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.

QMarks Trade Benchmark Data - Distribution by Calculated Level
QMarks by Asset Type

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 - Enriched Trade Data - Mark-Up / Down by Trade Size
QTrades Bid / Ask Spread

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.

Asset Coverage:

  • Corporate
  • Municipal
  • Agency
  • 144A

Aggregated by:

  • Trade Size
  • Issuer/Obligor
  • Sector
  • Ratings
  • Maturity
  • Coupon
  • 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.

QCurves Municipal Yield Curves
Municipal AA QCurve Market Depth Chart

QCurves are:

  • 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.

QScores Comparable Bonds