TradeWeb Readies Trade Data Feed

Multi-dealer bond trading platform Thomson TradeWeb will launch a feed of corporate bond trade data later this month that will combine data from the Trace reporting utility with additional calculated values from TradeWeb to improve transparency in the corporate credit markets, officials tell Inside Market Data.

The feed, dubbed TradeWeb Credit Data Feed (TCDF)—previously referred to as Trace+ (IMD, July 24)—will complete internal quality assurance testing on December 8, and will be available by the middle of the month, says Ben Fortunato, director of TradeWeb market data.

The content from the feed will also be available via parent Thomson Financial's Thomson One market data application.

The feed will redistribute the NASD's Bond Trade Dissemination Service, which carries trade data reported via the Trace system. On top of that, TCDF will also provide other values to increase transparency, such as spreads, credit curves and calculated prices for illiquid bonds that trade less regularly.

"The reasons that people would subscribe to the TradeWeb version is that we enhance it to provide more transparency. In addition to the bond price, we calculate the spread… based on what we know about the market, as well as many other metrics. We also include volumes on the feed," based on total volumes traded in a credit over TradeWeb each day, Fortunato says.

"For example, in the high-grade market, bonds don't trade on price, they trade on spread—so the price is not as transparent as it can be. TradeWeb calculates the spread at the time of the trade," he says. "The value metrics we add create color for anyone trying to understand trading in a particular bond or name."

"We apply internal models… to price around 7,000 bonds three times per day," he says. "We will plot trades for individual company names. Typically, not all bonds from an issuer trade every day. Based on our knowledge of the market, we are able to price bonds that didn't trade using trades for bonds from the same company as key input. We do that by creating issuer credit curves [for a company overall]."

These pricings are important in the process of determining best execution by providing a price in which middle-office and risk management staff can have confidence on a daily basis, Fortunato says.

Volume data is also an important addition for users to be able to gauge demand, Fortunato says. "The [Trace] feed is very raw. There is a lot of noise on the feed, because all trades—from interdealer to institutional to retail—are reported, so pricing is all over the place and you never know the exact volume traded in a particular bond." He says the vendor realized there was demand for homogenized Trace data when customers of TradeWeb's corporate curve downloads began asking for a supply of Trace data also.

As such, the feed will combine streaming and snapshot elements, because Trace data is distributed in real-time as trades occur, while TradeWeb's valuations will be delivered three times per day. Recipients of the Trace component of the feed will need to agree a license for the data directly with NASD.

The feed, which is delivered via the Internet, is an extension of the same protocol as used by BTDS, so once a user firm installs TradeWeb's software on-site to receive and interpret the feed, those that have used BTDS-format data before should have no problem processing the feed, Fortunato says.

Going forward, Fortunato says that he envisions the feed becoming the definitive source of consolidated credit trade data, and expects other providers of credit data to want the feed to carry their data. "European credit started trading on TradeWeb in 2006, so that will probably be the next type of data that we put on our credit feed," he says. "But we will also need other types of data that TradeWeb can't necessarily create, so we will talk to other players about those."