Barclays Expands Partnership With FactSet to Distribute Bond-level Liquidity Measure - LCS®
15 Janeiro 2020 - 10:30AM
Business Wire
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
www.barclays.com.
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version on businesswire.com: https://www.businesswire.com/news/home/20200115005174/en/
Press: Ann Thielke +1 212 526 1472 ann.thielke@barclays.com
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