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Stats › Waardering › March 2020 bonds

Immediate execution in corporate bonds cost over 250 basis points in March 2020

Agency pre-crisis: 8+8Agencypre-crisisAgency March peak: 28+28AgencyMarch peakImmediate 9 March: 100+100Immediate9 MarchImmediate 16 to 18 March: 250+250Immediate16 to 18 March

Corporate bond transaction costs in basis points. Agency execution means the dealer finds a counterparty and the customer waits. Immediate execution means the dealer takes the bond onto its own balance sheet. The final bar is a floor: the source reports the peak as more than 250 basis points.

Immediate execution in corporate bonds cost about 100 basis points by 9 March 2020 and more than 250 at the peak the following week, against a pre-crisis agency cost of about 8. Fed eligible bonds saw costs fall about 50 basis points more than ineligible ones.

Over 250bpPeak cost of immediate execution, 16 to 18 March 2020
About 28bpAgency execution cost at its March peak, from about 8bp
+105bpRegression estimate of the crisis effect on immediate execution
+42bpThe same after the intervention, still about twice pre-pandemic

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