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.
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
Number of quoting sources
Number of quotes per day
Number of end-of-day source
Number of unique price points
Daily trade reporting
Liquidity Score from 1 to 5, with 1 being most liquid and 5 being least liquid