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A-Team Insight Blogs

CMA Releases New Version of DataVision with Enhanced Curve Modelling

Credit information specialist CMA has released a new version of its same day price verification service for the OTC credit derivatives market, DataVision. According to CMA, DataVision 2.1 includes enhanced curve modelling and an expanded data set.

DataVision provides portfolio and risk managers with independent price verification for CDS, indices and tranches based on a buy side consortium model. The latest version of the service includes enhanced curve modelling and additional features including improved bid-offer spreads, cumulative probability of default, PV01 calculations, hazard rates and liquidity metrics as part of the end of day file.

According to CMA, the expanded data set is available both to users who receive the data directly from CMA and those who access the data through CMA’s distribution partners.

This is the first major product release from CMA since it was acquired by CME Group in March this year and follows on from an announcement earlier this summer that CMA had enhanced its ability to value thinly traded and illiquid CDS tranches and tranchelets in DataVision.

Laurent Paulhac, CMA’s CEO, comments: “The enhancements we have made reflect market participant’s desire for increased colour and analytics to better contextualise the pricing information we provide to them as well as leverage our analytics for easier integration for valuation and risk management.”

CMA DataVision is a same day, consensus-based price verification data service for CDS, indices and tranches, used primarily for mark-to-market, flash P&L, research and analytics. It is sourced from 34 buy side firms including hedge funds, asset managers and the buy side desks of global investment banks. CMA QuoteVision scans free form messages, harvests pricing information, and stores it in a client side database.

The fact that the pricing data service is sourced from the buy side rather than the sell side community is upheld by CMA as a key differentiator from other services on the market, including those of its main competitor, Markit. Paulhac says: “In these volatile markets, our buy side contribution model has proven to be far more accurate than the alternative methods from other pricing service providers in the market. With this new version of DataVision, we are further separating ourselves from our competitors.”

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