Here’s a question for the muni folks: what fraction of the traded volume of a municipal bond happens before the final OS has been disseminated via EMMA/MSRB? We pulled together our trade and reference data to find out.
Taking every bond whose OS was published between Apr 1st and Aug 1st, and comparing the total traded volume before the OS publication date and in the 2 months after/on the OS publication date, we find that, on average, 80% of the traded volume happens before the OS is even published. The histogram below across all bonds in this universe shows that, indeed, the distribution is skewed towards mostly all the trading volume happening before a final OS is even publicly available.
As a reference data provider, here at Terrapin we spend a lot of our time focusing on going from final OS to reference data as fast as possible, but the pre-OS security availability is just as important. This week we are rolling out access to pre-OS reference data, for when an identifier already exists and basic reference data can be provided but a final OS is not available yet. This will allow our customers to start trading and analysing a bond as soon as possible in order to capture the initial burst of activity.
If you would like to access the data that we used to perform this analysis, get in touch to learn more about our data services.
Technical notes:
- 10,169 bonds that fit the above criteria were taken for this calculation;
- We excluded any trades whose volume was not reported;
- This analysis is restricted to 2 months after OS publication, so conclusions may differ when looking at the volume throughout the life of the bond.