DelphX Plans Expansion, Data on Quandl
Launched in 2013, the pricing service currently provides fair value prices for 25,000 corporate bonds—90 percent of which trade infrequently—by analyzing historical trade data going back to 2002, sourced from the Financial Industry Regulatory Authority’s Trade Reporting and Compliance Engine feed.
Mav=n groups securities into different groups (aka “cohorts”) with similar attributes, such as maturity lengths, and analyzes each bond’s historical price movements relative to those in its cohort. Mav=n can then predict the price of illiquid bonds based on the price movements of other related bonds that have traded. The vendor also provides users with an accuracy score based on the deviation between Mav=n’s predicted price and the next actual traded price.
Over 2015, DelphX plans to expand the service to 144A asset private placements, and asset-backed and mortgage backed securities. The vendor also plans to add coverage of municipal bonds, but due to the complexity and size of the municipal bond market, these prices are unlikely to be available until 2016, says DelphX founder, president and chief executive Larry Fondren.
“Municipals are a different market. There are 25,000 corporate bonds, but there are 1.2 million rated municipal bond issues out there, and it’s twice that number if you count unrated issues. But we are working on it now,” Fondren says.
Content on Quandl
Separately, DelphX is currently adding its Mav=n end-of-day corporate bond prices to Toronto-based economic and financial search engine Quandl’s financial and economic online database, to provide historical bond data to a wider base of retail and institutional traders.
Currently, the vendor distributes real-time Mav=n values via Thomson Reuters’ Elektron feed, and now will distribute end-of-day prices via Quandl for 25,000 corporate bonds, as well as historical data covering every transaction related to each security going back to 2006 or whenever a bond was issued. In response to requests from Quandl clients, DelphX may also extend the deal to include intraday prices every 30 minutes to cater to users such as institutional investors or bond exchange-traded funds that require prices closer to real-time.
The two vendors are currently finalizing the commercials of the deal, but the data will be significantly cheaper than accessing end-of-day bond prices via current incumbent providers, Fondren says. “If you are… only buying end-of-day pricing, it’s a whole lot easier and a whole lot cheaper to use our values through Quandl.”
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe
You are currently unable to print this content. Please contact info@waterstechnology.com to find out more.
You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@waterstechnology.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@waterstechnology.com
More on Emerging Technologies
Court case probes open-source licenses as movement stands at crossroads
The Software Freedom Conservancy’s lawsuit against TV-maker Vizio begins trial in California, raising questions about open-source licenses and the risks posed by adhering to them.
Waters Wavelength Podcast: Countdown to T+1
DTCC’s Val Wotton joins the podcast this week to discuss the impending move to T+1 in the US.
Hub to lay off 20% of staff, sources say
Hub’s CEO says this is simply a case of a startup trying to stay nimble and efficient; others say it points to deeper issues.
Fighting FAIRR: Inside the bill aiming to keep AI and algos honest
The Financial Artificial Intelligence Risk Reduction Act seeks to fix a market abuse loophole by declaring that AI algorithms do not have brains.
Waters Wrap: The rise of AI washing… and regulation washing?
The SEC recently levied fines against two investment advisors over “AI washing”. Anthony takes issue with the announcement.
This Week: Brown Brothers Harriman, BNY Mellon/Nvidia, Cboe, Eurex, and more
A summary of the latest financial technology news.
This Week: SS&C unveils T+1 preparedness scorecard; S&P/DTCC; SmartStream & more
A summary of the latest financial technology news.
The bank quant who wants to stop genAI hallucinating
Former Wells Fargo model risk chief Agus Sudjianto thinks he has found a way to validate large language models.
Most read
- Women in Technology & Data Awards 2024: All the winners and why they won
- Witad Awards 2024: Above and beyond award (vendor)—Susan Bennett, Tradeweb
- Fighting FAIRR: Inside the bill aiming to keep AI and algos honest