MarketAxess has launched an index to enable market participants to identify trends in liquidity and transaction costs in credit markets.
The Bid-Ask Spread Index (BASI) uses a proprietary methodology to track the spread differential between buy and sell trades of the most actively traded corporate bonds.
The index tracks the spread over time and is calculated daily from executed trade data from FINRA TRACE, a public data source, as well as data from MarketAxess' own trading system.
The index tracks US high grade, high yield and emerging market bonds.
MarketAxess said the index was developed in response to client demand for a method to help them measure levels of liquidity in the corporate bond market.
Alex Sedgwick, head of research at MarketAxess, said: "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."
BASI data reaches back to late 2008 and shows a dramatic shift in spreads, which sat at almost 40bps on 3 November 2008, but then dived in 2009 as the financial crisis unfolded.
More recently, the index shows bid-ask spreads are on the up, rising from 7.55bps at the end of April 2013 to 9.95bps this week.