NEWS UPDATE
TRADING VENUES TECHNOLOGY
ICE to acquire fixed income
indices from BAML Goldman Sachs eyes wider AI
adoption in equities as it leads
$72 million H2O.ai investment
The MOVE index will become part of the
ICE Data Services business upon closure
of the deal.
U
S exchange group ICE has entered into an agreement
to acquire a suite of fixed income volatility indices
from Bank of America Merrill Lynch.
In a statement, ICE said that the Merrill Lynch Option
Volatility Estimate (MOVE) index and the accompanying
fixed income volatility indices will become part of the
ICE Data Services business. Terms of the deal were not
disclosed.
“The MOVE Index has a long history of providing strong
signals about bond market sentiment, and we’re excited
to have it become part of our portfolio of fixed income
indices,” said Lynn Martin, president and COO of ICE Data
Services. “MOVE’s unique ability to concisely measure
that sentiment will allow us to play a critical role in con-
tinuing to help our customers manage risk.”
Bank of America Merrill Lynch’s MOVE index measures
US interest rate volatility by tracking movement in US
Treasury yield volatility on current prices of one-month
over the counter (OTC) options on 2-year, 5-year, 10-year
and 30-year Treasuries. The associated indices track
different option expiries, and general volatility in the US
interest rate swap market.
“One can think of the MOVE as ‘the VIX for Bonds,”
Harley Bassman, who created the MOVE index in the
1990s, commented. “By its design, MOVE has the unique
ability to provide a signal for changing risk sentiment
in the fixed income markets. While I would not call it
predictive in isolation, rare is the case where a simulta-
neously low MOVE, flat yield curve and tight corporate
spreads are not soon followed by bothersome market
conditions.”
In 2017, ICE acquired Bank of America Merrill Lynch’s
global research fixed income indices, the second most
used fixed income indices by assets under management
globally at the time. ICE Data Services’ COO, Martin,
commented on the deal that the indices will provide the
exchange group’s customers with more choice.
Goldman Sachs European equity trading
head says the bank will adopt AI models
more broadly across its equities trading
division following investment.
G
oldman Sachs has led a $72.5 million funding round
in an artificial intelligence (AI) and machine learning
specialist, as the bank aims to adopt AI models more
widely within its equities trading business.
H2O.ai was founded in 2012 and works closely with
financial institutions and other major companies to
implement the AI technologies. The firm claims it has
helped clients, including the Commonwealth Bank of
Australia, Franklin Templeton, MarketAxess, PwC and
Wells Fargo, lead AI-based technology transformation
projects.
The funding from Goldman Sachs signals the US
investment bank’s desire to implement AI and machine
learning technologies further in its equities trading
business, according to its European equity trading head,
after working with H2O on its mission to ‘democratise’
AI technology.
“The results we’ve got with H2O are promising, we are
now looking at wider adoption of the AI models across
the equity trading floor for market making,” Erdit Hox-
ha, head of European equity trading at Goldman Sachs
Securities division, commented.
The latest funding round, in which Wells Fargo and
Nexus Ventures also participated, brings H2O.ai’s total
investment to $147 million. H2O.ai said it will use the
funds from the latest round to expand sales and mar-
keting globally, and simplify AI for business users with
new technologies.
“We’re thrilled to partner with the H2O.ai team on
their mission to democratise artificial intelligence,”
Jade Mandel, vice president of the Principal Strategic
Investments Group at Goldman Sachs, also commented.
“Their deep technical bench and customer centricity
make them well positioned to bring transparency and
efficiency to the world of prediction.”
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