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A-Team Insight Blogs

Callable and Putable Bonds added to SIX Telekurs’ Fair Value Pricing Service

SIX Telekurs has enhanced its Fair Value Pricing Service by adding a new asset class and hence increasing the number of instruments covered to over 110,000 investment grade fixed income securities.

SIX Telekurs is a provider of international financial data. Its Fair Value Pricing Service offers analytically calculated prices for roughly 110,000 investment grade fixed income securities in eleven different currencies. It covers money market instruments, fixed and floating rate bonds, plain vanilla structures as well as bonds with caps, floors and quantos. The service has been enhanced and now includes approximately 17,000 bonds with embedded options in seven currencies, namely EUR, USD, GBP, CHF, JPY, NOK and DKK. The embedded options can be of European, American or Bermudan style. The service covers different redemption types, including free callability, holder’s sudden death, make whole and taxation.

The Fair Value Pricing Service has been developed to help customers deal with the high illiquidity of the fixed income market sector. The product is based on SIX Telekurs’ Valordata Feed (VDF), a database containing reference data for more than 5.5 million financial instruments.

The fair values are calculated and made available to clients four times per day at 8:40am, 11:50am, 2:50pm and 8:45pm (+1 GMT). All inputs, parameters and details of the calculation methodology are disclosed to the user. These details can be found on the Fair Value Web, a web-based interface available to customers.

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