Fitch: Uneven Corporate Bond Liquidity Poses Risks
December 22 2014 - 9:05AM
Business Wire
The wide variability of liquidity among corporate bonds studied
by Fitch Ratings, based on a sample from five of the largest U.S.
corporate bond exchanged-traded funds (ETFs), could pose risks for
the corporate bond market, according to a report published
today.
Fitch surveyed the underlying bond trading activity for five of
the largest U.S. investment grade corporate bond ETFs. The study
looked at three distinct segments of the ETFs' holdings with a
focus on measures of liquidity that differ as the size of the
issues change. Trading frequency and volume varied significantly
across individual issues held by the ETF, during the four month
study period, as 54% of the largest holdings traded daily while
only 5% of issues from a smaller cohort traded daily.
Fitch believes this represents a risk not just for ETFs but for
all fixed income investors facing price pressure during periods of
prolonged volatility. The wide variability in trading frequency and
corporate debt issues is particularly relevant to investors or
structures that may need to sell debt securities in certain
circumstances.
The full report 'Corporate Bond Liquidity: A Look Below the
Surface' is available at 'www.fitchratings.com.'
Additional information is available at
'www.fitchratings.com'.
Applicable Criteria and Related Research: Corporate Bond
Liquidity: A Look Below the Surface
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=833328
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Fitch RatingsMedia Relations:Brian Bertsch, +1
212-908-0549brian.bertsch@fitchratings.com