Validated Benchmarks

DelphX® continually validates and reports the accuracy of its benchmark-pricing forecasts as trades occur in its fully transparent all-to-all trading environment.

In this way, DelphX is powering informed liquidity, documented best executions and lower trading costs.

Continuously Validated Pricing

Using proven machine-based learning, DelphX continuously forecasts, validates and reports in real time the current benchmark pricing of all Default Compensation Receipts™ (DCRs) and Collateralized Reference Obligation™ (CROs), and all cash bonds referenced by those securities from the more than 1 million issues eligible for protection within DelphX—enabling dynamic analysis of the current pricing of both liquid and illiquid issues.

Armed with market-wide quotes and such benchmark pricing information, subscribers can:

  • Be continually informed of the current benchmark pricing of every issue
  • Assess the relative pricing of all pending transactions
  • Dynamically manage risk and capitalize on emerging opportunities
  • Optimally execute their credit investment strategies.

 

Forecast Trade Prices

DelphX continuously forecasts and validates the current price at which each issue will likely trade, including highly illiquid issues, using the machine-learning functionality of the platform’s MAVn® (Market-Adjusted Value per congruent nexus) functionality and the weighted pricing of all orders pending in DelphX Order-Books for each DCR, CRO and referenced issue.

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As forecasting trade prices cannot always be 100% accurate, the historical accuracy of every MAVn pricing forecast is continuously displayed as an accuracy “Score” Each Score reports the degree to which the security’s MAVn pricing forecast matched the prices at which the issue actually traded in its five most-recent transactions.

A MAVn Score of 100.00% indicates perfect correlation between the MAVn forecasted price and the price at which the trade occurred. A Score of 99.99% indicates a slight mean deviation in the historical accuracy of the MAVn pricing forecast. More than 90.0% of MAVn Scores consistently exceed 99.00%.

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Validated MAVn benchmark pricing enables DelphX participants to:

  • Secure a validated determination of the current benchmark price of their fixed income holdings
  • Trade with informed confidence regarding the weighted mid-point pricing of securities they may consider buying or selling.

 

A Better Bond Market

DelphX_Whitepaper_thumb.jpg Default risk is too concentrated. The market is nontransparent. Too few issues can be protected. DelphX addresses these problems, providing guaranteed credit protection, deeper market liquidity and enhanced investor yields.

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