White Paper
CP+ for Munis
Methodology
CP+ for Munis
Methodology
2CP+ FOR MUNIS WHITE PAPER
AI-powered pricing for the full
municipal bond universe
CP+ for Munis is the most recent expansion of the award-winning CP+ pricing engine. It
builds upon its success in global credit, emerging and rates markets. Using AI-powered
algorithmic models, CP+ now provides real-time, accurate, and unbiased reference pricing
for tax-exempt and taxable municipal bonds. By leveraging public data and proprietary
MarketAxess platform data, alongside features engineered to capture the unique aspects
of municipal market microstructure, CP+ for Munis brings transparency to a historically
opaque market. CP+’s timely and consistent reference pricing allows for significant
efficiency gains and cost savings potential within traditional workflows, as well as helping
unlock newer protocols like Auto-X™ and Portfolio Trading, which are quickly gaining
relevance in today’s Muni markets.
Universe
The CP+ pricing engine covers all MSRB-reportable tax-exempt, AMT-subject, and taxable
bonds that have a fixed or zero-coupon and are not currently in default.
For modeling purposes, bonds are split into taxable and tax-exempt (including AMT)
universes and further divided into liquid and illiquid segments based on observed market
activity for the given instrument relative to other bonds in the universe. While illiquid
models cover more CUSIPs, liquid models handle most trade volumes due to high activity
in liquid instruments.
Figure 1: Instrument count and trade activity distribution by model group ( Jan – Feb 2025)
Model CUSIPs
covered
% eligible
MSRB volume
% eligible
MSRB count
Liquid Tax-Exempts 145,000 75.9% 75.7%
Illiquid Tax-Exempts 715,000 16.0% 19.2%
Liquid Taxables 8,000 6.0% 3.9%
Illiquid Taxables 68,000 2.1% 1.2%
Total ~940,000 100% 100%
AI-powered pricing for the full
municipal bond universe
CP+ for Munis is the most recent expansion of the award-winning CP+ pricing engine. It
builds upon its success in global credit, emerging and rates markets. Using AI-powered
algorithmic models, CP+ now provides real-time, accurate, and unbiased reference pricing
for tax-exempt and taxable municipal bonds. By leveraging public data and proprietary
MarketAxess platform data, alongside features engineered to capture the unique aspects
of municipal market microstructure, CP+ for Munis brings transparency to a historically
opaque market. CP+’s timely and consistent reference pricing allows for significant
efficiency gains and cost savings potential within traditional workflows, as well as helping
unlock newer protocols like Auto-X™ and Portfolio Trading, which are quickly gaining
relevance in today’s Muni markets.
Universe
The CP+ pricing engine covers all MSRB-reportable tax-exempt, AMT-subject, and taxable
bonds that have a fixed or zero-coupon and are not currently in default.
For modeling purposes, bonds are split into taxable and tax-exempt (including AMT)
universes and further divided into liquid and illiquid segments based on observed market
activity for the given instrument relative to other bonds in the universe. While illiquid
models cover more CUSIPs, liquid models handle most trade volumes due to high activity
in liquid instruments.
Figure 1: Instrument count and trade activity distribution by model group ( Jan – Feb 2025)
Model CUSIPs
covered
% eligible
MSRB volume
% eligible
MSRB count
Liquid Tax-Exempts 145,000 75.9% 75.7%
Illiquid Tax-Exempts 715,000 16.0% 19.2%
Liquid Taxables 8,000 6.0% 3.9%
Illiquid Taxables 68,000 2.1% 1.2%
Total ~940,000 100% 100%
