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
Man Group CTO eyes ‘significant impact’ for genAI across the fund
Man Group’s Gary Collier discussed the potential merits of and use cases for generative AI across the business at an event in London hosted by Bloomberg.
BNY Mellon deploys Nvidia DGX SuperPOD, identifies hundreds of AI use cases
BNY Mellon says it is the first bank to deploy Nvidia’s AI datacenter infrastructure, as it joins an increasing number of Wall Street firms that are embracing AI technologies.
This Week: Linedata acquires DreamQuark, Tradeweb, Rimes, Genesis, and more
A summary of some of the latest financial technology news.
Systematic tools gain favor in fixed income
Automation is enabling systematic strategies in fixed income that were previously reserved for equities trading. The tech gap between the two may be closing, but differences remain.
Euronext microwave link aims to cut HFT advantage in Europe
Exchange plans to level playing field between prop firms and banks in cash equities with cutting edge tech.
Why recent failures are a catalyst for DLT’s success
Deutsche Bank’s Mathew Kathayanat and Jie Yi Lee argue that DLT's high-profile failures don't mean the technology is dead. Now that the hype has died down, the path is cleared for more measured decisions about DLT’s applications.
‘Very careful thought’: T+1 will introduce costs, complexities for ETF traders
When the US moves to T+1 at the end of May 2024, firms trading ETFs will need to automate their workflows as much as possible to avoid "settlement misalignment" and additional costs.
Waters Wrap: Examining the changing EMS landscape
After LSEG’s decision to sunset Redi, Anthony examines what might lie ahead for the EMS space.
Most read
- Sell-Side Technology Awards 2024: All the winners
- Sell-Side Technology Awards 2024: Best sell-side front-office platform—Bloomberg
- Systematic tools gain favor in fixed income