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Model Insight - The MSCI Bond Liquidity Measure (BLM) - Sep. 2012

categories: Portfolio Management Analytics, Americas, EMEAI, Risk Management Analytics, Portfolio Construction and Optimization, Risk Management, RMA, Asia Pacific, PMA, Fixed Income, Multi-Asset Class, Research Paper, STEFEK Dan, ACERBI Carlo, SZEKERES Zsolt, general

This Model Insight introduces the MSCI Bond Liquidity Measure (BLM), a model-based estimate of bond bid-ask spreads for a broad universe of quoted and non-quoted bonds. The BLM provides both a liquidity scoring metric and a way to quantify potential transaction costs. Applications of BLM include portfolio construction, risk control, risk limits, regulatory compliance, and liquidity provisioning.  Furthermore, BLM opens the way  for the consistent assessment of liquidity across multi-asset class portfolios.

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