A More Informed Picture of Market Liquidity In the U.S. Corporate Bond Market

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "A More Informed Picture of Market Liquidity In the U.S. Corporate Bond Market"

Transcription

1 MARKETAXESS ON MARKETAXESS BID-ASK SPREAD INDEX (BASI) A More Informed Picture of Market Liquidity In the U.S. Corporate Bond Market

2 MARKETAXESS ON MARKETAXESS ON is a forum for thought leadership and discussion on the subjects and issues that are shaping the evolution of electronic trading in the credit markets. With internal resources and third party experts, we are developing research, insights and ideas aimed at bringing new levels of innovation, connectivity and efficiency to the MarketAxess community of clients and dealers.

3 The MarketAxess Bid-Ask Spread Index (BASI) A New Way to Measure Market Liquidity in the U.S. Corporate Bond Market INTRODUCTION Regulatory changes are driving important shifts in the credit markets. The incoming Basel III capital requirements are limiting dealers ability to hold risk-weighted assets, such as corporate bonds, restricting their market-making abilities in those instruments, and thus reducing credit market liquidity and turnover. Confronted by the challenge of buying and selling bonds in these difficult markets, where opportunities for real return are scarce and trading costs are increasing, investors are seeking a more informed picture of market liquidity to help identify trading opportunities and reduce their execution costs. The MarketAxess Bid-Ask Spread Index (BASI) was developed to serve this need. EMPOWERING MARKET DATA MarketAxess Research developed the MarketAxess BASI as a way to quantify U.S. corporate bond market liquidity. This new approach enables a comparison of the prices where the most actively traded bonds are bought and sold over time. The development of the index was made possible by ever improving market data and driven by investor demand to realize greater trading efficiency. In 2002, the Financial Industry Regulatory Authority (FINRA) established the TRACE (Trade Reporting and Compliance Engine) consolidated trade tape for corporate bonds, for the first time shedding light on the prices at which bonds trade throughout the day. FINRA enhanced the tape in 2008 by adding buy and sell indicators for TRACE-reported trades, further improving price transparency. This enhancement also allowed for deeper levels of analysis to be performed on bond market flows and trading costs. Meanwhile, as institutional investors and broker-dealers have continued their search for ways to increase trading efficiency and reduce transaction costs, electronic trading grew to represent over 13% of the overall U.S. high-grade corporate bond market by the end of The rising demand for more efficient execution, better tools for transaction cost analysis, and new measures of market liquidity led MarketAxess to develop its proprietary index. Today, many of the world s largest asset managers use the BASI as a barometer of transaction costs as well as a snapshot of overall market liquidity.. 2

4 METHODOLOGY The MarketAxess BASI tracks a subset of 1,000 bonds selected on a quarterly basis that represent the most actively traded issues, as determined by a rank ordering process. The ranking is based on the number of times the bond has traded over several discrete time periods: the last year; each of the last 2 semi-annual periods; each of the last 4 quarters; and each of the last 12 months. The constituent bonds are exclusively institutional in trade size with a spread lower than 500 basis points in order to minimize outliers. For each constituent bond, the volume weighted average spread (VWAS) is calculated for investor-initiated buys or sells. The calculations exclude any bond not having a trade on both sides of the market, which indicates insufficient liquidity. The spread difference between buys and sells is calculated for every bond, and then an average of the differences is calculated to represent an estimate of the day s aggregate bid-offer spread. Daily point estimates are then used to calculate an implied index value using a LOWESS-procedure, a commonly used regression modeling method that stands for locally weighted scatterplot smoothing. On days when less than one percent of the constituent group can be priced, the index is not calculated. LIQUIDITY AND THE CORPORATE BOND MARKET Liquidity is a measure of the ease with which a bond can be traded and can be approximated by the overall cost of trading the bond. In over-the-counter (OTC) markets such as corporate bonds, the cost of trading is defined primarily by the difference ( spread ) between the price at which a broker-dealer is willing to buy a bond ( bid ) and the price at which it is willing to sell ( ask or offer ) the same bond. In addition to the credit risk associated with holding a particular bond, the bid-ask spread is related to the length of time a broker-dealer believes it will have to hold that bond before selling it. In order to facilitate fixed income trading for its institutional investor clients, a broker-dealer can either act as an agent or as a principal for a trade. An agent-based transaction is effectively risk-free for the dealer, as it seeks to find the opposite side of an investor clientinitiated trade and then execute both legs simultaneously, incurring little or no market exposure. Working as an agent, the dealer does not hold the bonds on its balance sheet, freeing it from having to commit capital. However, because of the illiquid nature of the corporate bond market, when on a typical day a relatively small number of bonds trade with any frequency 1, dealers traditionally act as a principal. In a principal-based transaction, the dealer executes a single side of the trade and, in many cases, holds the bonds until the other side of the trade is found at a later date. During this period, the dealer is subject to changes in the market prices of the bonds it holds and will price trades accordingly, thereby passing along a risk premium to the client for effectively renting its balance sheet. As such, the bid-ask spread serves as a proxy for corporate bond market liquidity. A NEW WAY TO MEASURE LIQUIDITY Tracking bid-ask spread movements is straightforward for individual bonds. However, for the purpose of an index, aggregating the bidask spread of multiple bonds to accurately represent the market as a whole is challenging. Most fundamentally, which bonds do you select when the majority trade infrequently? How do you weight each bond s bid-ask spread against others? At what frequency do you recalibrate the index? The approach of the MarketAxess BASI takes into consideration these and other factors to create an index that accurately tracks overall credit market cycles. In addition, the methodology (see left) can be applied by market participants in a variety of other ways. 1 On average, only 18 bonds trade on both sides (i.e. bought and sold) 10 times or more each day, representing just 12% of the overall daily trading volume for U.S. high-grade bonds. (Source: MarketAxess Research) 3

