Trading Activity and Transaction Costs in Structured Credit Products
26 Pages Posted: 26 Nov 2012 Last revised: 22 Feb 2014
Date Written: July 20, 2013
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.
Keywords: ABS, MBS, Structured Products, Transparency, mortgage-backed, asset-backed
JEL Classification: G10, G20, G28
Suggested Citation: Suggested Citation