Barclays today announces a strategic partnership with FactSet, a global provider of integrated financial information, analytical applications, and industry-leading service, to distribute Barclays’ bond-level liquidity measure on the Open: FactSet Marketplace.

“We are excited to work with FactSet to provide expanded access to our liquidity metric for a broader set of fixed income investors,” says Jeff Meli, Head of Research at Barclays. “This underscores our commitment to remaining at the forefront of innovation in the bond markets and providing clients with transparent tools to optimize their portfolios and manage risk.”

“New data and technology are driving change across the investment industry at an unprecedented pace, and we are increasingly seeing this impact in fixed income,” said Rich Newman, senior vice president and Global Head of Content and Technology Solutions, FactSet. “Liquidity, and more specifically the cost of trading, is an important content set for clients, and Barclays' expertise in this space makes it a particularly welcome addition to the Open: FactSet Marketplace.”

Launched in 2009, Liquidity Cost Score (LCS) is an objective, quantitative bond-level liquidity measure based on two-way quotes from Barclays traders. It measures the cost of an immediate, institutional-size, round-trip transaction, and is expressed as a percentage of the bond’s price. Barclays computes LCS for more than 22,000 fixed-income securities with a total outstanding amount of US50trn, covering a broad range of asset classes.

Investment professionals use LCS in a variety of portfolio management applications:

  • Portfolio/benchmark liquidity monitoring and reporting
  • Quantifying the impact of transaction costs on alpha strategies
  • Liquidity-constrained portfolio/benchmark construction, rebalancing, and optimization
  • Credit spread decomposition into the risk premium, default, and liquidity components
  • Introducing a liquidity factor into market risk and VaR models

Vadim Konstantinovsky, senior Barclays quantitative research analyst, adds: “An important part of LCS’s edge is a consistent methodology, which makes LCS comparable over time and across diverse asset classes, making it possible to study historical and cross-sectional liquidity patterns, back-test investment strategies, and analyze mixed-asset portfolios.”

About Barclays

Barclays is a transatlantic consumer and wholesale bank offering products and services across personal, corporate and investment banking, credit cards and wealth management, with a strong presence in our two home markets of the UK and the US.

With over 325 years of history and expertise in banking, Barclays operates in over 40 countries and employs approximately 83,500 people. Barclays moves, lends, invests and protects money for customers and clients worldwide.

For further information about Barclays, please visit our website

Press: Ann Thielke +1 212 526 1472

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