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Trading Activity and Transaction Costs in Structured Credit Products

Trading Activity and Transaction Costs in Structured Credit Products After conducting the first study of secondary trading in structured credit products, the authors report that the majority of products did not trade even once during the 21-month sample. Execution costs averaged 24 bps when trades occurred and were considerably higher for products with a greater proportion of retail-size trades. The authors estimate that the introduction of public trade reporting would decrease trading costs in retail-oriented products by 5–7 bps. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Financial Analyst Journal Taylor & Francis

Trading Activity and Transaction Costs in Structured Credit Products

Trading Activity and Transaction Costs in Structured Credit Products

Financial Analyst Journal , Volume 69 (6): 13 – Nov 1, 2013

Abstract

After conducting the first study of secondary trading in structured credit products, the authors report that the majority of products did not trade even once during the 21-month sample. Execution costs averaged 24 bps when trades occurred and were considerably higher for products with a greater proportion of retail-size trades. The authors estimate that the introduction of public trade reporting would decrease trading costs in retail-oriented products by 5–7 bps.

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References (25)

Publisher
Taylor & Francis
Copyright
© 2013, CFA Institute
ISSN
1938-3312
eISSN
0015-198X
DOI
10.2469/faj.v69.n6.2
Publisher site
See Article on Publisher Site

Abstract

After conducting the first study of secondary trading in structured credit products, the authors report that the majority of products did not trade even once during the 21-month sample. Execution costs averaged 24 bps when trades occurred and were considerably higher for products with a greater proportion of retail-size trades. The authors estimate that the introduction of public trade reporting would decrease trading costs in retail-oriented products by 5–7 bps.

Journal

Financial Analyst JournalTaylor & Francis

Published: Nov 1, 2013

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