CMA, the credit information specialist, today announced a partnership with New York based research and technology firm, Julius Finance to provide term structures for CDX and iTraxx index tranches.
The deal combines observed data from CMA's unique buy-side consortium combined with the advanced mathematical modelling capabilities of Julius Finance's, JuliusBridgeTM service. The full data set will be accessible through CMA DataVision.
Ongoing volatility in the OTC credit market has lead to an increased demand from buy-side institutions for a market standard pricing model and this will be the first time that a consistently accurate, independent model for calculating notoriously complex tranche values has been made widely available.
"CMA is committed to providing greater price transparency in the OTC credit market," said Laurent Paulhac, CMA's CEO. "Combining data from CMA's buy-side consortium with the advanced technologies of Julius Finance empowers investors and risk managers with a more accurate and reliable view of tranche values as, until now, derived quotes have been calculated from prices that were not market traded but sourced from sell-side institutions."
Peter Cotton, CEO of Julius Finance explained that "As the market for credit derivatives continues to see phenomenal growth there is increased demand from investing institutions and risk professionals for high-quality pricing information on traded and non-traded CDS index tranches. CMA is widely recognised as an innovator in the CDS market and we are delighted to work with them to further enhance their valuation processes. The JuliusBridgeTM service allows CMA to add value for clients without the need for software installation or in-house model calibration. The Julius data enhancement uses new modelling techniques which make as few assumptions as possible and allow the data to speak for itself".
CMA DataVision is a high quality, 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 30 buy-side firms including leading Hedge Funds, Asset Managers and the buy-side desks of global Investment Banks. DataVision data is delivered by 5pm London and 5pm New York time, giving customers a timely market view.