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ICE Fixed Income Monthly
November 2022

ICE Fixed Income Monthly Report

In this edition, we bring you our latest sponsored report with Coalition Greenwich which examines the evolution of data and technology being used by buy-side firms. You can also listen to our VP of Fixed Income Corporate Development Michele Nicoletta on the latest trends in fixed income.

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Amanda Hindlian
Amanda Hindlian
President, Fixed Income & Data Services

ICE

The $24 trillion U.S. Treasury market has been in the spotlight, with liquidity concerns weighing on a market that is crucial to overall confidence. There’s been speculation that a breakdown in Treasury trading could ripple through global markets — with earlier tumult in U.K. Gilts possibly offering a preview, albeit on a smaller scale. Yet for all the attention on Treasuries, there’s a market that is a close second in terms of size and should be examined for similar vulnerabilities: the $12 trillion U.S. MBS market.

As I noted in my earlier commentary, the Fed’s attempt to shrink its balance sheet through quantitative tightening means it is intentionally stepping away from a bond market it has propped up for a long time and in record amounts. Doing so when rates are being hiked at a historically fast pace could have unintended amplification effects.

So, what red flags am I watching for? ICE’s Liquidity Indicators service uses inputs like price volatility, bid-ask spreads and observed trading volumes to generate metrics that can help quantify the ease (and cost) at which assets can be bought or sold in the marketplace. From a liquidity standpoint, the trend is clear: as seen in the charts, all three are moving in the wrong direction. Given the relationship between MBS pricing and borrowing rates offered to residential home buyers, worsening liquidity could harm household finances.

There are some reasons for optimism though. For example, mortgage rates recently saw their biggest three week drop in 14 years — a welcome reprieve for buyers. And while it will take time for tighter monetary policy to work its way through the system, the rate of growth in inflation has begun to slow, allowing Federal Reserve Chair Powell to signal that the pace of rate increases is likely to slow as well.

Agency MBS TBA

Bid/Ask

Price Volatility

Average Daily Trade Volume

Source: ICE Data Services


Elsewhere in bond markets

Transforming today’s fixed income markets

Fixed income markets have an acute need for better analytics. Amid growing digitization, a proliferation of data means many buy-side firms are grappling with how to best process, analyze and glean insights from the information they consume. Some have turned to evaluated pricing and advanced technology to find liquidity and navigate volatility, amid an uncertain macroeconomic outlook. Others are charting a hybrid approach to data management. So how has the role of pre-trade information changed? And what’s next in terms of cloud and API adoption? Our sponsored report with Coalition Greenwich examines the evolution of data and technology being used by buy-side firms.

Read the report

ICE Fixed Income Forum - Sessions Replay

We held the inaugural ICE Fixed Income Forum at the iconic New York Stock Exchange. The forum brought together industry leaders to talk about the latest trends and challenges in the fixed income market. It also featured best practices from industry peers on finding efficiencies and automation across the front, middle and back office, as well as discussion about the regulatory landscape and the impact of ESG on fixed income investments. Sessions and additional resources are available on-demand.

Watch now

ICE Trading Analytics

Our director of business development Pedro Geri explains why there is an increased need for vast amount of pricing data and robust trading analytics in the fixed income market and how ICE’s trading analytic solutions can help support trade decisions.

Watch the video

Fixed income: from trading-centric to data-centric

Our vice-president of fixed income corporate development Michele Nicoletta explains how data and technology has changed the fixed income market structure and the skill sets that are required by fixed income managers.

Listen to the podcast

Related solutions


Best Execution Service

A statistical distribution approach for measuring bond trade execution quality, our Best Execution Service utilizes ICE’s evaluated prices to help clients monitor trading activities and to help measure trading effectiveness across the growing number of venues and protocols more closely, which can assist users with meeting regulatory obligations.

Municipal Bonds

Munis are a highly fragmented market, where data can be scarce and inconsistent. The challenges created by one million active securities, over 50,000 issuers and fewer than 1% of munis trading daily mean new ways of doing business have been a long time coming. ICE’s expertise, data and technology help connect muni market participants to new opportunities.

This material contains information that is confidential and the proprietary property and/or a trade secret of Intercontinental Exchange, Inc. and/or its affiliates (the “ICE Group”), is not to be published, reproduced, copied, modified, disclosed or used in any way without the express written consent of the ICE Group. This document is provided for informational purposes only. The information contained herein is subject to change and does not constitute any form of warranty, representation, or undertaking. Nothing herein should in any way be deemed to alter the legal rights and obligations contained in agreements between the ICE Group and its respective clients relating to any of the products or services described herein. Nothing herein is intended to constitute legal, tax, accounting, or other professional advice.

The information contained herein is provided “as is” and the ICE Group makes no warranties whatsoever, either express or implied, as to merchantability, fitness for a particular purpose, or any other matter. The ICE Group makes no representation or warranty that any data or information (including but not limited to evaluated pricing) supplied to or by it are complete or free from errors, omissions, or defects. Without limiting the foregoing, in no event shall the ICE Group have any liability for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits) in connection with any use of and/or reliance on the content of this document even if advised of the possibility of such damages.

Trading and execution services are offered through ICE Bonds Securities Corporation or ICE Bonds member FINRA, MSRB and SIPC. The information found herein, has been prepared solely for informational purposes and should not be considered investment advice, is neither an offer to sell nor a solicitation of an offer to buy any financial product(s), is intended for institutional investors only and is not intended for retail customer use.

Trading analytics available from ICE Data Pricing & Reference Data are a point in time output and as such dependent on and take into account the information available to ICE Data Pricing & Reference Data at the time of calculation. ICE Data Pricing & Reference Data does not have access to all relevant trade-related data or dealer quotes, and the utility of the output may diminish depending upon amount of available data underlying the analysis. The inputs utilized in each of the trading analytics services described herein depend on the methodologies employed by each such service and may not be the same as the inputs used in the other trading analytics services. There are many methodologies (including computer-based analytical modelling) available to calculate and determine information such as trading analytics described herein. ICE Data Pricing & Reference Data’s trading analytics may not generate results that correlate to actual outcomes, and/or actual behavior of the market, such as with regard to the purchase and sale of instruments. There may be errors or defects in ICE Data Pricing & Reference Data’s software, databases, or methodologies that may cause resultant data to be inappropriate for use for certain purposes or use cases, and/or within certain applications. Certain historical data may be subject to periodic updates over time due to recalibration processes, including, without limitation enhancement of ICE Data Pricing & Reference Data’s models and increased coverage of instruments. Although ICE Data Pricing & Reference Data may elect to update the data it uses from time to time, it has no obligation to do so.

Fixed income evaluations, continuous evaluated pricing, end-of-day evaluations, evaluated curves, model-based curves, market sentiment scores, and Fair Value Information Services related to securities are provided in the US through ICE Data Pricing & Reference Data, LLC and internationally through ICE Data Services entities in Europe and Asia Pacific. ICE Data Pricing & Reference Data, LLC is a registered investment adviser with the US Securities and Exchange Commission. Additional information about ICE Data Pricing & Reference Data, LLC is available on the SEC’s website at https://www.adviserinfo.sec.gov. A copy of ICE Data Pricing & Reference Data, LLC’s Form ADV is available upon request.

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