# Positive Liquidity Spillovers from Sovereign Bond-Backed Securities

## Abstract

**:**

## 1. Introduction

## 2. Hedging, Arbitrage and Diversification

**a**) and (

**b**) and those in the SBBS market be (

**A**) and (

**B**), respectively. Assuming no frictions (i.e., no basis, coordination, execution or timing risks and no variability in market making risks or risk aversion), then arbitrage and competition between dealers should keep the two bid–ask spreads close to each other.5 Perfect correlation in the underlying values of the two securities and the assumption of instantaneous availability of trading opportunities in the highly liquid asset allow us to subtract the common underlying value changes,

**V**(

**t**), from all bid and ask prices in each period

**t**, leaving

**a*, A*, b***and

**B***as timeless (where starred variables are deviations from the relevant common

**V**(

**t**)).

**b**) can immediately sell an equal amount in the SBBS market at price (

**B**). This leaves the position hedged against movements in

**V**until the bond is sold again at a price (

**a**) and the SBBS is simultaneously bought at (

**A**). Regardless of common movements in

**V**, there is a profit for the dealer of

**B* − b* + a* − A***. This profit is trivially increasing in the difference between the spreads

**s-S**. In a competitive market, we would expect such differences in spreads to be competed away (excluding any extra costs associated with operating in the more general environment). The spread in the bond market will, in this case, be primarily determined by the required bid–ask spread in the SBBS market.

## 3. Microstructure Literature

## 4. Methodology

#### 4.1. Derivation of SBBS Yields

#### 4.2. Methodology for Optimal Hedge Selection

#### 4.3. Measuring Out-Of-Sample Hedge Effectiveness

## 5. Results

#### 5.1. Effectiveness of Hedging without Diversification

#### 5.2. Post-Hedging Diversification of Risks

#### 5.3. Summary of Results for Extensions

## 6. Conclusions

## Funding

## Acknowledgments

## Conflicts of Interest

## Appendix A. Optimal Hedging

**One hedge instrument:**$\frac{{Q}_{2}}{{Q}_{1}}=-\frac{{\rho}_{12}{\sigma}_{{R}_{1}}{\sigma}_{{R}_{2}}}{{\sigma}_{{R}_{2}}^{2}},$

**Two hedge instruments:**$\frac{{Q}_{2}}{{Q}_{1}}=-\frac{({\rho}_{12}-{\rho}_{13}{\rho}_{23}){\sigma}_{1}{\sigma}_{2}}{(1-{\rho}_{23}^{2}){\sigma}_{2}^{2}}\phantom{\rule{1.em}{0ex}}\mathrm{and}\phantom{\rule{1.em}{0ex}}\frac{{Q}_{3}}{{Q}_{1}}=-\frac{({\rho}_{13}-{\rho}_{12}{\rho}_{23}){\sigma}_{1}{\sigma}_{3}}{(1-{\rho}_{23}^{2}){\sigma}_{3}^{2}}$,

