Actively Managed Certificate

FEATURES HIGHLIGHT

AMI Pricing features

AMC Price publication & Internalizer

  • AMI pricing: real-time pricing based on the AMI composition. Support of multiple asset classes, currencies and cash components. Ability to configure custom pricing formulas.
  • Fee pricing: formulas are available to implement various fees at the AMI level (e.g., Performance fee or Management fee)
  • Algo Framework: our Algo Framework will let you implement more complex pricing use cases (e.g., switch to proxies when no price is available on the component).
  • Product management: multiple AMC products can be priced on the same AMI (w/ different parameters)
  • Market making: our engine can publish indicative prices, send executable orders or reply to Requests for Quotes
  • Internalizer: Horizon’s internal market can match internal liquidity versus client orders or quote requests

RFQ and Order Collection

Risk, Hedging and Rebalancing

  • Manual: trades on AMC products can be manually reported into Horizon
  • RFQ and orders: Horizon’s supports multiple workflows, including RFQ, email, and order workflows
  • FIX: Horizon’s provides a FIX Engine to connect to client's networks or internal FIX engines
  • Manual: trades on AMC products can be manually reported into Horizon
  • Hedging: hedging baskets can be generated and managed manually or automatically with our Portfolio Hedger
  • Rebalancing: AMI’s compositions can be rebalanced using REST APIs or Excel spreadsheets. Resulting rebalancing basket of orders can either be generated and executed by Horizon or imported.

AMI Pricing

basket composition and pricing formulas

Risk monitoring

Monitor the exposure on all AMC’s components

Market making

AMC monitoring and liquidity providing

Execution

Collect orders or RFQs, Report client trades

Hedge and Rebalancing

Generate baskets to hedge or rebalance a portfolio

CLIENT STORIES

Client 1 (Investment Solution Provider) :
Off-the-shelf Pricing and Auto-hedging AMC

Client 2 (Marketplace for Structured Investment Solutions) :
AMC Risk Management and Hedging on multiple

Client 3 (Swiss Private Bank) :
Pricing and Hedging algos for AMC

  • AMC products on a wide range of components (Equities, Bonds, Funds, Futures, Structured Products)
  • AMIs are priced with Horizon’s Basket pricer, trades on AMCs reported manually and auto-hedged either manually or automatically
  • Performance fees, Management fees and Rebalancing fees are managed in Horizon
  • Horizon’s Position manager is used to monitor the position on AMC components. Trades on the AMCs are received from an external system
  • Off-the-shelf execution capabilities are used to hedge components and route orders to different venues depending on instrument types, amounts and time
  • AMI are priced using our Algo framework to manage complex use-cases (i.e., use of proxies when no price is available on a component).
  • AMC trades are hedged using an algo selecting the best venue depending on price availability on the components
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