Bloomberg has launched IBVAL Front Office, a new solution that can price around 30,000 US dollar credit securities as fast as every 15 seconds and can capture a new bond issue moments after the security is available for secondary trading.
The solution, which is available to Bloomberg Terminal customers, as well as users of Bloomberg’s real-time streaming market data feed, B-PIPE, is distinct from but complementary to Bloomberg’s leading evaluated pricing service, BVAL. Specifically, IBVAL Front Office uses a proprietary machine learning model designed to handle the intricacies of consuming billions of ticks of market data to produce frequent pricing for real-time trading decisions.
Intraday pricing in fixed income is particularly challenging as information is fragmented, requiring investors and traders to review multiple market observations from disparate sources. To streamline this process, Bloomberg says IBVAL Front Office consumes billions of market data points from a variety of sources, including TRACE, contributed quotes and trades, and more. The data is then fed through a proprietary machine learning model to provide intraday pricing across the liquidity spectrum.