**Three hedge instruments:**

## Appendix B. Robustness

#### Appendix B.1. Comparing with Futures as Hedge

Sov Debt Crisis | Recovery | |||||

Hedge = | BUND | BTP | BUND+BTP | BUND | BTP | BUND+BTP |

AT(i) | −28 | 7 | −27 | −17 | −3 | −19 |

AT(ii) | −26 | 13 | −24 | −23 | −7 | −29 |

BE(i) | −1 | −11 | −19 | −10 | −6 | −16 |

BE(ii) | 10 | 2 | −12 | −16 | −5 | −22 |

DE(i) | −33 | 3 | −33 | −36 | −3 | −35 |

DE(ii) | −32 | 6 | −32 | −44 | −4 | −44 |

ES(i) | 2 | −36 | −33 | −2 | −24 | −23 |

ES(ii) | −2 | −33 | −35 | −4 | −26 | −26 |

FI(i) | −34 | 5 | −33 | −32 | −3 | −32 |

FI(ii) | −38 | 0 | −38 | −41 | −7 | −44 |

FR(i) | −22 | 6 | −21 | −16 | −4 | −19 |

FR(ii) | −18 | 12 | −22 | −20 | −8 | −27 |

GR(i) | 3 | 13 | 17 | 0 | 0 | 0 |

GR(ii) | 3 | 18 | 19 | 3 | 0 | 2 |

IE(i) | 0 | −5 | −6 | −1 | 0 | −1 |

IE(ii) | −4 | −2 | −5 | −4 | −1 | −3 |

IT(i) | 3 | −52 | −49 | −3 | −46 | −45 |

IT(ii) | 7 | −57 | −59 | −5 | −59 | −58 |

NL(i) | −33 | 5 | −32 | −29 | −2 | −29 |

NL(ii) | −29 | 3 | −31 | −37 | −3 | −38 |

PT(i) | 0 | −4 | −5 | 0 | −3 | −2 |

PT(ii) | 3 | −8 | −5 | 1 | −5 | −6 |

#### Appendix B.2. Hedge Effectiveness at Other Maturities

Pre-Crisis | Sov Debt Crisis | Recovery | |||||||

Term = | 10 Year | 5 Year | 2 Year | 10 Year | 5 Year | 2 Year | 10 Year | 5 Year | 2 Year |

