10.01.2013
By Terry Flanagan

Data Providers Expand in Fixed Income

Fixed income cash and derivatives products are the focus of new evaluated pricing initiatives by data providers.

Thomson Reuters has launched a new service for the pricing of collateralized debt obligations (CDOs). The new pricing capability covers all three major CDO types – asset-backed security CDOs, commercial real estate CDOs, and trust preferred security CDOs, providing end-of-day valuations based on asset-level analysis.

CDOs are priced by a team of expert evaluators, with access to analytics and current market color which is then applied to the fundamental cashflow analysis, offering customers greater transparency into the complex CDO market. The offering is part of Thomson Reuters Pricing Service (TRPS), a global solution that provides evaluated prices to support portfolio, fund and single security valuations.

“The evaluated pricing space continues to grow at a rapid rate based on increased demand for independent and transparent pricing,” said Debra Walton, managing director and head of enterprise content at Thomson Reuters.

The launch of the new CDO pricing capability supports Thomson Reuters vision to bring greater transparency to the financial community and further expands the breadth of evaluated pricing data available through TRPS.

“As portfolio managers continue to search for higher yielding assets, we are pleased to extend our evaluated pricing services to include this hard-to-value asset class,” said Jayme Fagas, global head of evaluated pricing at Thomson Reuters. “In addition to the newly added CDO valuations, TRPS evaluated pricing is comprehensive for all securitized products, including our market leading CLO pricing.”

TRPS covers over 2.5 million fixed income securities, derivatives and loans, priced daily. Prices are delivered throughout the day or at market closing times around the world depending on the asset class, with supporting commentary to provide insight on the day’s events.

Separately, Interactive Data Corporation, a provider of independent evaluated pricing, valuation and reference data services, has released a new set of transparency and workflow enhancements to Vantage service, which provides transparency into the fixed income markets and Interactive Data’s evaluation services, including combining market data such as Finra TRACE and MSRB data in a single application.

The enhanced Vantage Price Validation Workflow module will enable buy-side and sell-side firms to more efficiently manage their price review process, thereby reducing the operational cost of meeting current regulatory requirements.

The module helps to increase productivity and improve valuation best practices through the introduction of automated routines and price tests that build upon the manual processes followed today.

For example, users can verify the availability of observable market inputs to support fair value hierarchy determinations under U.S. GAAP and IFRS. It also aids risk management processes by aggregating data often manually consolidated through a mix of paper printouts and spreadsheets into a standardized set of reports.

“The enhanced Vantage Price Validation Workflow is designed to bring efficiency and automation to the pricing and trade review process and to help firms meet very tight timeframes to support regulatory, Topic 820, and IFRS 13 transparency requirements,” said Mark Hepsworth, president, pricing and reference data at Interactive Data. “In addition, Vantage reports help to facilitate oversight by boards of directors and valuation committees. We have examined the operational issues faced by firms to understand the pain points, and are evolving Vantage to help solve everyday workflow processes.”

The Vantage Price Validation Workflow serves as the central hub for client validation activities by replacing the typically manual, spreadsheet- and paper-based price review process. Additionally, it automates the loading of portfolio, market, and exceptions data files, enabling users to review a range of market and assumptive data alongside Interactive Data’s content.

Related articles

  1. Algorithms have become more prevalent in the spot FX market.

  2. Congress Unlikely to Act on HFT

    QB’s Algo Suite for futures market trade execution is also being co-located to HKEX.

  3. Breaking data silos is key to deploying automation beyond 'nuisance' orders.

  4. They can be used on quantum hardware expected to be available in 5 to 10 years.

  5. Regulation and Liquidity Top Concerns in Fixed income

    Streaming blocks change the basis of matching and price discovery so institutions can find new liquidity.