmarketdata.com 8

9 For more information on BGC Global Market Data products and services, please contact: or visit NEW YORK BGC Market Data 199 Water Street One Seaport Plaza New York, NY Tel: LONDON BGC Market Data One Churchill Place London-CP E14 5RD United Kingdom Tel: DISCLAIMER Updated June 17, BGC Market Data, L.P. All rights reserved. CONTENT AND DATA ARE, AND SHALL REMAIN, THE SOLE AND EXCLUSIVE PROPERTY OF BGC MARKET DATA, L.P. AND ARE BEING PROVIDED AS IS. BY USING ANY CONTENT OR DATA, YOU ASSUME THE ENTIRE RISK OF AND AGREE TO RELEASE, DISCHARGE AND HOLD HARMLESS BGC MARKET DATA, L.P., ITS AFFILIATES AND ITS AND THEIR EMPLOYEES, AGENTS, PARTNERS, AND OFFICERS (COLLECTIVELY, BGC PARTIES ) FROM ANY AND ALL (AND BGC PARTIES SHALL HAVE NO) RESPONSIBILITY AND/OR LIABILITY FOR ANY LOSS, COST, CLAIM OR DAMAGE (INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT OR CONSEQUENTIAL DAMAGES OR LOST PROFITS) ARISING OUT OF OR OTHERWISE RELATING TO YOUR ACCESS TO ANY OF THE CONTENT OR DATA OR ANY USE OF ANY OF THE CONTENT OR DATA OR ANY MALFUNCTION, DELAY, INTERRUPTION, OMISSION OR FAILURE OF ANY OF THE CONTENT OR DATA. BGC PARTIES HEREBY EXPRESSLY DISCLAIM ANY AND ALL WARRANTIES, GUARANTIES, CONDITIONS, COVENANTS AND REPRESENTATIONS RELATING TO ANY CONTENT OR DATA, INCLUDING, BUT NOT LIMITED TO, ANY RELATING TO MERCHANTABILITY, QUALITY, ACCURACY, FITNESS FOR A PARTICULAR PURPOSE, TITLE, NON-INFRINGEMENT, TIMELINESS, CURRENCY, ABSENCE OF VIRUSES OR DAMAGING OR DISABLING CODE, ANY WARRANTIES OR REPRESENTATIONS (I) THAT ANY CONTENT OR DATA OR ACCESS TO ANY PORTION THEREOF WILL BE UNINTERRUPTED OR ERROR-FREE, OR (II) THAT DEFECTS IN ANY CONTENT OR DATA WILL BE CORRECTABLE OR CORRECTED, OR (III) REGARDING ANY OTHER ATTRIBUTES, IN EACH CASE, WHETHER EXPRESS OR IMPLIED (IN LAW OR IN FACT), ORAL OR WRITTEN, OR FROM A COURSE OF DEALING OR USAGE OF TRADE. // marketdata@bgcmarketdata.com 9