The MTS bond trading platform announced today that it had awarded the contract to shape the design of its fixed income database to the ISMA Centre at The University of Reading in England. This followed an RFP from MTS.
MTS plans to use make the database
available both commercially and to academic institutions , in order to facilitate the study of the fixed-income markets.
MTS says the winning design effectively balances the needs of research institutions for content, data enrichment and ease of analysis with the needs of MTS for efficient production.
Research teams from European universities responded to the RFP, presenting their conceptual approach and research experience. Three of the outline proposals were short-listed for more detailed discussions. Besides The University of Reading, the other bids short-listed teams came from the University of Amsterdam in association with the Bocconi University, Milan, and the London Business School together with Queens’ University, Belfast.
“MTS data represent a rich source of information on the capital markets, but the data we currently distribute are fairly raw data and therefore require work by academics to merge or enrich them,” explains Robert Giffords, Chief Technology Officer of MTS. “The winning proposal will make MTS data much more accessible for academic research.”
For its efforts, the ISMA Centre will receive a monetary prize and free copies of the finished product under academic license for three years. MTS plans to provide the data, which will be available on CD-ROM or via the Internet later this year, on commercial terms, with special discounts for academic research. The Scientific Committee is separately reviewing proposals to provide three years of support for research institutions accessing the database. Results will be announced in mid-February.
The ISMA Centre’s winning proposal included a large block of anonymous tick-by-tick data to be produced every few years and usable for basic research; a small summary set of data available daily online or monthly through annual CD-ROM subscription; a larger set of detailed data, with aggregate values for total liquidity and anonymous details of trades executed available monthly; reference data for each instrument traded with details including: date of bond issue, structure, issue size, date benchmark status was achieved and credit ratings of issuer.
Doctor Alfonso Dufour, Lecturer in Finance, Research Coordinator for ISMA Centre, said: “The combination of our expertise in empirical research and MTS’ detailed data will produce the most comprehensive database available for research on European government bond trading. This will facilitate the production of wide ranging and reliable research which will be of value to securities firms and others interested in the efficient operation of European markets.”
In addition, members of the winning team at the ISMA Centre included: Richard Comotto, Visiting Fellow; Brian Scott-Quinn, Professor in Finance, Chair in Investment Banking, Director of ISMA Centre; Frank Skinner, Reader in Finance; Simone Varotto, Lecturer in Finance.
The Evaluation Committee was comprised of members of the MTS Scientific Committee, including Professor Marco Pagano, University of Naples; Professor Ernst-Ludwig von Thadden, Lausanne University; Professor Gustavo Piga, University of Macerata; Professor Bruno Biais, University of Toulouse.
In another effort to foster the development of fixed-income research in Europe, the MTS Scientific Committee is in the process of reviewing papers analysing financial markets submitted following its Call for Papers in 2002. Those papers selected will be presented at the first annual MTS Conference on Financial Markets at the Toulouse Business School/Toulouse University in France from 26th – 28th June 2003 at which the Fixed Income Database will also be formally launched.
MTS says the purpose of the MTS Scientific Committee is to act as a bridge between MTS and the scientific community, in three distinct but complementary ways. First, the Scientific Committee aims to bring the data and knowledge generated by the daily activity of this marketplace within reach of the research community. By facilitating access to this wealth of new, largely untapped data, the Scientific Committee aims to foster research on European bond markets. Second, the Scientific Committee organizes high-profile scientific conferences on topics in financial economics, with special focus on issues concerning bond markets in Europe, and supervises a series of working papers dealing with these issues. These working papers are posted in digital format on this web site. In these objectives, the Scientific Committee also aims to reinforce the ties between MTS and the university community of students and researchers. Third, the Scientific Committee brings its research input to bear on the strategic issues facing the MTS market, which range from the design of the market’s trading system and the development of new securities to issues of competition among financial marketplaces and the governance of exchanges.