5 CREDIT MARKET CYCLES AND THE BASI The bid-ask spread of a bond fluctuates according to the issue s creditworthiness and changes in market volatility. The BASI, as a broad indicator of market liquidity and implied transaction costs, allows us to observe and explore these relationships further. Under normal market conditions when dealers can use their balance sheets freely to support market making for clients, the bid-ask spread is generally narrower, reflecting both a lower inventory risk for dealers and lower trading costs for investors. However, during periods of increased volatility, dealers tend to buy at lower prices and sell at higher prices, and bid-ask spreads tend to widen, reflecting the increased risk and transaction costs. HISTORICAL BID-ASK SPREADS The MarketAxess BASI typically reflects broader credit market cycles. When looking at historical bid-ask spread data, there is a fairly clear correlation between the index and specific events or periods where risk-taking by dealers and investors has been impacted. For example, the dramatic widening of the high-grade BASI in the middle of 2011 was driven primarily by the European sovereign debt crisis spilling over into the global corporate debt market. The chart shows two versions of the BASI. Since TRACE buy and sell data was only available starting in 2008, MarketAxess Research also applied the BASI methodology to historical trades executed over the MarketAxess trading platform from The MarketAxess BASI also allows us to view the longer term trend. Although more recent bidask spreads have been narrow relative to the credit crisis peak, we can see that spreads remain at approximately twice the levels seen from , prior to the credit crisis. ADDITIONAL APPLICATIONS OF THE BASI The MarketAxess BASI can be created for specific market sectors, trade size categories and credit products, including U.S. high-grade bonds, high yield bonds and emerging markets bonds. The index can also be calculated on a daily, weekly, monthly or quarterly basis. Used in conjunction with TRACE net flow reports, the BASI helps market participants identify pockets of liquidity where opportunities to trade bonds more efficiently and at lower costs might be revealed /5/2001 3/5/2002 3/5/2003 3/5/2004 3/5/2005 3/5/2006 BASI (based on MarketAxess trade data) 3/5/2007 3/5/2008 3/5/2009 3/5/2010 3/5/2011 BASI (based on TRACE data) 3/5/2012 THE BASI AND E-TRADING The chart shows two variations of the MarketAxess BASI. The BASI chart in gold dating back to 2001 is plotted using MarketAxess trade data and represents the average Bid-Ask spread just for electronic trades on the MarketAxess platform over the period. The BASI chart in blue, starting in 2008, is compiled from TRACE data and represents the average Bid-Ask spread in the market as a whole. The difference between the two charts is equivalent to the difference in Bid-Ask spread achieved through electronic trading compared to the spread in the overall market. It is clear by comparing these two indices that consistently tighter Bid-Ask spreads are achieved when trading electronically. 4

6 IN SUMMARY Given market structure changes brought about by regulations and a market environment where opportunities to improve yield are scarce, institutional investors are more challenged than ever to actively manage their bond portfolios. According to MarketAxess Research, liquidity is concentrating around a relatively small number of more recent benchmark issues, or large new issues from well-known companies. These bonds tend to be more liquid, trading with greater frequency and tighter bid-ask spreads. Investors wanting to trade bonds that fall outside of this category, however, face a market that is less liquid and highly fragmented, where transaction costs can represent a greater percentage of their real returns. In such an environment, a new way to measure market liquidity is welcome. The MarketAxess BASI offers institutional investors a more informed picture of overall market liquidity. The BASI can also serve as an important tool in an overall strategy to help drive trading and cost improvement strategies. The MarketAxess High-Grade BASI is available at: For more information, please contact: Alex Sedgwick Head of Research Visit our website: 5

7

8 2013 MarketAxess Holdings Inc. (the Company ). Confidential and proprietary information of the Company. None of the information contained herein may be excerpted, copied, disseminated or otherwise disclosed to any other person without the Company s express written consent. MarketAxess Corporation, member FINRA and SIPC. MarketAxess Europe Ltd. is regulated by the Financial Conduct Authority.

A More Informed Picture of Market Liquidity In the European Corporate Bond Market

A More Informed Picture of Market Liquidity In the European Corporate Bond Market MARKETAXESS ON MARKETAXESS BID-ASK SPREAD INDEX (BASI) A More Informed Picture of Market Liquidity In the European Corporate Bond Market MARKETAXESS ON MARKETAXESS ON is a forum for thought leadership

More information

Fixed Income Liquidity in a Rising Rate Environment

Fixed Income Liquidity in a Rising Rate Environment Fixed Income Liquidity in a Rising Rate Environment 2 Executive Summary Ò Fixed income market liquidity has declined, causing greater concern about prospective liquidity in a potential broad market sell-off

More information

RISK MANAGEMENT IN CHANGING FIXED INCOME MARKET CONDITIONS

RISK MANAGEMENT IN CHANGING FIXED INCOME MARKET CONDITIONS IM Guidance Update January 2014 No. 2014-01 RISK MANAGEMENT IN CHANGING FIXED INCOME MARKET CONDITIONS I. Introduction Fixed income markets experienced increased volatility during June 2013 as investors

