New QUIK broker capabilities for REPO with Central Counterparty
The market for back-to-back REPO with CC is growing and meeting the demands of traders that use both cash-driven REPO and securities lending.
Up till now liquidity could be visualized for one instrument only as it could not be consolidated over different market instruments. This forced brokers to analyze a number of Level II quotes and run the risk of overborrowing.
Starting from version 6.16 the QUIK workstation combines Level II quotes for the ease of REPO trading with the Central Counterparty. The united Level II quotes mode allows concentrating vision on the liquidity available in the market.
Here is a sample of the quotes:
Same price orders for one instrument are totaled up while the “Best bid sum” and “Best offer sum” that show the cumulative number of instruments are calculated starting from the lowest interest rate for bid and highest for offer. As divisibility of instrument lots may differ instruments are always displayed in single units.
Beside visual representation of quotes the united Level II quotes allows traders to use the so-called ‘united order’ which does not specify an instrument for borrowing or lending cash but shows only the total volume or amount of instruments:
Processing ‘united order’ presumes opening counter-orders starting with the best quote and up to the quote selected by user. However, the overall volume of opened orders may not exceed that indicated by trader.
Thus, REPO traders have at their disposal a useful tool that makes it convenient for them to borrow and lend in the REPO market with the Central Counterparty while also following their risk management approaches concerning selected instruments.
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