(Source: Business Wire)
Morgan Stanley (NYSE: MS) today announced the launch of Morgan Stanley
Fix, an over-the-counter (OTC) algorithmic trading product which
provides institutional clients with flow-weighted average pricing
(F-WAP) in currencies. Similar to volume-weighted average pricing
(V-WAP) in exchange traded markets, F-WAP minimizes the chance of
trading on extreme prices over an execution window.
"Institutional investors can incur significant additional cost if
currency transactions are not carefully managed," said, Paul Aston,
Executive Director at Morgan Stanley. By using Morgan Stanley Fix,
clients can achieve efficiency improvements in FX execution which can
improve portfolio performance."
Because currency markets, unlike equity markets, trade over-the-counter,
dealers do not officially report transaction volume. To provide V-WAP
for currencies, Morgan Stanley's Quantitative Solutions and Innovations
(QSI) Group, a unit on the FX sales and trading desk in Morgan Stanley's
Fixed Income Trading Division, devised the Morgan Stanley Fix
methodology which estimates foreign exchange volumes using a proprietary
liquidity analysis framework* that takes into account intra-day
liquidity cycles. Morgan Stanley will publish the intra-day liquidity
cycles that are used as a basis for the flow-weighted average pricing
used in Morgan Stanley Fix.
Morgan Stanley introduced Morgan Stanley Fix to address institutional
investor demand for transaction cost analysis (TCA) and currency
execution benchmarking. "Products that address transaction costs in FX
are a necessary tool for international investment managers and traders
seeking best execution in the foreign exchange markets," says Aston.
To meet the overall TCA demands of institutional clients, and to provide
maximum transparency, Morgan Stanley Fix is supported by various other
TCA pricing tools developed by Morgan Stanley's QSI Group. These
include: the pre-published intra-day liquidity cycles used to
proportionately slice Morgan Stanley Fix orders over the execution
window; a transaction cost calculator to assess spread cost and
potential market impact pre-trade using observable factors; historical
time-series of daily F-WAP prices for back testing; and detailed TCA
execution reports.
Morgan Stanley is a leading global financial services firm providing a
wide range of investment banking, securities, investment management and
wealth management services. The Firm's employees serve clients worldwide
including corporations, governments, institutions and individuals from
more than 1,200 offices in 42 countries. For further information about
Morgan Stanley, please visit www.morganstanley.com.
* Patent Pending
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