AT(i) | −72 | −65 | −47 | −26 | −29 | −23 | −49 | −44 | −24 |

AT(ii) | −84 | −80 | −58 | −41 | −40 | −30 | −56 | −51 | −24 |

BE(i) | −77 | −67 | −56 | −20 | −23 | −15 | −52 | −35 | −15 |

BE(ii) | −83 | −81 | −76 | −29 | −26 | −20 | −57 | −45 | −10 |

DE(i) | −87 | −85 | −75 | −71 | −69 | −48 | −75 | −72 | −68 |

DE(ii) | −89 | −88 | −82 | −73 | −69 | −55 | −74 | −73 | −67 |

ES(i) | −69 | −67 | −62 | −28 | −44 | −42 | −43 | −50 | −43 |

ES(ii) | −75 | −80 | −77 | −35 | −38 | −36 | −43 | −48 | −37 |

FI(i) | −76 | −55 | −26 | −47 | −45 | −20 | −55 | −41 | −27 |

FI(ii) | −84 | −80 | −30 | −55 | −56 | −26 | −62 | −56 | −24 |

FR(i) | −83 | −81 | −75 | −31 | −33 | −29 | −59 | −49 | −31 |

FR(ii) | −88 | −86 | −82 | −38 | −38 | −35 | −61 | −52 | −27 |

GR(i) | −55 | −45 | −34 | −17 | 0 | 1 | −8 | ||

GR(ii) | −67 | −60 | −61 | 23 | 31 | 42 | 12 | ||

IE(i) | −52 | −40 | −17 | 1 | −13 | −27 | −14 | ||

IE(ii) | −72 | −40 | −27 | −6 | −10 | −35 | −19 | ||

IT(i) | −72 | −64 | −59 | −37 | −59 | −62 | −53 | −54 | −60 |

IT(ii) | −77 | −70 | −73 | −44 | −51 | −61 | −54 | −55 | −57 |

NL(i) | −81 | −71 | −54 | −43 | −42 | −25 | −56 | −47 | −39 |

NL(ii) | −86 | −84 | −72 | −51 | −53 | −42 | −65 | −57 | −36 |

PT(i) | −67 | −59 | −58 | 0 | −9 | −17 | −21 | −13 | −8 |

PT(ii) | −77 | −76 | −69 | −9 | −5 | −3 | −26 | −11 | 1 |

Avg(i) | −72 | −64 | −51 | −29 | −33 | −28 | −45 | −42 | −35 |

Avg(ii) | −80 | −75 | −64 | −33 | −32 | −27 | −47 | −47 | −31 |

#### Appendix B.3. Hedge Effectiveness under Higher Incidence of Extreme Losses

Pre-Crisis | Sov Debt Crisis | Recovery | ||||

Gaussian | T-Dist | Gaussian | T-Dist | Gaussian | T-Dist | |

AT(i) | −72 | −72 | −26 | −24 | −49 | −46 |

AT(ii) | −84 | −83 | −41 | −38 | −56 | −52 |

BE(i) | −77 | −77 | −20 | −19 | −52 | −49 |

BE(ii) | −83 | −82 | −29 | −26 | −57 | −54 |

DE(i) | −87 | −81 | −71 | −45 | −75 | −56 |

DE(ii) | −89 | −83 | −73 | −48 | −74 | −53 |

ES(i) | −69 | −68 | −28 | −34 | −43 | −40 |

ES(ii) | −75 | −76 | −35 | −38 | −43 | −40 |

FI(i) | −76 | −75 | −47 | −38 | −55 | −48 |

FI(ii) | −84 | −83 | −55 | −44 | −62 | −55 |

FR(i) | −83 | −84 | −31 | −26 | −59 | −57 |

FR(ii) | −88 | −88 | −38 | −44 | −61 | −59 |

GR(i) | −55 | −51 | −17 | −17 | −8 | 0 |

GR(ii) | −67 | −63 | 23 | 29 | 12 | 27 |

IE(i) | −52 | −50 | 1 | 0 | −27 | −26 |

IE(ii) | −72 | −73 | −6 | −9 | −35 | −34 |

IT(i) | −72 | −70 | −37 | −40 | −53 | −51 |

IT(ii) | −77 | −71 | −44 | −40 | −54 | −55 |

NL(i) | −81 | −81 | −43 | −37 | −56 | −51 |

NL(ii) | −86 | −87 | −51 | −46 | −65 | −57 |

PT(i) | −67 | −65 | 0 | 2 | −21 | −18 |

PT(ii) | −77 | −76 | −9 | −14 | −26 | −21 |

Avg(i) | −72 | −70 | −29 | −25 | −45 | −40 |

Avg(ii) | −80 | −79 | −33 | −29 | −47 | −41 |

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1. | A wider range of potential effects are considered in the report by the ESRB High-Level Task Force on Safe Assets (2018). |

2. | Gao et al. (2017) describe how, in that market, dealers typically hedge inventory risk in their Specific-Pool exposures with offsetting TBA trades and they show that impediments to hedging can reduce such liquidity. More interestingly, they conclude that the presence of TBA markets has very widespread beneficial effects on liquidity significantly beyond the mortgage pools that are cheapest to deliver. This is also traced to the ability to hedge inventory holding risk. |

3. | In a related paper, the acquisition of benchmark status in pre-crisis European sovereign bond markets is examined in Dunne et al. (2007). Benchmarks tend to become liquid as they are the location for discovery of the systematic component of the risk premium (in this case, it is envisaged that the different tranches of SBBS would be benchmarks for credit risks within different categories of the market). |

4. | Whether these bounds are sufficient to improve on current trading costs is moot. Even if the costs of hedging with SBBS were to exceed current trading costs in national markets, their use in this way would still be relevant in minimising the extent of any deterioration in trading costs due directly to reductions in the free float as a result of the securitisation. |

5. | This also relies, for simplicity, on the assumption that there is symmetry in the positioning of spreads relative to the underlying value. If not, then the proposition that follows applies on average across many trades. |

6. | It may also be supposed that this benign outcome would be compromised if the SBBS has a difficult-to-forecast correlation with the bond (i.e., if out of sample hedge ratios turn out to be less efficient than they could have been). This is really a type of operational risk and (assuming forecasts are as efficient as possible ex ante) this also gives rise to mostly idiosyncratic and diversifiable risks. |

7. | Bessler et al. (2016) point out that several futures markets for individual sovereign bonds existed pre-EMU and that the alignment of yields during the years of the Great Moderation was largely responsible for the disappearance of all but the German Bund futures. The Great Financial Crisis and the Sovereign Debt Crisis in Europe ultimately led to the reintroduction of futures on Italian BTPs and French OATs. Futures on Spanish Bonos only reappeared in 2015. Naik and Yadav (2003) examine the use of futures to hedge interest rate risk (undesirable duration) in sovereign bond portfolios of dealers and they find support for the propositions about hedging behaviour by Froot and Stein (1998). |

8. | For example, Naik and Yadav (2003) strongly reject the notion that dealers benefit from their information about orderflow even in the relatively concentrated UK Gilts market. |

9. | The implied risk premium (i.e., yield above the risk-free rate) reflects the risk aversion of the representative market investor on any given day and, hence, may exceed the expected loss anticipated by a risk-neutral investor. This degree of risk aversion enters the simulation and is consequently also reflected consistently in the resulting estimated yields of senior, mezzanine and junior SBBS. |

10. | A similar analysis employing dynamic conditional correlation methods, compiling hedge ratios using conditional variances and covariances in line with the relations presented in Appendix A, did not in fact lead to significantly different hedge effectiveness ratios. In addition, the combined use of the methods of Gibson et al. (2017) and a stochastic volatility modelling approach designed to address the presence of isolated outliers, due to Chan and Grant (2016), also failed to change the conclusions drawn from the more straightforward application of a rolling linear regression approach. These alternative methods may however lead to improvements when used at higher frequency with regular updating. Extending the analysis to such a frequency is beyond the scope or needs of the present study. |

