Fixed Income materiality

Hey guys. I am currently in the process of building of a pricing process that determines materiality between vendor sources on fixed income asset classes: plain vanilla corps, High Yield, Munis, and structured

To give you an idea: Vendor A prices corp bond XYZ at 101 and Vendor B prices bond XYZ at 101.25. How do we know if that difference is material? And that's basically the driver in the first phase of this, determining when the difference warrants a red flag. I am trying to make this a moving tolerance level. I have played around with a few statistical measures like a Z-Score and financial measures like the Treasury rate based on the maturity of each security.

 

Thanks Martinghoul. I was afraid I was outsmarting myself, but that definitely makes sense to just use the bid-ask. Do you think any type of adjustments should be made based on the liquidity/confidence scores provided. Our secondary vendor provides similar rankings based on what Bloomberg offers in their bval function. I wonder if it's necessary to add a little more to the spread if the liquidity/confidence score is lower.

 

Officiis accusamus enim corrupti dicta. Quae rerum adipisci recusandae aut qui. Itaque officia labore sunt eum. Aspernatur veniam culpa reiciendis consequatur aut.

Career Advancement Opportunities

April 2024 Investment Banking

  • Jefferies & Company 02 99.4%
  • Goldman Sachs 19 98.8%
  • Harris Williams & Co. New 98.3%
  • Lazard Freres 02 97.7%
  • JPMorgan Chase 03 97.1%

Overall Employee Satisfaction

April 2024 Investment Banking

  • Harris Williams & Co. 18 99.4%
  • JPMorgan Chase 10 98.8%
  • Lazard Freres 05 98.3%
  • Morgan Stanley 07 97.7%
  • William Blair 03 97.1%

Professional Growth Opportunities

April 2024 Investment Banking

  • Lazard Freres 01 99.4%
  • Jefferies & Company 02 98.8%
  • Goldman Sachs 17 98.3%
  • Moelis & Company 07 97.7%
  • JPMorgan Chase 05 97.1%

Total Avg Compensation

April 2024 Investment Banking

  • Director/MD (5) $648
  • Vice President (19) $385
  • Associates (87) $260
  • 3rd+ Year Analyst (14) $181
  • Intern/Summer Associate (33) $170
  • 2nd Year Analyst (66) $168
  • 1st Year Analyst (205) $159
  • Intern/Summer Analyst (146) $101
notes
16 IB Interviews Notes

“... there’s no excuse to not take advantage of the resources out there available to you. Best value for your $ are the...”

Leaderboard

1
redever's picture
redever
99.2
2
Secyh62's picture
Secyh62
99.0
3
Betsy Massar's picture
Betsy Massar
99.0
4
BankonBanking's picture
BankonBanking
99.0
5
kanon's picture
kanon
98.9
6
CompBanker's picture
CompBanker
98.9
7
dosk17's picture
dosk17
98.9
8
GameTheory's picture
GameTheory
98.9
9
numi's picture
numi
98.8
10
Kenny_Powers_CFA's picture
Kenny_Powers_CFA
98.8
success
From 10 rejections to 1 dream investment banking internship

“... I believe it was the single biggest reason why I ended up with an offer...”