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A-Team Insight Blogs

Thomson Reuters TRPS Plus Provides Transparency into Evaluated Pricing of Structured Notes and OTC Derivatives

Thomson Reuters continues to build out its pricing service with the addition of Thomson Reuters Pricing Service Plus (TRPS Plus), a DataScope Select service offering transparency into the evaluated pricing of structured notes and hard to value OTC derivatives. TRPS Plus follows the company’s April 2015 introduction of AskTRPS, a price challenge tool for fixed income professionals, and is based on models acquired with Paris-based Pricing Partners in June 2013.

While Thomson Reuters has priced structured notes and derivatives for some time, TRPS Plus integrates Pricing Partners’ financial library to value complex structured products and exotic derivatives, and provide details of valuations including methodologies used, market data inputs and model assumptions. The service also provides risk calculations associated with these instruments, including Value at Risk, Credit Valuation Adjustment and Greeks. Valuation and risk reports are delivered on an intra-day or end-of-day basis depending on customer requirements.

As well as helping DataScope Select users to value hard to price instruments, TRPS Plus plays into regulations such as Dodd-Frank and European Market Infrastructure Regulation that require highly transparent valuations of illiquid and complex instruments, particularly derivatives and structured products.

Robert Vincini, head of pricing service specialists at Thomson Reuters, says TRPS Plus valuations of structured notes are available immediately to DataScope Select users, while derivatives, initially interest rate swaps, will be available from September. He adds: “After that we will apply Pricing Partners’ models to all the derivatives we price, which is almost all types, and include them in TRPS Plus.”

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