11. | The cases of Austria (AT) and Finland (FI) are not shown above but are quite similar to the case of NL. |

12. | The weights used in the analysis are related to the size of the individual sovereign float relative to that of the total of 11 sovereigns in the euro area market (weights are provided in the notes for Table 4). |

13. | It has been shown by Baranova et al. (2017) that recent tightening of capital and leverage requirements of financial intermediaries has damaged liquidity provision during calm markets’ conditions, but it has helped to protect liquidity during crises’ circumstances. Getting the balance right is therefore crucial. |

**Figure 1.**Daily Yield-Change Data 11 Sovereigns (bps). This panel of figures displays the daily data of the individual sovereigns that was used in the simulation analysis that generated the Sovereign Bond-Backed Security yields. Each panel contains data for two sovereigns. The negative of the daily yield changes multiplied by 100 are displayed as dots. In each case, the conditional volatility and 1% Value-at-Risk (VaR) are provided (the conditional volatility is estimated using a GJR-GARCH(1,1) and the VaR is the Value-at-Risk implied using the conditional volatility combined with an assumption of normality). It is important to note that the scale of the y-axis is not constant across the panels of this figure.

**Figure 2.**Estimated yields on SBBS tranches & selected sovereigns (%). Note: This panel of figures indicates how SBBS yields are likely to have changed over the sample period. These can be compared with a selection of sovereign yields. The shaded area is the euro area Sovereign Debt Crisis period (November 2009–August 2012).

**Figure 3.**Single and Composite Hedging (DE, FR, NL). Note: This figure facilitates a comparison of the dispersion of returns on hedged long positions in German, French and Dutch sovereign bonds respectively with the dispersion of returns on the same sovereign bonds without hedging. The first column of figures concern the case of hedging the long positions using only the senior SBBS. The second column of figures concerns the case of hedging the individual bond positions with both the senior and mezzanine SBBS. The returns are measured in basis points (left axis) and the bonds considered are those with a 10 year term-to-maturity. The cases of Austria (AT) and Finland (FI) are not shown above but are quite similar to the case of NL.

**Figure 4.**Single and Composite Hedging (BE, ES, IT). Note: This figure facilitates a comparison of the dispersion of returns on hedged long positions in Belgian, Spanish and Italian sovereign bonds respectively with the dispersion of returns on the same sovereign bonds without hedging. The first column of figures concern the case of hedging the long positions using only the senior SBBS. The second column of figures concerns the case of hedging the individual bond positions with both the senior and mezzanine SBBS. The returns are measured in basis points (left axis) and the bonds considered are those with a 10 year term-to-maturity.

**Figure 5.**Single and Composite Hedging (GR, IE, PT). Note: This figure facilitates a comparison of the dispersion of returns on hedged long positions in Greek, Irish and Portuguese sovereign bonds respectively with the dispersion of returns on the same sovereign bonds without hedging. The first column of figures concern the case of hedging the long positions using only the senior SBBS. The second column of figures concerns the case of hedging the individual bond positions with both the senior and mezzanine SBBS. The returns are measured in basis points (left axis) and the bonds considered are those with a 10 year term-to-maturity.

**Figure 6.**Portfolio returns with and without hedged components. Note: This figure facilitates a comparison of the dispersion of returns on a portfolio of hedged long positions in 11 sovereigns with the dispersion of returns on the same portfolio of long positions without hedging. The first column of figures concern the case of hedging the components of the portfolio of long positions using only the senior SBBS. The second column of figures concerns the case of hedging the individual bond positions with both the senior and mezzanine SBBS. The returns are measured in basis points (left axis) and the bonds considered are those with a 10 year term-to-maturity. The returns are measured in basis points (left axis).

**Figure 7.**German 10-year returns compared with those from an 11-country portfolio of sovereigns hedged with SBBS. Note: This figure facilitates a comparison of the dispersion of returns on a portfolio of hedged long positions in 11 sovereigns with the dispersion of returns on a single sovereign bond that is widely considered to be the safest sovereign bond investment in the euro area (namely the German Bund). The long positions are hedged using the senior SBBS. The returns are measured in basis points (left axis) and the bonds considered are those with a 10 year term-to-maturity. (

**a**) shows the comparison for the period previous to the Sovereign Debt Crisis while (

**b**) covers the period of the Sovereign Debt Crisis and recovery. The hedged portfolio has returns with a dispersion which is much lower than the safe haven asset in the non-crisis sub-sample. Even in the crisis and recover periods, the hedged portfolio compares favourably with the safe asset investment in terms of dispersion of returns.

