Transparency and insights through data science and emerging technology
QMarks: Trade Benchmark Data
Demand for more sophisticated fixed income benchmark data has never been greater.
BondWave employs its industry-leading calculation engine to create a Fair Market Value benchmark data set across all reported bond transactions using the regulatory-prescribed Prevailing Market Price methodology.
This data set provides a unique, quantitative perspective into the traditional world of fixed income. These benchmarks support transaction cost analysis, as well as surfacing trends in liquidity and execution quality.
Fair Market Value Benchmarks:
Fair Market Value benchmark data sets are available for every reported transaction in the following markets:
- Corporate – Institutional/Retail
- Municipal – Institutional/Retail
- Agency – Institutional / Retail
- 144A – Institutional / Retail
QTrades: Enriched Trade Data
BondWave’s proprietary algorithm provides enriched corporate and municipal bond trade data and trade indices so you can to conduct analyses and calculations with a new level of confidence.
Side of market designations and trade pairing allow for a more rigorous spread and markup analysis.
Enriched data sets:
- Dealer-to-Dealer Bid/Ask Spreads
- Customer-to-Customer Bid/Ask Spreads
- Mark-Ups / Mark-Downs
QTrades is a critical ingredient in the Effi Transaction Analytics suite. Data feeds are also available to support Transaction Cost Analysis and Best Execution requirements.
- Trade Size
- Product Type
QCurves: Municipal Yield Curves
Take the guesswork out of your analysis with QCurves — the industry’s first transaction-based yield curves.
Qualitative yield curves are based on surveyed opinions and associated biases, and even with 30,000+ trades reported daily, the publicly available data provides little meaningful context for price discovery without extensive manipulation.
Enter QCurves — a game-changing yield curve product based on quantitative assessments of publicly available municipal trade data from the MSRB.
- Quantitative – based on measurable, quantitative assessment as opposed to opinions and surveys
- Transparent – based on observable datasets
- Flexible – enough to provide investors with ways to navigate the murky waters of municipal relative value analysis
- Comprehensive – reflecting 80-85% of daily trading activity
- Immediate – curves can be created “intra-day”
QCurves empower you to identify value for either a single security or across a group of securities. Thanks to a consistent methodology, they make it easy to compare benchmarks at any point in time and identify trends.
QScores: Comparable Bonds
BondWave has been applying advanced data science and machine learning to major challenges for years. That’s why we are a leader in fixed income—and it’s also why we have created QScores, another example of our commitment to delivering true fixed income transparency.
QScores identifies the most comparable bonds, providing a ‘closest to the pin’ calculation that is unmatched in the industry.
Utilizing our proprietary algorithms, QScores:
- Profiles each bond, in detail
- Scans massive amounts of historical trading behavior, processing that data through our sophisticated attribute analysis engine
- Supplies a comprehensive bond comparison
With QScores, your firm will readily comply with regulatory guidelines regarding definition of similar/comparable bonds, aiding with mark-up disclosure and best execution.
QScores is implemented as a customizable and flexible software setting that’s part of our PMP solution and our Market Calculator.