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Barclays partners with FactSet to distribute LCS bond-level liquidity measure

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Barclays has formed 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 optimise 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,” says 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.

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 analyse mixed-asset portfolios.”

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