The ICE Liquidity Indicators service provides an independent, near-term view of relative liquidity—the ability to exit a position at or near the current value—to help you understand security and portfolio liquidity and make better informed decisions.

Quantify Security and Portfolio Liquidity Across Fixed Income Asset Classes

ICE Liquidity Indicators uses a transparent methodology to assign a liquidity score to an individual security and provides metrics as well as estimates of trade volume capacity, projected future price volatility, projected days to liquidate, and projected market price impact. In addition, ICE Liquidity Indicators help you contextualize near-term relative liquidity with tools for measuring portfolio-level liquidity, liquidity under stressed scenarios, retrieving historical data, charting, and comparing projected versus actual positions.

ICE Liquidity Indicators are powered by our award-winning fixed income evaluation and reference data services.

ICE Liquidity Indicators can enable a variety of use cases:

Risk Management & Compliance Support

Identify and manage security and portfolio liquidity risk

  • Estimate potential number of days to liquidate positions based on target "materiality" thresholds under normal and stressed market conditions
  • Demonstrate sound risk management practices to regulators

Investment Insight

Enhance your investment decision-making process with liquidity as an input

  • Project market price impact for a simulated trade based on target "days to liquidate" criteria
  • Improve your collateral eligibility assessments, refine haircuts and monitor ongoing liquidity of collateral holdings
  • Use liquidity as an additional criteria in selecting securities for index or portfolio inclusion
  • Create and monitor multi-sleeve portfolios

Reporting & Delivery

Gain a more complete view of your portfolios with a customized and flexible input framework

  • Enhance your board reporting with an independent tool to help determine portfolio liquidity profiles
  • Set and track portfolio-level liquidity thresholds in line with SEC liquidity classifications
  • Aggregate multi-portfolio statistics within an exportable file containing reference data, liquidity classification inputs, and scenario analysis at the security level detail
  • Visually summarize all funds with a report displaying portfolio statistics

Transparent Methodology and Metrics

ICE Liquidity Indicators provide a transparent methodology and set of metrics to help measure liquidity. Our uniform liquidity scale facilitates the comparison of securities across asset classes.

  • Projected Days to Liquidate
  • Projected Market Price Impact
  • Projected Trade Volume Capacity
  • Projected Future Price Volatility
  • Liquidity Classifications
  • Liquidity Ratio per Security
  • Liquidity Score (1 – 10) based on a rank ordering of securities
  • Comparative Score (vs. universe, asset class, sector, etc.)
  • Liquidity Gauges to view trends over time
  • Highly Liquid Investment Minimum
  • Illiquid Maximum

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