Markets can give false impressions of liquidity and stability if failed attempts to trade are ignored. For collateralized loan obligations, we quantify this bias by estimating the total cost of immediacy (TCI) which incorporates failure rates and failure costs. TCI is substantially higher than the observed cost, 0.3–3.8% versus 0.04–0.12% across credit-quality tranches because trade failures are frequent, failure costs are large, and failure costs and rates are correlated. TCI is almost double the realized gains from trade for low-rated tranches. Overall, auction-based over-the-counter markets become illiquid and fragile, especially during stressful periods for low-rated assets.

中文翻译：

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当失败成为一种选择时：场外市场的流动性脆弱


如果忽略失败的交易尝试，市场可能会对流动性和稳定性产生错误的印象。对于抵押贷款义务，我们通过估计即时总成本（TCI）来量化这种偏差，其中包括失败率和失败成本。 TCI 远高于观察到的成本，在信贷质量级别中为 0.3-3.8%，而 0.04-0.12%，因为交易失败频繁，失败成本巨大，而且失败成本与比率相关。 TCI 几乎是低评级部分交易实现收益的两倍。总体而言，基于拍卖的场外市场变得缺乏流动性且脆弱，尤其是在低评级资产面临压力的时期。