Interactive Data European ABS/MBS Pricing System

PRESS RELEASE: Interactive Data To Offer Significantly Increased Coverage of Euro ABS/MBS

Click here to see the press release on the Interactive Data Pricing and Reference Data website.

Customer Profile

Interactive Data Corporation (NYSE:IDC) is a leading provider of financial market data, analytics and related services. IDC's Pricing and Reference Data business was looking to add new capabilities to its product by increasing its coverage of European Asset-Backed Securities (ABS) and Mortgage-Backed Securities (MBS).

Business Situation

In order to grow its European ABS and MBS business, IDC needed to create a new platform that would enable its evaluators to apply their research and analysis to the portfolio of instruments. The system needed to provide evaluators with ways to model market data, manage cashflow generation parameters and to refine the pricing parameters, at sector, deal and tranche levels. It was particularly important that the system was able to provide a complete audit trail of all data and analytics that went into each intra-day and published price, as well as ensuring that every single price could be created at any point in time. Additionally, the system needed to be flexible enough to support a variety of analytic libraries and other instrument types.

Solution Description

Lab49 was engaged to work closely with the New York and London based mortgage evaluation businesses to design and deliver the pricing platform. We found that the US business had established workflows whose pattern could be tailored to match the needs of the European market.

The solution was developed using an iterative development process whereby Lab49 would develop the functionality in 30-day increments, allowing the US and European business stakeholders to validate the application, provide feedback on the solution and to guide the next iteration's objectives.

The application itself is written using Spring Framework including Spring MVC running on JBoss and integrates with Hibernate and Oracle for persistence. The user interface is browser-based and utilized a number of components such as JSP, JSTL, HTML, Javascript, AJAX as well as some third-party UI components.

Much of the development effort was directed towards designing and building the user-functionality to model the multi-dimensional dynamics of the asset- and mortgage-backed securities markets, including their underlying collateral types. Users of the application are able to create arbitrary groups of cashflow and pricing parameters and apply them to instruments in a highly flexible manner, based on a variety of attributes of each instrument.

Lab49 designed an innovative event-driven workflow engine that allows evaluators to track and respond to changes in the market- and deal-level pricing information, and to track movements in security pricing in real-time based on user selected price and yield tolerances.

The project was completed in eight 30-day iterations.

Benefits

  • Supports on-demand pricing of portfolios of structured products intra-day
  • Provides multi-dimensional modeling of pricing parameters for user-defined sectors.
  • Inversion Of Control (IoC) provides configurability of functionality
  • Automates the gathering and validation of market data, descriptive information and bond ratings from multiple ratings agencies
  • Provides real-time monitoring of changes in market and pricing data, and their respective impact on the securities affected.