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Empirasign Blog Entry: Bids Offers Markets



Bids Offers Markets

Dec. 13, 2013

Empirasign is proud to announce that we have added two new datasets to our product. Bids and two-way markets from Dealer Runs are now being captured and parsed.

A Brief History of Our Datasets
Empirasign started indexing BWIC data (price talk and covers) in March 2010. In January 2011, we added Dealer Offers to extend our data set. In Summer 2012, we added Structured Products for UK and EU. In June 2013, we added Agency Fixed Rate Specified Offerings. In addition to these real time datasets, we have a historical market data product as a separate product offering. This dataset comprises the time period 2003 - 2009. It's great for long time series work in risk and academia.

Where to Find The New Data
Any time you search for a bond, up to four results tables are returned (BWICs, Markets, Bids, and Offers). The new data sets can also be found by selecting Dealer Offers under Find Bonds on the top navigation bar. Up to three results tables will be shown on this page (Markets, Bids, and Offers). The Dealer Offers page will be soon renamed Dealer Runs to better reflect the extra data displayed.

Example Query:
When searching for RNBLG 1 A (Auto Lease), you'll be taken to the following results page: http://www.empirasign.com/cusip/XS0909321951/ (login required)

Query Screenshot with BWIC, Market, Bid and Offer data (click to enlarge)
Auto Lease Query showing dealer bids, offers and markets

IPV and Valuation Use Cases
Using bid and bid/offer data is great for valuation and Independent Price Verification (IPV) work as you can now easily back up your mark to mid or mark to bid methodologies with real world data. Recording and studying the distance between bid and offer prices can produce real usable metrics for those in risk trying to get a better handle on both market liquidity and VaR.

More Data
These new data sets will dramatically increase the amount of data we capture. In EU and UK, our users can expect at least a five-fold increase in data captured per day. In the US, sending out bids and markets is not as prevalent in most sectors. However, in CMBS and ABS our users will see a big jump in data.

API integration
These new data sets are also available via API. Just add bid_side=true to your query string to retrieve the new data, or just download the new spreadsheet here: Excel download icon

Nobody works harder than Empirasign to make you more effective at your job. If there's anything we can add, or enhancements we can make, please feel free to reach out to us.


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