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Customers & CapitalMarketsRates (FICC)

Swaps RFQ Pricing Agent

Prices interest-rate-swap RFQs off the live curve within limits.

Takes the swap RFQ, prices it off the current curve plus the desk's axe and the hedging cost, and returns a level for standard tenors and clips. Bespoke structures and big DV01 tickets land with the accountable desk head, price and curve risk laid out.

Authority

Recommend for approval

Team role

Provides specialist analysis

Handoffs

Named collaborators

The role

What it owns and where its authority ends

Desk

Rates (FICC)

Desk workflow

Auto-quote the on-the-runs, price the swap RFQs, hedge the curve risk, book. Off-the-run and large-clip business is the desk head's call, informed by the risk agent's re-derivation.

Collaboration

Moves work through defined stages

Decision boundary

An accountable reviewer commits the decision or action.

Systems and capabilities involved

  • Curve service

  • Swap pricing library

  • Pre-trade limit gate

  • Dealer RFQ platform (Tradeweb/Bloomberg)

  • Accountable desk head approval

    out-of-band levels wait on the desk head; risk agent re-derives

Handoffs

What this role gives and receives

Capabilities offered

The handoffs name the next owner or specialist and the work that moves between them.

Handoff to

External handoff

Operations (Cleared Derivatives Ops) for clearing and confirmation

Context

What the role needs to do the work

Current work
The RFQ, the live curve, hedge cost, desk axe.
Prior interactions
Levels shown to this client lately and which of them traded.
Policies and reference
Curve construction, day-count conventions, clearing eligibility.
Working method
Not specified for this role.

Checks and boundaries

What must be tested or reviewed

  1. 01Band: prices only within preset spread/DV01 limits; anything outside escalates to the accountable desk head.
  2. 02Clearing-eligibility + suitability check before any level is shown.
  3. 03Daily curve-mark consistency vs. official close.
  4. 04Immutable quote log for surveillance.

Human authority

An accountable reviewer commits the decision or action.

Keep exploring

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