FTSE Russell Liquidity Metrics

Presented by

Mikhail Bezroukov, Yield Book Product Specialist, FTSE Russell

About this talk

Transaction-level approaches to liquidity ratio analytics within fixed income market. • The Yield Book is offering a new Liquidity Ratio metric which is able to incorporate both traded price and volume information and adjusts for yield curve and sector-wide movements • Innovative approach to inferring a liquidity score for bonds that do not have observed trades • The measure produces intuitive results allowing for comparison across bonds and markets
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