BondWave, a leading financial technology firm servicing the fixed income market, has calculated up to eight pricing benchmarks for every customer trade disseminated by FINRA and the MSRB for asset classes requiring mark-up disclosure dating back to 2018. This Universal PMP data set is part of BondWave’s Benchmark Data & Trading Indices (BDTI), now known as QMarksTM.
Starting with Q4 2020, BondWave began producing dashboards for each of the four covered asset classes (corporate, municipal, agency, and 144A bonds) with plans to expand coverage to securitized products (MBS, ABS, CMO, etc.).
A new feature was added to the dashboards in Q2 2021 showing the weighted average number of levels of the waterfall for which BondWave was able to produce a PMP calculation.
The dashboards will help market participants better understand trading trends in the fixed income markets.
Fourth Quarter 2021 UPMP Dashboards
Corporate
Observations:
- Corporate volumes eased slightly in the fourth quarter. That marks the third consecutive quarterly decline in corporate trading volume after a strong first quarter.
- Corporate bid/ask spreads remained stable in spite of lower volumes.
Source: BondWave BDTI data.
Municipal
Observations:
- Municipal trading volume rebounded in the fourth quarter after two successive quarters of decline.
- Municipal trading volume was strong in spite of a relatively flat new issuance market (+0.2% for the fourth quarter per MSRB).
Source: BondWave BDTI data.
Agency
Observations:
- Agency trading volume was strong in the fourth quarter.
- With the increase in volume came an increase in the average number of levels of the waterfall with data (from 4.4 to 4.6).
Source: BondWave BDTI data.
144A
Observations:
- Fourth quarter 144a volume was mixed (more trades, but less par traded).
- Bid/Ask spreads were stable in the fourth quarter.
Source: BondWave BDTI data.