1 SBBS | 2-SBBS | 3-SBBS | |||||

Hedge = | Snr | Mezz | Jnr | Snr-Mezz | Snr-Jnr | Mezz-Jnr | Snr-Mezz-Jnr |

AT(i) | −62 | −61 | −35 | −67 | −70 | −50 | −72 |

AT(ii) | −73 | −72 | −35 | −77 | −82 | −57 | −84 |

BE(i) | −65 | −63 | −36 | −72 | −75 | −52 | −77 |

BE(ii) | −71 | −70 | −37 | −76 | −80 | −58 | −83 |

DE(i) | −79 | −78 | −32 | −84 | −84 | −46 | −87 |

DE(ii) | −85 | −81 | −31 | −86 | −88 | −49 | −89 |

ES(i) | −55 | −55 | −36 | −62 | −66 | −53 | −69 |

ES(ii) | −62 | −61 | −36 | −69 | −73 | −58 | −75 |

FI(i) | −70 | −69 | −35 | −72 | −75 | −46 | −76 |

FI(ii) | −79 | −77 | −36 | −81 | −84 | −53 | −84 |

FR(i) | −72 | −71 | −37 | −78 | −80 | −53 | −83 |

FR(ii) | −76 | −75 | −37 | −81 | −84 | −59 | −88 |

GR(i) | −36 | −33 | −27 | −46 | −51 | −49 | −55 |

GR(ii) | −46 | −44 | −33 | −60 | −60 | −58 | −67 |

IE(i) | −42 | −40 | −26 | −47 | −51 | −39 | −52 |

IE(ii) | −66 | −62 | −33 | −70 | −72 | −52 | −72 |

IT(i) | −50 | −47 | −35 | −63 | −65 | −59 | −72 |

IT(ii) | −56 | −50 | −37 | −69 | −70 | −64 | −77 |

NL(i) | −69 | −68 | −37 | −75 | −78 | −54 | −81 |

NL(ii) | −77 | −75 | −36 | −80 | −83 | −58 | −86 |

PT(i) | −50 | −48 | −34 | −59 | −63 | −54 | −67 |

PT(ii) | −62 | −60 | −38 | −69 | −73 | −61 | −77 |

1 SBBS | 2-SBBS | 3-SBBS | |||||

Hedge = | Snr | Mezz | Jnr | Snr-Mezz | Snr-Jnr | Mezz-Jnr | Snr-Mezz-Jnr |

AT(i) | −24 | −11 | 0 | −32 | −16 | 4 | −26 |

AT(ii) | −32 | −19 | −2 | −41 | −39 | −5 | −41 |

BE(i) | −3 | −4 | −2 | −27 | 10 | −16 | −20 |

BE(ii) | −2 | −2 | 0 | −27 | −10 | −17 | −29 |

DE(i) | −68 | 0 | 7 | −72 | −67 | 4 | −71 |

DE(ii) | −69 | 4 | 5 | −73 | −69 | −5 | −73 |

ES(i) | 1 | 10 | 1 | −33 | 10 | −31 | −28 |

ES(ii) | −3 | 15 | 5 | −29 | −13 | −34 | −35 |

FI(i) | −52 | −7 | 3 | −52 | −49 | 6 | −47 |

FI(ii) | −54 | −4 | 2 | −54 | −54 | 4 | −55 |

FR(i) | −23 | −12 | 0 | −35 | −15 | 0 | −31 |

FR(ii) | −30 | −12 | 2 | −38 | −32 | 2 | −38 |

GR(i) | 0 | 1 | 0 | 0 | −15 | −15 | −17 |

GR(ii) | −4 | 13 | 11 | 2 | 26 | 28 | 23 |

IE(i) | 2 | 7 | 2 | −3 | 1 | −2 | 1 |

IE(ii) | −1 | 6 | 3 | −5 | −8 | −7 | −6 |

IT(i) | 0 | 10 | 1 | −44 | 18 | −39 | −37 |

IT(ii) | 2 | 13 | 3 | −40 | −9 | −43 | −44 |

NL(i) | −49 | −9 | 2 | −48 | −46 | 7 | −43 |

NL(ii) | −53 | −6 | 5 | −52 | −52 | 3 | −51 |

PT(i) | 1 | 5 | 1 | −1 | 1 | −2 | 0 |

PT(ii) | 1 | 2 | 1 | −5 | −10 | −8 | −9 |

1 SBBS | 2-SBBS | 3-SBBS | |||||

Hedge = | Snr | Mezz | Jnr | Snr-Mezz | Snr-Jnr | Mezz-Jnr | Snr-Mezz-Jnr |

AT(i) | −45 | −22 | 0 | −47 | −49 | −10 | −49 |