More information

The Bond Market: Where the Customers Still Have No Yachts

The Bond Market: Where the Customers Still Have No Yachts Fall 11 The Bond Market: Where the Customers Still Have No Yachts Quantifying the markup paid by retail investors in the bond market. Darrin DeCosta Robert W. Del Vicario Matthew J. Patterson www.bulletshares.com

More information

Addressing the Liquidity Challenge Corporate Bond New Issue Standardization

Addressing the Liquidity Challenge Corporate Bond New Issue Standardization Addressing the Liquidity Challenge Corporate Bond New Issue Standardization Joanne T. Medero Managing Director March 20, 2015 The challenge deteriorating liquidity in the corporate bond market Challenged

More information

Underneath the Hood of Fixed Income ETFs: Primary and Secondary Market Dynamics

Underneath the Hood of Fixed Income ETFs: Primary and Secondary Market Dynamics Underneath the Hood of Fixed Income ETFs: Primary and Secondary Market Dynamics BY DAVID B. MAZZA, VICE PRESIDENT, HEAD OF RESEARCH, SPDR ETFs AND SSgA FUNDS STATE STREET GLOBAL ADVISORS WITH THE SPDR

More information

The right bond at the right price: Understanding bond pricing. Smart bond buying could save you thousands.

The right bond at the right price: Understanding bond pricing. Smart bond buying could save you thousands. The right bond at the right price: Understanding bond pricing. Smart bond buying could save you thousands. Executive summary Compared with stock market investing, it s not always easy to know what is

More information

Fixed Income ETFs and the Corporate Bond Liquidity Challenge Greg Walker, CFA Managing Director, Head of ishares Business Development

Fixed Income ETFs and the Corporate Bond Liquidity Challenge Greg Walker, CFA Managing Director, Head of ishares Business Development Fixed Income ETFs and the Corporate Bond Liquidity Challenge Greg Walker, CFA Managing Director, Head of ishares Business Development March 3, 2015 For professional clients / qualified investors only Agenda

More information

(expenses that you pay each year as a percentage of the value of your investment)

(expenses that you pay each year as a percentage of the value of your investment) July 31, 2015 SUMMARY PROSPECTUS SAAT Core Market Strategy Allocation Fund (SKTAX) Class A Before you invest, you may want to review the Fund s prospectus, which contains information about the Fund and

More information

Market Linked Certificates of Deposit

Market Linked Certificates of Deposit Market Linked Certificates of Deposit This material was prepared by Wells Fargo Securities, LLC, a registered brokerdealer and separate non-bank affiliate of Wells Fargo & Company. This material is not

More information

Liquidity and the Development of Robust Corporate Bond Markets

Liquidity and the Development of Robust Corporate Bond Markets Liquidity and the Development of Robust Corporate Bond Markets Marti G. Subrahmanyam Stern School of Business New York University For presentation at the CAMRI Executive Roundtable Luncheon Talk National

More information

Put ETFs to work for your clients

Put ETFs to work for your clients Put ETFs to work for your clients Contents 2 What are ETFs? 4 Potential benefits of ETFs 5 Comparing ETFs and mutual funds 6 How ETFs work 11 ETFs and indexing Exchange-traded funds (ETFs) are attracting

More information

Heightened Bond Liquidity Risk is the New Normal. Shushanik Papanyan Senior Economist BBVA Research USA

Heightened Bond Liquidity Risk is the New Normal. Shushanik Papanyan Senior Economist BBVA Research USA Heightened Bond Liquidity Risk is the New Normal Shushanik Papanyan Senior Economist BBVA Research USA Houston, TX September 10, 2015 The Signs of Weakened Liquidity The erosion of liquidity is more of

More information

CAMRI-CAIA LUNCH ROUNDTABLE DISCUSSION Liquidity and the Development of Robust Corporate Bond Markets

CAMRI-CAIA LUNCH ROUNDTABLE DISCUSSION Liquidity and the Development of Robust Corporate Bond Markets CAMRI-CAIA LUNCH ROUNDTABLE DISCUSSION Liquidity and the Development of Robust Corporate Bond Markets Marti G. Subrahmanyam Charles E. Merrill Professor of Finance and Economics, Stern School of Business

More information

Liquidity and Transparency in the Danish Government Bond Market

Liquidity and Transparency in the Danish Government Bond Market 101 Liquidity and Transparency in the Danish Government Bond Market Jens Verner Andersen, Financial Markets, and Per Plougmand Bærtelsen, Market Operations SUMMARY During the autumn of 2003 a number of

More information

The Evolving High Yield Market

The Evolving High Yield Market The Evolving High Yield Market 214 3Q Newsletter When you re finished changing, you re finished. Benjamin Franklin Given the recent volatility in high yield markets, we thought it would be useful to examine

More information

Mawer Canadian Bond Fund. Interim Management Report of Fund Performance

Mawer Canadian Bond Fund. Interim Management Report of Fund Performance Interim Management Report of Fund Performance For the Period Ended June 30, 2015 This interim management report of fund performance contains financial highlights but does not contain either interim or

More information

Fixed Income ETFs: Navigating Today s Trading Environment

Fixed Income ETFs: Navigating Today s Trading Environment Fixed Income ETFs: Navigating Today s Trading Environment Karen Schenone, CFA Vice President, ishares Fixed Income Strategy Khoabane Phoofolo Vice President, ishares Capital Markets Today s Speakers Karen

