Bond Liquidity Data

Overview

Offers valuable insights into the European fixed income market, known for its fragmentation and lack of transparency. Derived from Clearstream settlement instructions, this post-trade dataset provides crucial information on instrument liquidity and trading activity for Eurobonds and International Securities. Positioned uniquely at the end of the fixed income value chain, Clearstream's International Central Securities Depository (ICSD) ensures access to essential post-trade data for informed decision-making in these markets.

-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.
-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.

Designed for:

-Vendors
-Banks and asset managers
-Bond issuers

Use cases

-Fairly value Fixed Income assets and portfolios
-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

-Receive 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

Disclaimer: The download and usage of the free sample data provided by Deutsche Börse AG via the Snowflake Marketplace is subject to the Terms of Use (which can be viewed on the right side). By downloading the data, you accept to adhere to the Terms of Use.

搜集汇总

背景与挑战

背景概述

该数据集源自Clearstream结算指令，提供欧元债券和国际证券的流动性和交易活动数据，帮助金融机构进行资产估值、风险测量等分析。数据包含交易数量、金额等关键指标，但低于阈值的债券交易会延迟报告。