Euroclear has launched a data service for measuring and comparing liquidity in the fixed income bond market, the first of its planned e-Data suite of tools.

Regulators are increasingly requiring accurate liquidity assessments for assets and the fixed income market presents a particularly opaque market, especially given its over-the-counter nature.

Developed in partnership with Lyxor Asset Management, the service has been built with the buy-side in mind. It utilises information gleaned from Euroclear’s post-trade data covering turnover, turnover concentration and average ticket size for the 40000 most liquid fixed income ISINs, allowing users to assess the liquidity of given securities with accurate data for the first time.

Previously, liquidity estimations have been made mainly through either extrapolative or declarative methods, requiring either assumptions based on price, volatility, bid and ask data, or market surveys in which respondents are asked about the liquidity of various securities.

Both methods require guesswork based on existing data, or trust in the responses to surveys, two caveats that Euroclear’s team is keen to avoid.

“e-Data is a modular tool and the liquidity module provides key indicators founded on our neutral settlement data and presented in its simplest form, relying on the infrastructure stamp of Euroclear,” said Stephan Pouyat, Euroclear’s global head of funds and capital markets.

With the introduction of quantifiable and standardised data on liquidity, the Euroclear team hope that security prices will grow to reflect their underlying liquidity.

This module represents the first in a series for the e-Data platform to be released to buy-side clients over the next few years, all of which will be made available, for a fee, to non-Euroclear members.