More information

Exchange Traded Funds A Brief Introduction

Exchange Traded Funds A Brief Introduction Exchange Traded Funds A Brief Introduction spdrs.com What You Need to Know about ETFs ETF Basics Potential Benefits of ETFs ETFs versus Mutual Funds The Role of ETFs in Your Portfolio Our Next Steps Frequently

More information

Seix Total Return Bond Fund

Seix Total Return Bond Fund Summary Prospectus Seix Total Return Bond Fund AUGUST 1, 2015 (AS REVISED FEBRUARY 1, 2016) Class / Ticker Symbol A / CBPSX R / SCBLX I / SAMFX IS / SAMZX Before you invest, you may want to review the

More information

Liquidity in the Australian Treasury Bond Futures Market

Liquidity in the Australian Treasury Bond Futures Market Liquidity in the Australian Treasury Bond Futures Market Bobby Lien and Andrew Zurawski* Australian Treasury bond futures contracts are used by market participants to manage interest rate exposures. Relative

More information

9 Questions Every ETF Investor Should Ask Before Investing

9 Questions Every ETF Investor Should Ask Before Investing 9 Questions Every ETF Investor Should Ask Before Investing 1. What is an ETF? 2. What kinds of ETFs are available? 3. How do ETFs differ from other investment products like mutual funds, closed-end funds,

More information

Fixed Income Investments. Private Banking USA

Fixed Income Investments. Private Banking USA Fixed Income Investments Credit Suisse Securities (USA) llc Private Banking USA 2 Preservation of your wealth is our first priority. Introduction Fixed Income Investing Today In the last two decades, investors

More information

NOTHING BUT THE FACTS: U.S. BOND MARKET LIQUIDITY

NOTHING BUT THE FACTS: U.S. BOND MARKET LIQUIDITY NOTHING BUT THE FACTS: U.S. BOND MARKET LIQUIDITY This Nothing But the Facts statement by the Committee on Capital Markets Regulation seeks to provide clarity regarding recent changes in the liquidity

More information

Understanding the causes and implications of a less liquid trading environment. Executive summary

Understanding the causes and implications of a less liquid trading environment. Executive summary Fall 2015 TIAA-CREF Asset Management Reduced Documeent liquidity: title A on new one reality or two for lines fixed-income in Gustan Book markets 24pt Understanding the causes and implications of a less

More information

Trading Activity Fee (TAF) Rule Flow Equities

Trading Activity Fee (TAF) Rule Flow Equities Trading Activity Fee (TAF) Rule Flow Equities Is the transaction cancelled? Does the transaction involve a public offering? Is this a primary market transaction? Was the transaction executed outside the

More information

Nuveen Tactical Market Opportunities Fund

Nuveen Tactical Market Opportunities Fund Nuveen Tactical Market Opportunities Fund Summary Prospectus January 29, 2016 Ticker: Class A NTMAX, Class C NTMCX, Class I FGTYX This summary prospectus is designed to provide investors with key Fund

More information

BEAR: A person who believes that the price of a particular security or the market as a whole will go lower.

BEAR: A person who believes that the price of a particular security or the market as a whole will go lower. Trading Terms ARBITRAGE: The simultaneous purchase and sale of identical or equivalent financial instruments in order to benefit from a discrepancy in their price relationship. More generally, it refers

More information

Pricing and Strategy for Muni BMA Swaps

Pricing and Strategy for Muni BMA Swaps J.P. Morgan Management Municipal Strategy Note BMA Basis Swaps: Can be used to trade the relative value of Libor against short maturity tax exempt bonds. Imply future tax rates and can be used to take

More information

Closed-End Funds. A closed-end fund is a type of investment company. whose shares are listed on a stock exchange

Closed-End Funds. A closed-end fund is a type of investment company. whose shares are listed on a stock exchange a guide to Closed-End Funds A closed-end fund is a type of investment company whose shares are listed on a stock exchange or are traded in the over-the-counter market. Contents What Is a Closed-End Fund?...2

More information

September 2015. A Message to Morgan Stanley s Institutional Fixed Income Clients. Re: Fixed Income Trading Practices and Information

September 2015. A Message to Morgan Stanley s Institutional Fixed Income Clients. Re: Fixed Income Trading Practices and Information September 2015 A Message to Morgan Stanley s Institutional Fixed Income Clients Re: Fixed Income Trading Practices and Information This letter is part of our ongoing effort to provide transparency to our

More information

Regulatory Guidance Regarding Changes in Fixed Income Market Conditions

Regulatory Guidance Regarding Changes in Fixed Income Market Conditions Regulatory Guidance Regarding Changes in Fixed Income Market Conditions John V. O Hanlon Joshua Katz Dechert LLP Mutual Fund Directors Forum 2014 Policy Conference April 2-3, 2014 John V. O'Hanlon is a

More information

Exchange Traded Funds

Exchange Traded Funds LPL FINANCIAL RESEARCH Exchange Traded Funds February 16, 2012 What They Are, What Sets Them Apart, and What to Consider When Choosing Them Overview 1. What is an ETF? 2. What Sets Them Apart? 3. How Are

More information

at ICAP: RESET & ReMATCH

at ICAP: RESET & ReMATCH Basis Risk Mitigation services at ICAP: RESET & ReMATCH Guy Rowcliffe CEO RESET and BRM Group July 2012 Definition of basis risk Basis Risk is defined by the Derivative Consulting Group Glossary as: The

More information

Investment insight. Fixed income the what, when, where, why and how TABLE 1: DIFFERENT TYPES OF FIXED INCOME SECURITIES. What is fixed income?

Investment insight. Fixed income the what, when, where, why and how TABLE 1: DIFFERENT TYPES OF FIXED INCOME SECURITIES. What is fixed income? Fixed income investments make up a large proportion of the investment universe and can form a significant part of a diversified portfolio but investors are often much less familiar with how fixed income

More information

SHAPING THE FUTURE OF THE GLOBAL CREDIT MARKETS

SHAPING THE FUTURE OF THE GLOBAL CREDIT MARKETS MARKETAXESS ON SHAPING THE FUTURE OF THE GLOBAL CREDIT MARKETS VISION MARKET THE 1ST THE DECADE DESK PAVING THE WAY When we launched MarketAxess over fifteen years ago, institutional credit trading was

More information

The value of liquidity

The value of liquidity INVESTMENT MANAGEMENT The value of liquidity Implications for global debt instruments INVESTMENT PERSPECTIVES AUGUST 2014 A Contents Contents Executive summary 1 1. What is liquidity? 2 2. Modelling liquidity

More information

The FlexShares Corporate Bond Credit Score

The FlexShares Corporate Bond Credit Score THE CASE FOR INNOVATION IN CORPORATE BOND INVESTING The FlexShares Corporate Bond Credit Score LKOR SKOR INCOME RISK MANAGEMENT GENERATION Responding to investors needs, we have developed a new approach

More information

Understanding ETF liquidity and trading

Understanding ETF liquidity and trading Understanding ETF liquidity and trading ETF liquidity and trading can seem complex. For example, you may have heard that ETFs with lower average daily trading volumes (ADVs) aren t as liquid as others

More information

Market Microstructure: An Interactive Exercise

Market Microstructure: An Interactive Exercise Market Microstructure: An Interactive Exercise Jeff Donaldson, University of Tampa Donald Flagg, University of Tampa ABSTRACT Although a lecture on microstructure serves to initiate the inspiration of

More information

The package of measures to avoid artificial volatility and pro-cyclicality

The package of measures to avoid artificial volatility and pro-cyclicality The package of measures to avoid artificial volatility and pro-cyclicality Explanation of the measures and the need to include them in the Solvency II framework Contents 1. Key messages 2. Why the package

More information

Exchange Traded Funds A Brief Introduction

Exchange Traded Funds A Brief Introduction Exchange Traded Funds A Brief Introduction 1 What You Need to Know about ETFs 2 ETF Basics Benefits of ETFs ETFs vs. Mutual Funds The Role of ETFs in Your Portfolio Our Next Steps Appendix: FAQs 3 ETF

More information

Brokered certificates of deposits

Brokered certificates of deposits Brokered certificates of deposits A guide to what you should know before you buy Are brokered CDs right for you? Brokered CDs are designed for investors who: Want access to a wide selection of issuers

More information

Single Stock Futures

Single Stock Futures Single Stock Futures Single Stock Futures (or Individual Equity Futures) are exchange traded derivative instruments offering investors amplified exposure to price movements in a wide array of listed shares.

More information

Plus500CY Ltd. Order Execution Policy

Plus500CY Ltd. Order Execution Policy Plus500CY Ltd. Order Execution Policy Order Execution Policy This Order Execution Policy forms part of the Client Agreements as defined in the User Agreement. 1. CONDUCTING BUSINESS 1.1. We have a general

More information

Diminished Liquidity in the Corporate Bond Market: Implications for Fixed Income Investors

Diminished Liquidity in the Corporate Bond Market: Implications for Fixed Income Investors Diminished Liquidity in the Corporate Bond Market: Implications for Fixed Income Investors 3/16/215 Summary In the wake of the 27-8 Financial Crisis, investors increased their holdings of fixed income

More information

Fixed Income TCA. TCA and its use in fixed income reducing cost, bringing transparency and moving towards electronic trading in fixed income

Fixed Income TCA. TCA and its use in fixed income reducing cost, bringing transparency and moving towards electronic trading in fixed income Fixed Income TCA TCA and its use in fixed income reducing cost, bringing transparency and moving towards electronic trading in fixed income Why do Fixed Income TCA? MiFID II hasn t changed best execution

More information

Nuveen Intelligent Risk Conservative Allocation Fund will be liquidated after the close of business on June 24, 2016.

Nuveen Intelligent Risk Conservative Allocation Fund will be liquidated after the close of business on June 24, 2016. NUVEEN INTELLIGENT RISK CONSERVATIVE ALLOCATION FUND SUPPLEMENT DATED APRIL 18, 2016 TO THE SUMMARY PROSPECTUS DATED DECEMBER 31, 2015 Nuveen Intelligent Risk Conservative Allocation Fund will be liquidated

More information

Web. Chapter FINANCIAL INSTITUTIONS AND MARKETS

Web. Chapter FINANCIAL INSTITUTIONS AND MARKETS FINANCIAL INSTITUTIONS AND MARKETS T Chapter Summary Chapter Web he Web Chapter provides an overview of the various financial institutions and markets that serve managers of firms and investors who invest

More information

Nine Questions Every ETF Investor Should Ask Before Investing

Nine Questions Every ETF Investor Should Ask Before Investing Nine Questions Every ETF Investor Should Ask Before Investing UnderstandETFs.org Copyright 2012 by the Investment Company Institute. All rights reserved. ICI permits use of this publication in any way,

