State Street uncovers a bond liquidity mystery

Bigger trades are cheaper, research finds – and investor analytics head, Mark McKeon, knows why

Mark McKeon: "We meant to build liquidity curves based on underlying data, [but] we ended up somewhere very different"

Liquidity risk modelling needs to take into account that bond markets work in a different – and apparently paradoxical – way to equities, according to Mark McKeon, head of investment analytics at State Street Global Exchange (SSGX), the bank’s data and analytics arm.

Research by SSGX, using data licensed from more than 50 major brokers, found equity markets show higher transaction costs for larger trades, as expected – but fixed-income markets were very different.

McKeon says: “Initially, we

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here