EGB Liquidity Metrics from MTS & Yield Book

To address increasing needs for liquidity assessment within the market, MTS and Yield Book now offer a collaborative set of pre-trade and post-trade analytical measures for the European government bond market.

Thanks to this collaboration, MTS and Yield Book have developed a set of tools to help clients quickly and reliably analyse both traded and theoretical liquidity of EGB securities from multiple points of view. The following metrics are calculated for bonds with pre-trade and post-trade data available from MTS: 

Pre-trade market liquidity Post-trade market liquidity
● Quoted Volume  ● OAS Liquidity Ratio
● Yield-Quoted Orders  ● Price Liquidity Ratio
● Bid-Ask Spread Steepness    ● Universe Liquidity Ratio
● Bid-Ask Spread Resiliency                                     (Bid-Ask Spread to Volume Ratio) ● Country Liquidity Ratio

Benefits include:

  • Comprehensive liquidity risk research, for decision-making and for back-testing historical portfolio liquidity
  • A robust methodology for calculating theoretical liquidity, including securities that have not traded recently
  • Access to pre-trade and post-trade liquidity metrics across multiple order book levels
  • 5+ years of historical liquidity metrics data available, allowing backfilling

Use of full post trade and pre-trade liquidity information addresses challenges faced when using commonly used proxies such as Amount outstanding and Average Trading Volume.

MTS has been a trusted facilitator of electronic fixed income markets for over 30 years and supports trading through a network of over 500 unique counterparties across our platforms in Europe and the US, with average daily volumes exceeding EUR 130 billion.

Yield Book, with 30 years of experience serving clients worldwide across the financial industry, has developed a comprehensive, trusted and market-leading library of fixed income analytics.