Empirasign Adds to Dealer Run Quotes

adam-murphy-empirasign

Empirasign founder and president Adam Murphy says the data will make it easier for front-office traders to understand at what level bonds are trading and where their competitors are pricing their inventories, while also improving the accuracy of valuations and price validation, since those involved in providing valuations will be able to see both sides of the market in a security.

"The challenge with trying to get a handle on what a bond is worth is that there are a couple of million CUSIPs [individual bond identifiers], but only a couple thousand of those trade every day," Murphy says. "So the more dealer prices you can capture, the more you can fill in any gaps... especially if you are marking to the mid price or marking to bid."

Murphy says it was straightforward for the vendor to begin parsing and distributing the data, since it was part of other datasets within dealer runs already being processed by the vendor. "It was already going through our systems, we just weren't capturing it," he says.

The additional datasets will result in increased volumes of data available to clients─particularly for securities issued in the UK and Europe, where the data is expected to increase five-fold per day. "I guess the Europeans just like to put a bid on every bond. It may be that there is less BWIC [bid wanted in competition] trading activity, so a greater percentage of the data is directly driven by dealer-to-customer trades," and hence that field in a dealer run is more likely to be populated with data in Europe than in US markets, he says. "It could also be that deals are a lot less complicated (i.e. fewer tranches) in Europe, so perhaps it is easier to put a price on every bond."

However, Empirasign has not needed to make changes to its platform to handle the increased data volumes. "With the back-end infrastructure we use, we can probably handle a thousand times the data that we warehouse. The back-end database we use is designed to handle billions of records, so we can grow by multiple orders of magnitude without running into any capacity constraints," Murphy says. "The data coming in is more challenging, because it is semi-structured in that it is put together by people and computers, so our computers have to spot errors and account for the way that people display essentially the same data─that's one of our value adds: we don't force anyone to provide anything in a proprietary Empirasign-readable format."

The vendor plans to release API access to the database within a week, once it has confirmed that inserting the new data will not impact macros used by clients to capture data from specific columns in CSV files into spreadsheets.

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