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Bond Liquidity Data Post-trade data from Clearstream for an increased transparency of the Fixed Income market

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 data set 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 only 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
  • Marking-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 assumptions for bond issues in the secondary markets
  • Estimate execution prices for secondary trades

Data details

  • Data is provided in daily CSV files based on status “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 will be reported with a time delay and only reported 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 within the subscription