Issue liquidity risk
The risk of being unable to sell a bond when needed without a noticeable concession in price.
How to read the number
It follows from the size of the issue and the number of holders: in a small series taken into portfolios until maturity, weeks can pass without a trade.
When the metric lies
The risk shows up not when it is measured but when everybody sells at once. A spread that is narrow on an ordinary day widens past acceptability on the day of bad news.
Also known as: liquidity of an issue