More information

Balanced Fund RPBAX. T. Rowe Price SUMMARY PROSPECTUS

Balanced Fund RPBAX. T. Rowe Price SUMMARY PROSPECTUS SUMMARY PROSPECTUS RPBAX May 1, 2016 T. Rowe Price Balanced Fund A fund seeking capital growth and current income through a portfolio of approximately 65% stocks and 35% fixed income securities. Before

More information

A guide to investing in hybrid securities

A guide to investing in hybrid securities A guide to investing in hybrid securities Before you make an investment decision, it is important to review your financial situation, investment objectives, risk tolerance, time horizon, diversification

More information

Transparency in the Canadian Fixed- Income Market: Opportunities and Constraints

Transparency in the Canadian Fixed- Income Market: Opportunities and Constraints Transparency in the Canadian Fixed- Income Market: Opportunities and Constraints Tran-Minh Vu M arket quality is important to policymakers because it directly affects the level of confidence and the willingness

More information

Myles Wealth Management, LLC. 59 North Main Street Florida, NY 10921 845-651-3070. Form ADV Part 2A Firm Brochure.

Myles Wealth Management, LLC. 59 North Main Street Florida, NY 10921 845-651-3070. Form ADV Part 2A Firm Brochure. Myles Wealth Management, LLC 59 North Main Street Florida, NY 10921 845-651-3070 Form ADV Part 2A Firm Brochure February 23, 2015 This Brochure provides information about the qualifications and business

More information

January 2016. A Message to Morgan Stanley s Institutional Commodities Clients. Re: Commodity Transaction Practices and Information

January 2016. A Message to Morgan Stanley s Institutional Commodities Clients. Re: Commodity Transaction Practices and Information January 2016 A Message to Morgan Stanley s Institutional Commodities Clients Re: Commodity Transaction Practices and Information This letter is part of our ongoing effort to provide transparency to our

More information

NEW TO FOREX? FOREIGN EXCHANGE RATE SYSTEMS There are basically two types of exchange rate systems:

NEW TO FOREX? FOREIGN EXCHANGE RATE SYSTEMS There are basically two types of exchange rate systems: NEW TO FOREX? WHAT IS FOREIGN EXCHANGE Foreign Exchange (FX or Forex) is one of the largest and most liquid financial markets in the world. According to the authoritative Triennial Central Bank Survey

More information

9 Questions Every ETF Investor Should Ask Before Investing

9 Questions Every ETF Investor Should Ask Before Investing 9 Questions Every ETF Investor Should Ask Before Investing 1. What is an ETF? 2. What kinds of ETFs are available? 3. How do ETFs differ from other investment products like mutual funds, closed-end funds,

More information

Index Options Beginners Tutorial

Index Options Beginners Tutorial Index Options Beginners Tutorial 1 BUY A PUT TO TAKE ADVANTAGE OF A RISE A diversified portfolio of EUR 100,000 can be hedged by buying put options on the Eurostoxx50 Index. To avoid paying too high a

More information

KKM ARMOR Fund Class A Shares (Symbol: RMRAX) Class I Shares (Symbol: RMRIX)

KKM ARMOR Fund Class A Shares (Symbol: RMRAX) Class I Shares (Symbol: RMRIX) KKM ARMOR Fund Class A Shares (Symbol: RMRAX) Class I Shares (Symbol: RMRIX) KKM U.S. Equity ARMOR Fund Class A Shares (Symbol: UMRAX) Class I Shares (Symbol: UMRIX) Prospectus June 2, 2014 The U.S. Securities

More information

Monetizing Accounts Receivable into Cash

Monetizing Accounts Receivable into Cash Monetizing Accounts Receivable into Cash How finance executives can protect against extended payment terms and improve their working capital in an online marketplace WP White Paper Page 2 Financial executives

More information

Positioning Fixed Income for Rising Interest Rates

Positioning Fixed Income for Rising Interest Rates Positioning Fixed Income for Rising Interest Rates Investment Case: High-Yield Bonds Hedged with U.S. Treasuries Market Vectors Investment Grade Floating Rate ETF Designed to hedge the risk of rising interest

More information

How Securities Are Traded. Chapter 3

How Securities Are Traded. Chapter 3 How Securities Are Traded Chapter 3 Primary vs. Secondary Security Sales Primary new issue issuer receives the proceeds from the sale first-time issue: IPO = issuer sells stock for the first time seasoned

More information

CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013

CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013 CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013 DATED AS OF MAY 15, 2013 Table of Contents Qualitative Disclosures Basis of Preparation and Review... 3 Risk

More information

Contents. ETF Reference Guide Page 2 The Stock Exchange of Mauritius

Contents. ETF Reference Guide Page 2 The Stock Exchange of Mauritius ETF Reference Guide Contents 1. Background 04 2. Introduction to Exchange Traded Funds 05 What are Exchange Traded Funds Why invest in Exchange Traded Funds as an alternative to other similar investments?

