Comparing CB, ABS and Corporate Bond Liquidity
This study examines the relative liquidity of Asset Backed Securities (ABS), Covered Bonds (CBs) and Corporate Bonds (Corps). The measure of liquidity that the study employs is half the bid-ask spread divided by the mid-price. This equals half the round-trip cost of buying and selling the security per unit of value of the position as reflected in current market quotes. The study focuses on Investment Grade (IG), GBP-denominated securities and senior ABS. The study compares the liquidity of different categories of ABS, namely Simple Transparent and Standardised (STS) versus non-STS ABS. To compare the liquidity of any two categories of […]
