Liquidity Pricing Data
Capitalize on high-quality liquidity data to optimize investment decisions and risk management
Measuring liquidity is complex – requiring multiple sources of data, complex technology to organize the information and expert judgment in applying it. We provide daily liquidity metrics, market context and liquidity scores for fixed income instruments.
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Liquidity Navigator
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Liquidity Metrics
Liquidity Metrics
High-quality market data matters. Your analysis and models are only as accurate as the data sets you rely on and the sources they rely on. We see more than 10 million price points daily in real time, sourcing data from dealer runs, axe lists, and auctions disseminated across markets and supported by our parsing strategies. The data supports your risk management, including exit cost analysis and valuation uncertainty, as well as independent price verification, margin calculations, management information reports and portfolio management.
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Report Metrics
Report Metrics
- Bid/offer spreads
- Number of quoting sources
- Number of quotes per day
- Number of end-of-day source
- Number of unique price points
- Daily trade reporting
- Moving averages
- Liquidity Score from 1 to 5, with 1 being most liquid and 5 being least liquid
Why S&P Global?
Wide Coverage
Metrics for CDS, loans, corporate and sovereign bonds, munciple bonds and securitized products
Depth of Data
Granular view of liquidity includes bid-asks spreads, volume and source count
Pre-Calculated Analytics
For easy compliance with SEC Rule 22e-4 and understanding of portfoli risk
Independent Data
Consensus based and driven by observable and reliable data sources
Transparency
Visibility into methodology for calculating scores and metrics, including indivodual inputs
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