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Impact Investing

IPE special report May 2018

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Deutsche Börse in real-time move

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The Frankfurt-based Deutsche Börse (DB) has teamed up with five leading bond trading houses to produce a new generation of real time euro fixed income indices. The banks in the bond price contributor group are, ABNAmro, BNP Paribas, Deutsche Bank, Dresdner Bank and Morgan Stanley Dean Witter. They will provide DB with a constant flow of price data from their trading desks.
Explaining the logic behind the approach, DB executive board member Christoph Lammersdorf says: “Unlike the US market, only a few market participants have unlimited access to market information these days.”
Under the arrangement DB will obtain real time market level quote data from the five banks. “We will take the data in and calculate real-time bond indices from this multi-contributors source. This will enable us to upgrade our existing Box family from end-of-day to real-time index.”
In addition, this data will be used to create and distribute continuous market level price indicator feed for some 2,000 European government bonds, which will be extended to cover another 2,000 bonds, he says. “We will also disseminate valuation prices for up to 15,000 European products as a snapshot service several times a day, as well as end of day prices.” Other sources will be used for the valuation service, such as Eurex and OTC traded prices.
The new index family, based on these real time market quote will start with indices for government bonds, actively traded high grade jumbos, supras and agency bonds and so on. He says “If conditions allow, we will move further down the line to the less liquid bonds to give access to their prices”.
The new indices will be rules- based and replicable. All three services will be available through direct connnection to DB and from data vendors for the indices and real time prices, as from the second quarter this year.
In addition to a wider range of fixed income including corporate bonds, DB’s plans include exchange traded derivatives, and extension into non Euro-zone markets. Lammmersdorf adds: “With our partners we will be creating a widely accepted, liquid in stable and transparent bench mark for Europe.” Fennell Betson

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