October 2015

Corporate bond markets are illiquid by ESMA's own definition

What are the main challenges of defining liquidity as per ESMA's definition?

Miranda Morad

General Counsel, MarketAxess Europe and Trax

Defining liquidity according to ESMA:

Average Daily Notional Amount Average Daily Number of Trades Percentage of days traded over the period considered
€100,000 2 80%

"When we applied that to Trax's database of over 250,000 corporate instruments, 96% of those would not meet those criteria. So that shows you that fundamentally corporate bond markets are illiquid by even ESMA's own definitions." 


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