More information

Portfolio Margining. Welcome

Portfolio Margining. Welcome Welcome Portfolio Margining How the Biggest Change in Margin Rules in 40 years is Benefiting Hedge Funds, Proprietary Trading Groups and High Net Worth Investors Doug Engmann, Senior Executive Vice President,

More information

January 2011 Supplement to Characteristics and Risks of Standardized Options The February 1994 version of the booklet entitled Characteristics and Risks of Standardized Options (the Booklet ) is amended

More information

Exchange Traded Funds (ETFs)

Exchange Traded Funds (ETFs) Exchange Traded Funds (ETFs) Advisers guide to ETFs and their potential role in client portfolios This document is directed at professional investors and should not be distributed to, or relied upon by

More information

Understanding ETF Liquidity

Understanding ETF Liquidity Understanding ETF Liquidity SM 2 Understanding the exchange-traded fund (ETF) life cycle Despite the tremendous growth of the ETF market over the last decade, many investors struggle to understand the

More information

hange reates pportunity.

hange reates pportunity. hange reates pportunity. Fundamental changes in bond market structure have created a new liquidity-scape, and new opportunities to improve execution quality. Trading Venues Fixed Income A market structure

More information

INCOME VALUE: An industry solution to assessing the fair market value of Income Annuities. Frequently Asked Questions and Answers

INCOME VALUE: An industry solution to assessing the fair market value of Income Annuities. Frequently Asked Questions and Answers INCOME VALUE: An industry solution to assessing the fair market value of Income Annuities Q&A Frequently Asked Questions and Answers Section 1: What is it? What is INCOME VALUE? INCOME VALUE is the fair

More information

Seeking a More Efficient Fixed Income Portfolio with Asia Bonds

Seeking a More Efficient Fixed Income Portfolio with Asia Bonds Seeking a More Efficient Fixed Income Portfolio with Asia s Seeking a More Efficient Fixed Income Portfolio with Asia s Drawing upon different drivers for performance, Asia fixed income may improve risk-return

More information

AdvisorShares-Madrona Forward Domestic; Madrona Forward International; and Madrona Forward Global Bond ETF s

AdvisorShares-Madrona Forward Domestic; Madrona Forward International; and Madrona Forward Global Bond ETF s Date: June 22, 2011 BZX Information Circular 11-078 BYX Information Circular 11-078 Re: AdvisorShares-Madrona Forward Domestic; Madrona Forward International; and Madrona Forward Global Bond ETF s Pursuant

More information

Note 8: Derivative Instruments

Note 8: Derivative Instruments Note 8: Derivative Instruments Derivative instruments are financial contracts that derive their value from underlying changes in interest rates, foreign exchange rates or other financial or commodity prices

More information

Industry-leading Credit Risk Solutions

Industry-leading Credit Risk Solutions Industry-leading Credit Risk Solutions About Us Fitch Solutions provides a range of industry-leading products and professional development services to the global financial community. In addition to offering

More information

IFRS IC - POTENTIAL AGENDA ITEM REQUEST

IFRS IC - POTENTIAL AGENDA ITEM REQUEST Berlin, 4 August 2014 IFRS IC - POTENTIAL AGENDA ITEM REQUEST IFRS 13 The Fair Value Hierarchy Using quoted prices provided by third parties 1 The Issue IFRS 13 Fair Value Measurement defines fair value,

More information

What are Insurance Linked Securities (ILS), and Why Should they be Considered?

What are Insurance Linked Securities (ILS), and Why Should they be Considered? What are Insurance Linked Securities (ILS), and Why Should they be Considered? Presentation to the CANE Fall Meeting, September 2012 Swiss Re Capital Markets 1 What are Insurance Linked Securities? Natural

More information

ELECTRONIC TRADING GLOSSARY

ELECTRONIC TRADING GLOSSARY ELECTRONIC TRADING GLOSSARY Algorithms: A series of specific steps used to complete a task. Many firms use them to execute trades with computers. Algorithmic Trading: The practice of using computer software

More information

René Garcia Professor of finance

René Garcia Professor of finance Liquidity Risk: What is it? How to Measure it? René Garcia Professor of finance EDHEC Business School, CIRANO Cirano, Montreal, January 7, 2009 The financial and economic environment We are living through

More information

INFORMATION CIRCULAR: ALPS ETF TRUST

INFORMATION CIRCULAR: ALPS ETF TRUST INFORMATION CIRCULAR: ALPS ETF TRUST TO: FROM: Head Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders Nasdaq / BX / PHLX Listing Qualifications Department

More information

1. Trading costs for individuals who buy/sell municipal bonds are twice as high as they are for institutional investors.

1. Trading costs for individuals who buy/sell municipal bonds are twice as high as they are for institutional investors. MUNICIPAL BOND PRICING AND LIQUIDITY Lawrence E. Harris and Michael S. Piwowar recently released a study on municipal bond pricing. Mr. Harris is Chief Economist of the U.S. Securities and Exchange Commission.

More information

Enterprise Risk Management

Enterprise Risk Management Enterprise Risk Management Enterprise Risk Management Understand and manage your enterprise risk to strike the optimal dynamic balance between minimizing exposures and maximizing opportunities. Today s

More information

Understanding the Equity Summary Score Methodology

Understanding the Equity Summary Score Methodology Understanding the Equity Summary Score Methodology Provided By Understanding the Equity Summary Score Methodology The Equity Summary Score provides a consolidated view of the ratings from a number of independent

More information

BEST EXECUTION AND ORDER HANDLING POLICY

BEST EXECUTION AND ORDER HANDLING POLICY BEST EXECUTION AND ORDER HANDLING POLICY 1. Introduction 1.1. This Summary Best Execution and Order Handling Policy ( the Policy ) is provided to you (our Client or prospective Client) in accordance with

More information

Exchange-traded Funds

Exchange-traded Funds Mitch Kosev and Thomas Williams* The exchange-traded fund (ETF) industry has grown strongly in a relatively short period of time, with the industry attracting greater attention as it grows in size. The

More information

High Yield Bonds A Primer

High Yield Bonds A Primer High Yield Bonds A Primer With our extensive history in the Canadian credit market dating back to the Income Trust period, our portfolio managers believe that there is considerable merit in including select

