Transparent Methodology & Metrics
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. ICE Liquidity Indicators provides tools for:
Measuring portfolio-level liquidity
Understanding liquidity under stressed scenarios
Retrieving historical data
Charting
Comparing projected versus actual positions
Measuring portfolio-level liquidity
Understanding liquidity under stressed scenarios
Retrieving historical data
Charting
Comparing projected versus actual positions
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Two distinct approaches to liquidity
Quantitative model-based approach
This approach incorporates proprietary modeling techniques powered by ICE Data Services’ fixed income evaluations and reference data.
ICE Data Services incorporates market data into the liquidity models to produce a broad array of liquidity metrics. Hundreds of distinct, cross-sectional, multi-factor regression models are administered across all asset classes covered by the quantitative model-based approach to assign, among other outputs, each instrument a liquidity bucket based on the reasonable trade size, stress settings, settlement days and the target market price impact assumption.
Heuristics-driven approach
This approach is designed to determine liquidity buckets and days to liquidate metrics for instruments and securities within asset classes or other groupings that can be defined with a relatively homogenous liquidity profile.
This rules-based approach analyzes underlying characteristics of an instrument to assign it an indicative liquidity bucket based on certain pre-defined logic. Given its more qualitative nature, the heuristics-driven approach provides an alternative for securities with liquidity characteristics that may be less suitable for a quantitative model.
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
- Perform scenario analysis and stress test holdings to determine the sensitivity of overall fund liquidity to multiple factors
Investment Insight
Enhance 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 board reporting with an independent tool to help determine portfolio liquidity profiles
- Set and track portfolio-level liquidity thresholds in line with regulatory-driven liquidity classifications
- Aggregate multi-portfolio statistics within an exportable file containing reference data, liquidity classification inputs, and scenario analysis at the security level
- Visually summarize multiple funds with a Fund Complex Report displaying portfolio statistics
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
- Perform scenario analysis and stress test holdings to determine the sensitivity of overall fund liquidity to multiple factors
Investment Insight
Enhance 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 board reporting with an independent tool to help determine portfolio liquidity profiles
- Set and track portfolio-level liquidity thresholds in line with regulatory-driven liquidity classifications
- Aggregate multi-portfolio statistics within an exportable file containing reference data, liquidity classification inputs, and scenario analysis at the security level
- Visually summarize multiple funds with a Fund Complex Report displaying portfolio statistics
Whitepaper
The European investment grade corporate bond secondary market & the COVID-19 crisis. An ICMA Secondary Market Practices Committee (SMPC) market report.
Transparent Methodology & 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 Bucketing
- Classification Splitting
- Liquidity Ratio per Security
- Liquidity Score (1 – 10) based on a rank ordering of securities
- Stress Testing / Scenario Analysis
- Comparative Score (vs. universe, asset class, sector, etc.)
- Liquidity Gauges to view trends over time
- Highly Liquid Investment Minimum
- Illiquid Maximum
- Security and Portfolio-Level “Days to Liquidate” Projections
- Security and Portfolio-Level "Market Price Impact" Projections
- Security and Portfolio-Level Liquidity Scores
- Scenario Analysis; Stress + Price Impact Constraints
- Historical data retrieval and charting functions
- Tailored Liquidity Indicators based on actual portfolio holdings and position sizes
- Highly Liquid and Illiquid Threshold alerts to monitor securities that are at acceptable, approaching and breached levels
- Security and Portfolio Level Reports that display summary statistics across all funds through data visualization of underlying Liquidity outputs
Global Fixed Income
- Investment Grade & High Yield Corporate Bonds*
- Agency Debentures*
- Municipal Bonds*
- Global Sovereign Bonds*
- Emerging Market Bonds*
- Convertible Bonds*
- Asset-Backed Securities (ABS)
- Mortgage-Backed Securities (MBS)*
- Collateralized Mortgage Obligations (CMOs)
- Leveraged Bank Loans
- Money Markets
- CDOs/CLOs
Global Equities and Exchange Traded Products (ETPs)
- Common Stocks*
- Preferred Equities*
- ADRs*
- Options
- Futures
Global Equities & Exchange Traded Products (ETPs)
- Credit Default Swaps (Single Name)
- Credit Default Swaps (Basket/Index)
- Total Return Swaps
- Interest Rate Swaps
- Forward Rate Agreements (FRAs)
- Basis Swaps
- OIS Swaps
- Swaptions
- Caps/Floors
- Inflation Swaps
- Cross Currency Swaps
- FX Forwards
- FX Swaps
- FX Options
- OTC Equity Options