Overbond solves for SEC N-PORT regulatory requirement with new bond pricing and liquidity risk management automation

Overbond Ltd.
New regulatory requirements to price and monitor liquidity for all bond positions are forcing buy-side users to look for automation as manual reconciliation approach is not feasible.

Source: Overbond

TORONTO and NEW YORK – January 15, 2019 – Overbond Ltd., the first end-to-end fixed income markets fintech platform for AI predictive analytics, has launched COBI Pricing, a new proprietary bond pricing and liquidity risk management automation solution.

COBI (Corporate and Government Bond Intelligence) is a comprehensive suite of Overbond algorithms and analytics tools that systematically price primary bond quotations and secondary market bonds. COBI-pricing is an advanced three-phase AI algorithm ensemble engineered to measure best-fit correlations with respect to company or country fundamental credit valuation and secondary market pricing for their bonds across sector peers and markets conditions at large. Models are tuned for different liquidity scenarios. A variety of pre-processed inputs flow into COBI-Pricing’s algorithm, to generate bond pricing output.

“Over the past two years, we have witnessed profound changes in the fixed income marketplace with counterparties increasingly adopting quantitative investing and liquidity risk monitoring techniques” says Vuk Magdelinic, CEO of Overbond. “New regulatory requirements to price and monitor liquidity for all bond positions are forcing buy-side users to look for automation as manual reconciliation approach is not feasible”.

In 2017, SEC launched Liquidity Risk Management regulation that buy-side funds need to comply with mandating reporting and flagging of all fixed income positions as liquid, moderately liquid or illiquid. Due to the illiquid nature of the fixed income market, bond trades are relatively infrequent and consequently pricing data has a lot of gaps. This makes it especially hard to accurately report liquidity metrics to the regulator. Automation needs to be applied to fill the bond pricing and liquidity gaps accordingly to meet regulatory reporting compliance.

COBI-Pricing handles the problem of sparse bond pricing data, by filling the gaps with balance sheet fundamentals, peer sector benchmarks, and primary new issue quotations, Overbond extracts directly from a network of treasury groups it works with. Examining 15-year deep pricing history AI ensemble algorithm is then applied to get best fit price for bonds. Illiquid bond positions in portfolios with only minimal trading activity now have accurate price and liquidity metric for regulatory reports.

About Overbond

Founded in 2015, Overbond is transforming how global investment banks, institutional investors, corporations and governments connect and access fixed income market through advanced AI analytics. Overbond’s fully-digital platform and suite of AI algorithms (COBI) eliminates inefficiencies, provides price discovery and predictive analytics to all counterparties in the fixed income market.

The company’s growing client base includes buy-side institutions with over $2 trillion of assets under management globally, across both passive and active strategies as well as regulatory reporting regimes. As well as global corporate and government issuers with more than $20 billion in outstanding bonds.

Media Contacts

Stephen Miles
Overbond | Public Relations Director
+1 416 559-7101

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