Virtu signs up two bond ETF issuers for new NAV pricing tool

Dan Barnes

Exchange-traded fund (ETF) issuers Charles Schwab Investment Management and WisdomTree Asset Management are now using the eNAV ETF analytics tool, developed by electronic liquidity provider Virtu Financial and supported by bond market operator MarketAxess Composite+, an AI-powered algorithmic pricing engine for corporate and emerging market bonds.

Rolled-out in Q1 2020, Virtu’s eNAV ETF analytics tool aims to provide real-time transparency for ETF valuations by calculating the bid and ask prices of ETFs based on their underlying components and/or proxy assets, helping to assess the net asset value (NAV). As a complement, Composite+ combines data from the US post-trade tape, TRACE, and proprietary MarketAxess data to produce a two-sided market for over 28,000 instruments globally. Updated every 15 to 60 seconds, depending on the liquidity of the instrument, the Composite+ engine generates nearly 30 million levels per day covering 90-95% of trading activity in its markets.

“We are excited that major ETF issuers understand and value the many benefits eNAV delivers,” said Douglas Cifu, co-founder and CEO of Virtu Financial. “By joining forces with MarketAxess we are empowering issuers to better understand market value and reliably monitor their ETFs in support of high quality and efficient execution by their investors. As long-time advocates for transparency, we believe eNAV will provide even greater clarity in ETF secondary market pricing and become the industry standard.”

Market volatility in March 2020 challenged many firms’ ability to calculate the NAV of their funds, with many ETFs experiencing a dislocation between the price at which they were trading and the value of the underlying assets in their portfolio.

Virtu’s eNAV supports a variety of trading functions including pre-trade price discovery and execution consultation, liquidity provision, post-trade transaction cost analysis, auto-execution and crossing. Coverage includes US-listed ETFs with domestic and international equities, commodity and fixed income holdings and can facilitate many use cases.

Chris Concannon, president and COO of MarketAxess, said, “As institutional investors increasingly adopt ETFs as portfolio tools, real-time portfolio pricing will be essential for execution efficiency.”

The eNAV ETF streaming product featuring MarketAxess Composite+ is accessible via Virtu’s online client Portal which includes access to a streaming application programming interface (API).

©The DESK 2020