Markit has responded to market demand for real-time bond pricing with a streaming service covering investment grade and high yield corporate, sovereign and agency bonds. The service is designed to support pre-trade transparency, intraday net asset value calculations, and the need for exchange traded fund managers to understand how constituents of funds are priced throughout the day.
The real-time bond pricing service was introduced after lengthy testing a couple of weeks ago and adds to Markit’s existing hourly and end-of-day bond pricing services. While the hourly and end-of-day services use a traditional evaluator approach for bond pricing, the real-time service differentiates in using a hybrid approach that reduces latency.
The hybrid approach combines data from direct dealer feeds, trade colour and data captured by Markit’s real-time parsing technology, and uses a machine driven algorithm to publish prices based on the source data. Evaluator audits safeguard accuracy and reliability.
The real-time pricing service initially covers over 35,000 corporate, sovereign and agency bonds across 40 currencies, but not the whole universe of bonds in the hourly and end-of-day services. Nathan Kirk, head of EMEA business strategy for fixed income pricing at Markit, explains: “The hourly and end-of-day services provide pricing for about 80,000 bonds. The real-time service provides pricing for over 35,000 bonds that is based on observable information from different data feeds, but if we are confident on pricing we will add more bonds to the service.”
The real-time bond pricing service will be charged as an additional service on top of the hourly and end-of-day services, with customers subscribing to the full universe of bonds or a selected list of securities. The company’s fixed income pricing service already runs real-time services for bank loans and credit default swaps, and includes pricing for municipal bonds and securitised products that will be streamed live when there is market demand and where there is sufficient observable data. Meantime, Markit is working on a project that will produce a real-time money markets pricing service.