Bloomberg has expanded its pricing solution, Intraday BVAL (IBVAL) Front Office, to cover EUR and GBP investment grade and high yield credit bonds included in Bloomberg’s Europe and UK credit indices
New contextual features have also been released giving traders insight into IBVAL’s pricing.
Eric Isenberg, global head of enterprise data pricing, Bloomberg, said, “As credit markets transition to more electronic trading, there’s increasing demand for rapid pricing insights, especially for less liquid securities, to actively manage client portfolios, develop credit algos, execute portfolio trades, and to inform trading decisions more broadly.”
“The introduction of IBVAL pricing in Europe backed by contextual metadata provides a new defensible price discovery channel for the world’s largest credit markets,” Isenberg added.
IBVAL uses a machine learning model that utilises billions of market data points from a variety of data sources to deliver real-time pricing across the liquidity spectrum.
Talking to The DESK, Isenberg said IBVAL takes into account a “tremendously” high volume of data that ticks throughout the trading day.
“IBVAL consumes billions of market data points from a variety of sources including publicly available trade reporting sources, such as TRACE data; market quotes from global and regional banks, broker-dealers and other Bloomberg Terminal subscribers, security reference data, and more.”
“The fragmented nature and volume of this data lends itself really well to IBVAL’s use of machine learning to accurately parse this information at scale,” Isenberg added.
Customers receiving IBVAL through B-PIPE will also be able to view the associated scores from Bloomberg’s leading evaluated pricing service, BVAL.
This BVAL score is from 1 to 10 and reveals the relative amount and consistency of market data used to calculate the IBVAL price for a given security as of the most recent BVAL snapshot.
Isenberg said a lower score indicates there was less comparable market data available to derive the IBVAL price. “This can be an especially powerful data point to help inform trading decisions when there’s limited information available about a given security. Conversely, a high BVAL score is valuable intel because it provides users with an understanding of the market data supporting an IBVAL price,” Isenberg said.
“While the score does not assess the accuracy of a price, it does provide a window into the underlying data inputs used by BVAL in arriving at that price.”
Additional new features include I-spread and G-spread metrics that publish alongside IBVAL pricing designed to help traders understand the relative value analytics of the underlying bond prices. The scores and relative value metrics are available for all of IBVAL’s global pricing.
“The addition of I-spread and G-Spread metrics help traders understand at a glance how a given bond performs vs. a peer bond as the spread normalises the relationship to rates,” Isenberg concluded.
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