QUANTITATIVE ASSESSMENT OF BOND MARKET LIQUIDITY
The IIAC is continuing to develop and enhance its analytical format and calculations to assess bond market liquidity in various categories of Canadian cash debt securities. Our initial report focused on CanDeal data that is based on its electronic trading platform. The report found that liquidity displayed by the fixed income securities studied to be somewhat consistent over the period examined.
Quarterly updates to the paper will incorporate additional sources of fixed income trade data to allow for more wholesome conclusions to be drawn with respect to bond market liquidity in Canada, and provide more colourful commentary on quantitative outcomes, qualitative interpretation and related market developments in the fixed income space.
If you have any questions, please contact Todd Evans.