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Tradeweb launches iNAV calculation service, adopted by BlackRock

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Tradeweb Markets has announced it has launched a market data service to calculate real-time Indicative Net Asset Values (iNAVs) for ETFs. BlackRock became the first ETF issuer to use Tradeweb iNAVs for its iShares ETF suite in Europe, which are publicly available via Bloomberg and Refinitiv as of February 6th, 2023.

“We are excited to launch a comprehensive and reliable iNAV calculation service for ETFs, using real- time prices from our leading trading platform,” says Enrico Bruni, Head of Europe and Asia Business at Tradeweb. “Our breadth of product coverage, depth of price contributions, and timeliness of quotes position Tradeweb iNAVs to become the market’s preferred solution for intraday ETF evaluation, which could ultimately boost trading confidence in the ETF market.”

Institutional investors continue to adopt ETFs for their flexibility, intraday liquidity, easy access to diversified baskets of securities, and low trading costs, Tradeweb writes. Institutional European ETF total notional volumes on Tradeweb have grown by an annualized rate of 32 per cent over the last five years, a trend particularly driven by fixed income ETFs, even during challenging conditions for the underlying bond markets.

iNAVs provide intraday indications of an ETF’s value based on the market price of its constituents, and are calculated and published every 15 seconds during trading hours. Accurate, robust iNAVs can increase market transparency by helping investors to assess whether an ETF is being fairly priced. As a result of ETFs’ rising popularity, Tradeweb has experienced growing demand from ETF issuers and institutional clients for an iNAV calculation service that allows investors to efficiently evaluate their positions, make better-informed trading decisions, and enhance their Transaction Cost Analysis (TCA).

“What makes Tradeweb iNAVs unique is the data source and quality, especially for fixed income ETFs,” says Lisa Schirf, Global Head of Data & Analytics at Tradeweb. “They are based on executable streaming bond prices, so they provide a more immediate and realistic view of the ETF market at any given point in time. This is hugely valuable during volatile market conditions, and we are proud to see the world’s largest ETF issuer, BlackRock, adopt our iNAVs right from the start.”

The firm writes that the Tradeweb iNAV calculation for fixed income ETFs applies a waterfall methodology prioritising live price contributions from Tradeweb’s platform and using Tradeweb’s Automated Intelligent Pricing (Ai- Price), which delivers advanced algorithmic reference pricing. The process is similar to establishing a fund’s official closing NAV, but is performed intraday. Tradeweb applies a similar approach to produce iNAVs for equity, commodity and fund of fund ETFs.

“We are very supportive of Tradeweb, as a leading electronic trading platform, leveraging its strengths to bring greater transparency to ETF investors through the provision of iNAVs for our UCITS iShares ETF range,” says Jason Warr, Global Co-Head of ETF Markets at BlackRock. “We are continually working to enhance the trading environment and overall market efficiency for ETFs. This is particularly true for fixed income ETFs and we believe Tradeweb’s market insight can help develop further ETF market efficiency for bond ETFs, and across other asset classes.”

Tradeweb plans to extend its iNAV calculation service across products and geographies in close collaboration with clients. In addition to single iNAV prices, which are publicly available for transparency purposes, Tradeweb offers an enhanced iNAV data feed product comprising iNAV Bid, iNAV Mid, and iNAV Ask values. The firm writes that these can help investors monitor trading thresholds, provide input to new and existing trading algorithms, and improve TCA. They can also serve as reliable indicators of ETF premiums and discounts, as well as an independent evaluation of internal fair value models, the firm says.

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