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 support risk management in connection with a variety of regulatory obligations.
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
Comparing projected versus actual positions
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.
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.
Identify and manage security and portfolio liquidity risk.
Enhance investment decision-making process with liquidity as an input.
Gain a more complete view of your portfolios with a customized and flexible input framework.
The European investment grade corporate bond secondary market & the COVID-19 crisis. An ICMA Secondary Market Practices Committee (SMPC) market report.
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.