Contents
Abstract
Acknowledgments and Disclaimer
1 Introduction
2 Hypotheses
Hypothesis 1: Client Sophistication
Hypothesis 2: RFQ Platforms
Hypothesis 3: Dealer-Client Relationships
Hypothesis 4: Information Rents from Asymmetric Price Adjustment
3 Data and Measurement
3.1 Transaction Costs
3.2 Explanatory Variables
4 Descriptive Statistics
5 Analysis
5.1 Client Sophistication
5.2 RFQ Platforms
5.3 Dealer-Client Relationships
5.4 Information Rents from Asymmetric Price Adjustment
6 Conclusion
References
TABLE
1: Summary Statistics at Client and Transaction Level
2: Spreads and Client Sophistication (Hypothesis 1)
3: Spreads and RFQ Platform Use (Hypothesis 2)
4: Spreads and Dealer-Client Relationships (Hypothesis 3)
5: Information Rents from Asymmetric Price Adjustment (Hypothesis 4)
FIGURE
1: Contracted Forward Rates versus the Mid-Price
2: Distribution of Average Client Spread
3: Trade Distribution by Tenor
4: Average Client Spread by Number of Dealer Counterparties
5: Average Client Spread by Sophistication and Platform Use
Online Appendix
A.1: Client and Transaction Characteristics by Sophistication and Platform Use
A.2: Clients by Location and Sector
A.3: Spreads and RFQ Platform Use (Alternative Sample)
A.4: Spreads and Dealer-Client Relationships (Alternative Definition)
A.5: Spreads and Client Counterparty Credit Risk