MarketAxess Research

Finding the Liquidity Signal in the Data Noise

One of the questions we frequently get from our clients is whether we could help them measure and quantify levels of liquidity in the corporate bond market. In order to make better informed trading decisions they want to understand, for example, how liquid the market is today compared to during the credit crisis.

We wanted to create an objective, quantifiable benchmark against which we could measure liquidity over time and across credit instruments, to help inform our clients' market research and analysis.

The MarketAxess Bid-Ask Spread Index (BASI)™ is the result of this work.

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MarketAxess Research

How (in)frequently do bonds trade?

We often find ourselves trying to characterize the bond market in terms of how liquid, or illiquid, it is compared to other asset classes like equities. In particular, when we are running transaction cost analysis (TCA) reports for clients and we're asked about benchmarking specific bonds, one of the biggest challenges is finding a comparable trade to benchmark to.

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This information is provided "AS IS." Although the data presented has been obtained or compiled from sources MarketAxess® believes to be reliable, MarketAxess® cannot and does not warrant, either expressly or impliedly, the accuracy, validity, timeliness or completeness of this information, or its suitability for any particular purpose.