Credit Suisse ships new fixed income 'calendar roll' algo

Source: Credit Suisse

Credit Suisse is pleased to announce the release of the Calendar Roll, an innovative fixed income algorithm which allows clients to roll bond futures positions while maintaining their risk exposure, available directly on their desktop via the Credit Suisse Onyx fixed income trading platform.

The Calendar Roll algorithm is custom designed for bond futures, where the nature of the market makes rolling a position from one calendar month to the next a complex multi-legged trade that can expose an investor to unintended new risks during execution. Credit Suisse Onyx now allows clients to roll their futures position while maintaining only their intended risk exposure.

Clients now have access to this advanced algo directly from their own desktop on Credit Suisse Onyx, allowing them to seamlessly move their bond futures positions from one month to the next while maintaining their duration exposure.

"Onyx provides the rates-specific algos that our most demanding clients need, from basis trading to yield curve strategies," says Jeff Jennings, Global Head of Prime Services Listed Derivatives. "The Calendar Roll is another example of how our deep product expertise leads to innovative custom-tailored solutions and brings the Fixed Income and Futures expertise of the Bank together for our clients."

Calendar rolls join Credit Suisse Onyx's expanding stable of fixed income-specific algorithms, including pairs, custom butterflies, basis and more. The addition further solidifies Credit Suisse Onyx's position as the leading fixed income electronic trading platform, offering clients access to outright trading and algorithmic execution backed by the immense liquidity provided by Credit Suisse's electronic liquidity pool for rates, Clearwater.

"Onyx's targeted focus is on helping our clients access liquidity and execute intelligently across the rates universe wherever they trade, either in futures or the cash markets," says Ryan Sheftel, Global Head of Electronic Market Making for Rates.

Credit Suisse Onyx is a key element of Credit Suisse PLUS, the bank's innovative source of client focused electronic solutions that span research, analytics and trading.

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