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Liquidity Pricing Data

Capitalize on high-quality data to meet your liquidity risk requirements

Measuring liquidity is complex – requiring multiple sources of data, complex technology to organize the information and expert judgment in applying it. We provide daily liquidity metrics, market context and liquidity scores for fixed income instruments. Our liquidity data is delivered with our fixed income pricing data and offers insight into the depth and breadth of the market.

High-quality market data matters. Your analysis and models are only as accurate as the data sets you rely on and the sources they rely on. We see more than 10 million price points daily in real time, sourcing data from dealer runs, axe lists, and auctions disseminated across markets and supported by our parsing strategies. The data supports your risk management, including exit cost analysis and valuation uncertainty, as well as independent price verification, margin calculations, management information reports and portfolio management.

Report Metrics:

  • Bid/offer spreads
  • Number of quoting sources
  • Number of quotes per day
  • Number of end-of-day source
  • Number of unique price points
  • Daily trade reporting
  • Moving averages
  • Liquidity Score from 1 to 5, with 1 being most liquid and 5 being least liquid

Why IHS Markit

Learn more about our liquidity service
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Assessing Liquidity: Why Quality Data Matters in the Fixed Income Space

Read our whitepaper to learn more about how market data can help you design an effective liquidity risk management program. We discuss how firms of all sizes can bring new approaches to understanding liquidity across bonds, securitized products, leveraged loans and more. Download the whitepaper

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