Customer daily volumes in the corporate bond market appear to be printing increasingly to the close, mirroring equity market indexation, according to a report by BondWave.
Paul Daley
The latest Trade Insights piece, “Corporate Bond Volume Shift – More Fixed Income Equitisation?” reveals that since 2016, a growing number of corporate bond customer daily volume is printed in the last 15 minutes of market close, shifting to the 4pm window when Bloomberg Barclays changed the time it prices their US dollar denominated indexes in 2021.
Specifically, in 2021, the 4pm to 4:15pm Eastern window accounted for 9% of daily volume, growing to 12.3% so far in 2025.
This increase is markedly similar to the equity market, where almost 15% of the daily NYSE volume is concentrated to market close.
To explain this change in the corporate bond market, the report points towards index pricing shifts and a growth in portfolio trading as driving factors.
Currently, portfolio trading constitutes for more than 17% of all customer par traded thus far in 2025, with almost half of this being printed at either 4pm or later.
Similarly, in contrast to equities where there is a single clearing price printed at 4pm, the report indicated that the spread-to-treasury basis in fixed income may push traders in these markets to delay printing the trade until the 4pm treasury price becomes available.
Paul Daley, head of fixed income lab at BondWave and author of the report, said: “For any fixed income trade the price can be thought of as comprising two elements: the benchmark treasury price, plus some factor (the spread) that accounts for every way in which the bond differs from a treasury.
“By negotiating prices on a spread-to-treasury basis throughout the day and then pricing based on the 4pm treasury price, at least one of those two elements is neutralised for all traders who have their trades printed at 4pm. As a result, from a trade cost perspective, the market timing of executing the treasury element is isolated from the effectiveness of negotiating the spread for trades executed in this manner.”
Consequently, the report highlights that while there are similarities in the manner that while customer daily volumes in both equity and corporate bond markets appear to be increasingly printing at the close, there are still marked differences between the two, most notably the lack of a single market clearing price in fixed income.