IDS GmbH - Analysis and Reporting Services
IDS GmbH - Analysis and Reporting Services
IDS GmbH - Analysis and Reporting Services
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Indicators for Bond Liquidity<br />
Spread between Bid <strong>and</strong> Ask Yields<br />
• Data available for large universe of government <strong>and</strong> corporate bonds.<br />
• But: Data quality has to be monitored!<br />
• Spread depends on bond static data.<br />
• Spread grows with age of the bond (on-the-run bonds are more frequently<br />
traded; off-the-run bonds are rather held to maturity).<br />
• Select representative bonds to examine market situation.<br />
© <strong>IDS</strong> <strong>GmbH</strong> – <strong>Analysis</strong> <strong>and</strong> <strong>Reporting</strong> <strong>Services</strong><br />
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