Trading Activity and Transaction Costs in Structured Credit Products
Publication Date
11-26-2012
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.
Document Type
Article
Keywords
ABS, MBS, Structured Products, Transparency, mortgage-backed, asset-backed
Disciplines
Finance
DOI
10.2139/ssrn.2180961
Source
SMU Cox: Finance (Topic)
Language
English
