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End-to-End Global Network Solutions

FX Rates Engine

The ASPone FX Rates Engine is a high performance server that subscribes to Spot prices from one or more rate feeds, performs price adjustments and calculations and re-publishes them to internal and external clients.

Inputs

Market Data Feeds: the FX Rates Engine can be used with ASPone’s CIP and TRH platforms and is therefore capable of receiving streaming real-time market data from a wide range of market data feeds, market data platforms, internal systems and via direct exchange/broker/portal connectivity. Spot prices and forward points (if required and available) are taken from these feeds and used to populate the core rates engine storage area.

Manual Input: system users can manually interact with the rates engine in order to enter and make adjustments to spot and forward points. The same interface is used to apply the calculations described below.

Calculations

Bid/Ask Spreads: the rates engine supports the manipulation of Bid/Ask spreads by either applying a margin to the received Bid and Ask prices directly or by first calculating a mid price and re-calculating a new synthetic spread. Spreads can be applied concurrently at four different levels on either a points or percentage basis:

• Across all currency pairs
• Across individual currency pairs
• For given amounts (RFQ)
• For a given requesting client (RFQ)

Forwards: forward rate calculations can be performed in a number of ways taking into account information available on the feed and the accuracy required:

• Received forward points applied directly to spot prices as premiums or discounts
• Intermediate forward points derived using interpolation of received forward points
• Forward points derived from additional market information e.g. Interest Rates, Futures Prices etc

Cross-Rates: the FX Rates Engine is capable of calculating cross rates for exotic currencies for situations where the number of market contributors is small and prices are either non-existent or Bid/Ask spreads are too wide to be used accurately.

Best-Prices: by comparing the rates received from multiple platforms, the Rates Engine can be used to generate a composite feed of best bid and offer prices for re-distribution.

Comparisons: comparisons can be made between currency pairs on the same feed in order to discover arbitrage opportunities. When two or more rate feeds are connected to the Rates Engine, it is possible to calculate the differences between identical currency pairs across multiple sources.

Outputs

Contributions: calculated prices can be contributed back to the market as individual records or pages using the industry standard MarketLink protocol.

Request for Quotes: individual client applications can make Requests For Quotes (RFQ) for a given currency pair for a given volume. The RFQ mechanism is provided as an API that can be used directly or from an ASPone trading interface.

Streaming Rates: streaming rates can be displayed in ASPone’s I-Terminal financial desktop application, a dynamic web page or portal, or integrated into a client’s own internal systems using one of ASPone’s open APIs.