European trading in fixed income instruments is highly fragmented and non-transparent, with most trading activity over-the-counter. Quality data on fixed income instrument price and volume is critical for insightful valuation estimates in less transparent markets.
Key product characteristics
- Clearstream’s International Central Securities Depository (ICSD) is uniquely positioned at the end of the fixed income value chain, providing post-trade data.
- Bond Liquidity Data provides market insight on instrument liquidity and trading activity through a post-trade dataset which is derived from Clearstream settlement instructions
- Bond Liquidity data also includes post-trade information on Eurobonds and international securities which are uniquely settled by Clearstream as one of the few hosts of settlement data in these markets
Use cases
- Fairly value fixed income assets and portfolios, especially illiquid bonds
- Generate unique liquidity scores or derive metrics in combination with other data sources
- Mark-to-market illiquid bonds
- Measure liquidity and systemic risk of bond issuers
- Create new fixed income analytics (e.g., specific bond liquidity for Repo Desks)
- Generate demand and liquidity projections for bond issues in the secondary markets
- Estimate execution prices for secondary trades
Data details
- Data is provided in daily CSV files based on the status of “matched”
- Files include an aggregated number of transactions, a transaction amount, the nominal volume as well as the average price per ISIN and denomination currency
- Bonds where the number of transactions is below a threshold are reported with a time delay and only once the threshold is reached
- Compressed end-of-day CSV file distributed via the Data Shop (t+1)
- Aggregated weekly, monthly, quarterly, and annual files included in the subscription
Access
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