The National Association of Securities Dealer (NASD) and Bloomberg are jointly launching two new corporate bond indices: the NASD-Bloomberg Active Investment Grade U.S. Corporate Bond Index and the NASD-Bloomberg Active High Yield U.S. Corporate Bond Index.
Both are generated solely from transactions prices of actively traded bonds as opposed to quotes or estimated prices.
Index data can be accessed free of charge through NASD websites as well as being available to Bloomberg users. Each index provides values for total return, price, yield and volume with changes from the previous close. Transaction data is derived from NASD’s Trace (Trade Reporting and Compliance Engine), which collects and disseminates transaction data on all OTC corporate bond activity comprising approximately 22,000 transactions or $18 billion daily. Registered broker/dealers are required to report all corporate bond transactions to Trace within 15 minutes of execution, and the transaction data is immediately disseminated to the public. Bloomberg news will also distribute daily Trace-derived corporate bond market reports on its financial wire.
The NASD hopes these indices will increase transparency in these markets for the retail market, which is responsible for 65% of trading activity.