Analysing Liquidity in Fixed Income

Our latest research article introduces our new BestX Liquidity Score, BXLS, as a measure for analysing and comparing liquidity within the fixed income markets.

BXLS produces a value of between 0 and 100, where 100 represents high relative liquidity. Such a measure has many applications, including assisting in post-trade analysis by providing further context around cost and benchmark metrics measured for a given trade, together with potential value in stratifying exception reporting. In addition, such a score could provide value in a pre-trade, or portfolio construction, environment, where a user could select the most liquid securities to provide the desired exposure.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper.