MarketAxess has launched an index to inform market participants of trends in liquidity and transaction costs in the credit markets.
The MarketAxess Bid-Ask Spread Index (BASI) is designed using a proprietary methodology and tracks the spread differential between buy and sell trades of the most actively traded corporate bonds over time.
The index is calculated daily using executed trade data from publicly-disseminated FINRA TRACE data and also incorporates trade data from the MarketAxess trading system.
The BASI has been developed for US high grade, high yield and emerging market bonds and can also be broken down by trade size bucket.
“One of the questions we frequently get from our clients is whether we could help them measure and quantify levels of liquidity in the corporate bond market,” says Alex Sedgwick, head of research, in a post on the new MarketAxess Research blog. “With BASI we wanted to create an objective, quantifiable benchmark against which we could measure liquidity over time and across credit instruments, to help inform our clients' market research and analysis.”