AT(ii) | −51 | −25 | 0 | −53 | −57 | −14 | −56 |

BE(i) | −44 | −26 | −2 | −48 | −53 | −13 | −52 |

BE(ii) | −50 | −28 | −3 | −53 | −57 | −15 | −57 |

DE(i) | −73 | −13 | 4 | −74 | −73 | −8 | −75 |

DE(ii) | −72 | −10 | 4 | −73 | −73 | −7 | −74 |

ES(i) | −2 | 2 | −3 | −32 | −26 | −42 | −43 |

ES(ii) | −4 | −6 | −4 | −29 | −28 | −41 | −43 |

FI(i) | −52 | −16 | 1 | −53 | −55 | −9 | −55 |

FI(ii) | −59 | −18 | 1 | −60 | −62 | −11 | −62 |

FR(i) | −50 | −27 | −2 | −55 | −58 | −15 | −59 |

FR(ii) | −54 | −28 | −2 | −56 | −61 | −16 | −61 |

GR(i) | 0 | 7 | 7 | −8 | −8 | 2 | −8 |

GR(ii) | 5 | 6 | 8 | 3 | 11 | 17 | 12 |

IE(i) | −10 | −11 | −3 | −21 | −22 | −19 | −27 |

IE(ii) | −14 | −17 | −5 | −29 | −28 | −23 | −35 |

IT(i) | −3 | 1 | −4 | −41 | −28 | −50 | −53 |

IT(ii) | −7 | −5 | −4 | −41 | −34 | −52 | −54 |

NL(i) | −53 | −18 | 1 | −54 | −56 | −9 | −56 |

NL(ii) | −60 | −18 | 0 | −61 | −64 | −11 | −65 |

PT(i) | 0 | 2 | 0 | −13 | −15 | −21 | −21 |

PT(ii) | −1 | 2 | 0 | −13 | −17 | −25 | −26 |

Pre-Crisis | Sov Debt Crisis | Recovery | ||||

Weighting = | Equal | Size | Equal | Size | Equal | Size |

10-Year | ||||||

EA(Hedged)/EA (i) | −68 | −71 | 0 | −3 | −12 | −24 |

EA(Hedged)/EA (ii) | −73 | −74 | −4 | −7 | −18 | −31 |

EA(Hedged)/DE (i) | −71 | −73 | 8 | −1 | −4 | −24 |

EA(Hedged)/DE (ii) | −76 | −76 | −2 | −14 | −11 | −29 |

5-Year | ||||||

EA(Hedged)/EA (i) | −47 | −43 | 1 | −1 | −17 | −15 |

EA(Hedged)/EA (ii) | −46 | −44 | 0 | 1 | −20 | −21 |

EA(Hedged)/DE (i) | −50 | −46 | 52 | 25 | −21 | −3 |

EA(Hedged)/DE (ii) | −50 | −46 | 34 | 12 | −27 | −10 |

2-Year | ||||||

EA(Hedged)/EA (i) | −62 | −64 | 1 | −1 | −5 | −5 |

EA(Hedged)/EA (ii) | −69 | −72 | 1 | 4 | −7 | −10 |

EA(Hedged)/DE (i) | −70 | −67 | 252 | 81 | 21 | 47 |

EA(Hedged)/DE (ii) | −76 | −74 | 186 | 64 | 15 | 38 |

© 2019 by the author. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).

## Share and Cite

**MDPI and ACS Style**

Dunne, P.G.
Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. *J. Risk Financial Manag.* **2019**, *12*, 58.
https://doi.org/10.3390/jrfm12020058

**AMA Style**

Dunne PG.
Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. *Journal of Risk and Financial Management*. 2019; 12(2):58.
https://doi.org/10.3390/jrfm12020058

**Chicago/Turabian Style**

Dunne, Peter G.
2019. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities" *Journal of Risk and Financial Management* 12, no. 2: 58.
https://doi.org/10.3390/jrfm12020058