2. A wide range of criteria can indicate the liquidity of a position, based on past experience …

A wide range of criteria can indicate the liquidity of a position, based on past experience, market structure, and the quality or complexity of the product. Institutions should identify a range of criteria that they believe materially define the liquidity horizon of their portfolios. These criteria include:

• i. Market activity, as reflected in number and volume of trades in an instrument or name, or in the size of historical bid-offer spreads;
• ii. Market structure, such as the number and distribution of market makers and quotes;
• iii. Size of position (relative to average trading volumes/overall market size);
• iv. Investment quality (e.g. credit rating);
• v. Geographical location of issuer;
• vi. Maturity.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/