Quantify Security and Portfolio Liquidity Across Fixed Income Asset Classes

The ICE Liquidity IndicatorsTM service provides an independent, near-term view of relative liquidity, defined as “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. It 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 support the following activities:

  • Liquidity Risk Management - identify and manage security and portfolio liquidity risk
  • Assess and Manage Fund Liquidity Risk - estimate potential number of days to liquidate positions based on target "materiality" thresholds under normal and stressed market conditions
  • Compliance Support – demonstrate sound risk management to regulators
  • Security Selection and Portfolio Analysis – use liquidity as an input in the investment decision making process
  • Board Reporting – enhance board reporting with an independent tool to determine portfolio liquidity profiles
  • Market Impact – project market price impact for a simulated trade based on target "days to liquidate" criteria
  • Collateral Management – improve collateral eligibility assessments, refine haircuts, and monitor ongoing liquidity of collateral holdings
  • Creating Indices and Investable Products – use liquidity as an additional criteria in selecting securities for index or portfolio inclusion

Transparent Methodology and Metrics

ICE Liquidity Indicators provide a transparent methodology and set of metrics to measure liquidity, which we define as "the ability to exit a position at or near the current value.” 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 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

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