The Liquidity Market Trend Report (LMTR) leverages the ICE Liquidity Indicators™ service, which has produced metrics for millions of securities for a variety of client regulatory and other use cases. Clients can get a greater insight into historical market liquidity trends across a broad asset class universe, which can help provide a deeper understanding of portfolio liquidity relative to a broader market grouping.
The LMTR consists of:
- Attribute-level view: This report provides greater transparency to the user, showing the underlying liquidity projection levels and supporting metadata.
- ICE Projected trading volume capacity: this metric represents our forward-looking projection of daily trading volume capacity.
- ICE Projected price volatility: this metric represents our forward-looking projection of daily price volatility.
- ICE Bid-ask spread: the bid-ask spread for fixed income securities calculated and utilized by our ICE Evaluated Pricing business.
Specifications
Key Features
The Liquidity Market Trend Report (LMTR) can include up to 8 asset classes (7 in Fixed Income, 1 in Equities):
- Corporates
- Sovereigns
- Municipals
- Asset Backed Securities (ABS)
- CMOs
- Pass-throughs
- Commercial Mortgage-Backed Securities (CMBS)
- Equities
Delivery is monthly in PDF format via SFTP
Products
The evolution of our file-based offering. Bringing together, in a unified solution Corporate Actions, Reference Data, Analytics and our wealth of pricing datasets including ICE Evaluations, CEP, Fair Value Information Services & Listed Market Pricing.