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Liquidity Data

Independent liquidity data for fixed income instruments to support risk management, product control, compliance and trading

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. It helps enhance transparency across fixed income markets and supports changing regulatory and valuation requirements. The data supports risk management, including exit cost analysis and valuation uncertainty, as well as independent price verification, margin calculations, management information reports and portfolio management. It may also serve as an input to regulatory reporting under requirements such as IFRS 13, FASB’s ASC Topic 820 (FAS 157), UCITS and EBA’s prudent valuation standards.

To facilitate easy compliance with SEC rule 22e-4, we offer a number of additional pre-calculated analytics fueled by our data and sourced from MSCI’s multiasset class liquidity risk framework, LiquidityMetrics. These datapoints include information on the days to liquidate a position, the price impact of selling, and the SEC bucket classification. The data help clients develop a sophisticated understanding of portfolio risk.

Key benefits:

  • Independence – Consensus based and driven by observable and reliable data sources, including trade repositories, dealer quotes, interdealer brokers, executable feeds, books of record, index contributions and counterparty marks
  • Coverage – Liquidity metrics published for CDS, loans, corporate and sovereign bonds, municipal bonds and securitized products
  • Transparency – Visibility into clear methodology for calculating scores and metrics, including individual inputs
  • Depth – Granular view of liquidity provided, including bid-ask spreads, volumes and source counts

Customers

  • Banks
  • Insurance companies
  • Mutual funds
  • Hedge funds
  • Regulators
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

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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