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.”