More information

Managing High Yield public small caps with Robeco s corporate bond selection model COALA For professional investors only

Managing High Yield public small caps with Robeco s corporate bond selection model COALA For professional investors only ROCK note December 2010 Managing High Yield public small caps with Robeco s corporate bond selection model COALA For professional investors only By Sander Bus, CFA, portfolio manager Daniël Haesen, CFA,

More information

SPDR Wells Fargo Preferred Stock ETF

SPDR Wells Fargo Preferred Stock ETF SPDR Wells Fargo Preferred Stock ETF Summary Prospectus-October 31, 2015 PSK (NYSE Ticker) Before you invest in the SPDR Wells Fargo Preferred Stock ETF (the Fund ), you may want to review the Fund's prospectus

More information

Alternative Price Discovery Methods Mike Williams

Alternative Price Discovery Methods Mike Williams Alternative Price Discovery Methods Mike Williams (mike.williams@mj-w.net) Why is Price Discovery Important? Investors have confidence that: The price quoted is close to the true price The price is fair,

More information

New items for initial consideration IFRS 13 Fair Value Measurement The fair value hierarchy when third-party consensus prices are used

New items for initial consideration IFRS 13 Fair Value Measurement The fair value hierarchy when third-party consensus prices are used STAFF PAPER IFRS Interpretations Committee Meeting 16 17 September 2014 Project Paper topic New items for initial consideration IFRS 13 Fair Value Measurement The fair value hierarchy when third-party

More information

Trading CFDs with Trader Dealer ABN 17 090 611 680 (AFSL NO 333297)

Trading CFDs with Trader Dealer ABN 17 090 611 680 (AFSL NO 333297) Trading CFDs with Trader Dealer ABN 17 090 611 680 (AFSL NO 333297) Pages 1. Overview 3 2. What is a CFD? 3 3. Why Trade CFDs? 3 4. How Do CFDs Work? 4 4.1 Margin 4 4.2 Commission 5 4.3 Financing 6 4.4

More information

Financial Markets and Institutions Abridged 10 th Edition

Financial Markets and Institutions Abridged 10 th Edition Financial Markets and Institutions Abridged 10 th Edition by Jeff Madura 1 12 Market Microstructure and Strategies Chapter Objectives describe the common types of stock transactions explain how stock transactions

More information

Fiduciary Insights OPTIMIZING YOUR BOND PORTFOLIO THROUGH RISK FACTOR MODELING

Fiduciary Insights OPTIMIZING YOUR BOND PORTFOLIO THROUGH RISK FACTOR MODELING OPTIMIZING YOUR BOND PORTFOLIO THROUGH RISK FACTOR MODELING FIXED INCOME INVESTMENTS SPAN A BROAD RANGE OF SENSITIVITIES TO CHANGES IN YIELDS AND CREDIT SPREADS. Understanding how different types of fixed

More information

Basis Risk Mitigation in the New Regulatory Framework Washington, May 2011

Basis Risk Mitigation in the New Regulatory Framework Washington, May 2011 MEMORANDUM TO: File No. S7-08-11; S7-06-11 FROM: Andrew Blake Division of Trading and Markets RE: Meeting with Representatives from ICAP DATE: May 17, 2011 On May 17, 2011, representatives from the Securities

More information

American Funds Insurance Series Portfolio Series. Prospectus May 1, 2015. American Funds Managed Risk Global Allocation Portfolio

American Funds Insurance Series Portfolio Series. Prospectus May 1, 2015. American Funds Managed Risk Global Allocation Portfolio American Funds Insurance Series Portfolio Series Prospectus May 1, 2015 Class 4 shares American Funds Global Growth Portfolio American Funds Growth and Income Portfolio Class P2 shares American Funds Managed

More information

Form ADV Part 2A Disclosure Brochure

Form ADV Part 2A Disclosure Brochure Form ADV Part 2A Disclosure Brochure Effective: February 3, 2014 This Disclosure Brochure provides information about the qualifications and business practices of Congress Capital Partners, LLP ( Congress

More information

Market Making for Exchange Traded Funds. Corporates & Markets

Market Making for Exchange Traded Funds. Corporates & Markets Market Making for Exchange Traded Funds Corporates & Markets Commerzbank your trusted partner in the ETF market Since the start of the new millennium, exchange traded funds (ETFs) have experienced phenomenal

More information

EXCHANGE TRADED PRODUCTS (ETFs & ETNs)

EXCHANGE TRADED PRODUCTS (ETFs & ETNs) EXCHANGE TRADED PRODUCTS (ETFs & ETNs) Now, for the first time ever, all South Africa s ETFs & ETNs on a single website www.etfsa.co.za Everything you need to know about ETFs and ETNs Transact online all

More information

GUIDE TO INVESTING IN MARKET LINKED CERTIFICATES OF DEPOSIT

GUIDE TO INVESTING IN MARKET LINKED CERTIFICATES OF DEPOSIT GUIDE TO INVESTING IN MARKET LINKED CERTIFICATES OF DEPOSIT What you should know before you buy What are Market Linked CDs? are a particular type of structured investment issued by third-party banks. A

More information

Fund Management Charges, Investment Costs and Performance

Fund Management Charges, Investment Costs and Performance Investment Management Association Fund Management Charges, Investment Costs and Performance IMA Statistics Series Paper: 3 Chris Bryant and Graham Taylor May 2012 2 Fund management charges, investment

More information