Measuring the municipal bond market
What are the most important metrics for the municipal bond market? There are the daily interest-rate levels, for which the Thomson Reuters Municipal Market Data (MMD) AAA curves are the industry benchmark. There is the annual ranking of the largest new offerings, which was led by a $9.8 billion Texas issue in 2011. The credit rating agencies publish municipal bond default studies and charts of total securities by rating level. But for the macro view you need to turn to the overseer for muniland, the Municipal Securities Rulemaking Board, which recently published its own metrics in its Fact Book for 2011. At the broadest level, the MSRB metrics looked like this:
In 2011, the MSRB received data on approximately 10.4 million municipal trades, more than 130,000 disclosure documents and nearly one million interest rate resets.
Here’s the board’s answer to the question of why it collects this data:
The MSRB Transaction Reporting Program serves two major functions in the municipal securities market — price transparency and market surveillance. The implementation of RTRS in January 2005 created “realtime” transaction price transparency.
The MSRB has authority to collect and disseminate trade data, basically the price and size levels at which trades happen. I’m not sure what type of trade surveillance the MSRB does, and it would be interesting to learn more. The board’s other function — disclosing documents to benefit investor transparency — derives from its authority to regulate broker-dealers, since the MSRB has no authority to regulate the issuing entities. The interest-rate resets come from variable rate debt, and you can see those here.
The Fact Book chops and dices trade data in every way imaginable. For example, it reveals that the bonds that traded the most volume (par) last year were the two tax-exempt bonds ExxonMobil issued to build its refinery treatment plant in Louisiana. As I wrote last May, these are barely even “municipal” bonds.
The Fact Book is full of muniland tales. Check it out — it’s worth the study.