Virtu Launches Fixed Income ACE, a New Liquidity Scoring and Portfolio Construction Tool for Fixed Income Liquidity and Transaction Costs

Rhea-AI Summary

Virtu Financial has launched the Fixed Income Agency Cost Estimator (FI ACE), a pre-trade analytics tool designed to enhance transparency and measure transaction costs in fixed income markets. This tool is aimed at helping clients manage liquidity and comply with regulatory obligations. As of October 2020, FI ACE covers approximately 37,500 North American and 25,000 international corporate and agency bonds, along with 4,000 European sovereign bonds. The tool supports various applications, including liquidity risk management and cost-aware portfolio construction.

Positive

• Launch of FI ACE enhances transparency in fixed income markets.
• FI ACE covers around 37,500 North American bonds and 25,000 international bonds, providing extensive market data.
• Helps clients comply with regulatory obligations and manage liquidity effectively.

Negative

• None.

NEW YORK, Nov. 10, 2020 (GLOBE NEWSWIRE) -- Virtu Financial, Inc. (NASDAQ: VIRT) a leading provider of trading technology and liquidity, announced the continued expansion of its multi-asset transaction cost model offering with the launch of Fixed Income Agency Cost Estimator (FI ACE), a pre-trade analytics tool designed to provide transparency and measurement of liquidity and transaction costs in fixed income markets.

FI ACE provides a proprietary pre-trade liquidity model that helps confirm execution decision making, assists in liquidity management and helps document best execution in connection with regulatory obligations.

“In response to the rising liquidity demand of corporate and sovereign bonds and increased attention from market participants—specifically algorithm and program traders and regulators around the world—the launch of FI ACE gives our clients the visibility they need to manage liquidity and risk in their portfolios,” commented Kevin O’Connor, head of Virtu’s broker-neutral Analytics and Workflow Technology division.

FI ACE cost estimates leverage Virtu’s Global Peer database for Fixed Income (GPFI) which contains aggregated proprietary trade information submitted by Virtu’s fixed income TCA clients. As of October 2020, FI ACE covers around 37,500 North American and 25,000 international corporate and agency bonds, 4,000 European sovereign bonds as well as around 450 US Treasury instruments.

Examples of possible applications of FI ACE include:

• Liquidity risk management / regulatory compliance:   Used as a tool to help meet certain regulatory requirements (e.g., SEC rule 22e-4) and can accommodate the prudent valuation standards of the European Banking Authority (EBA) which call for calculating exit prices of portfolio positions assuming a fixed liquidation horizon
• Liquidity scoring for individual bonds: FI ACE provides a supplementary liquidity score for each bond to help facilitate the liquidity comparison across bonds
• Cost-aware portfolio construction: FI ACE estimates can add the much needed liquidity component to a set of portfolio characteristics. Security-specific market impact estimates can be utilized in portfolio rebalancing decisions
• Provide analytics to support program trading: FI ACE can be used to facilitate the decision making around agency and principal trades executed by program desk traders. In agency trades, a program trading desk possessing only generic knowledge about the basket can use FI ACE to determine a fair price of the basket accounting for market impact and volatility exposure
• Benchmark trading performance in TCA: FI ACE can be used as a handicap measure to analyze the client’s execution performance at trade or parent order level.
  

FI ACE estimates as well as liquidity scores are currently available in comma-separated flat files via ftp or accessible via Virtu’s Open Technology APIs.

About Virtu Financial
Virtu is a leading provider of financial services and products that leverages cutting-edge technology to deliver liquidity to the global markets and innovative, transparent trading solutions to its clients. Leveraging its global market making expertise and infrastructure, Virtu provides a robust product suite including offerings in execution, liquidity sourcing, analytics and broker-neutral, multi-dealer platforms in workflow technology.  Virtu’s product offerings allow clients to trade on hundreds of venues across 50+ countries and in multiple asset classes, including global equities, ETFs, foreign exchange, futures, fixed income and myriad other commodities.  In addition, Virtu’s integrated, multi-asset analytics platform provides a range of pre and post-trade services, data products and compliance tools that clients rely upon to invest, trade and manage risk across global markets.

CONTACT:
Investor Relations	Media Relations
Deborah Belevan, IRC, CPA	Andrew Smith
investor_relations@virtu.com	media@virtu.com

FAQ

What is Virtu Financial's FI ACE tool?

FI ACE is a pre-trade analytics tool that provides transparency and measures transaction costs in fixed income markets.

How many bonds does FI ACE cover?

FI ACE covers approximately 37,500 North American bonds and 25,000 international corporate and agency bonds.

When was the FI ACE tool launched?

The FI ACE tool was launched on November 10, 2020.

What benefits does FI ACE provide to clients?

FI ACE helps clients manage liquidity, comply with regulations, and utilize liquidity scoring for portfolio construction.

What regulatory compliance does FI ACE assist with?

FI ACE assists with compliance related to SEC rule 22e-4 and European Banking Authority valuation standards.