The files below offer a sample of our soon to launch data product, Euroclear LiquidityDriveTM. Building on the vast set of fixed-income settlement data managed by Euroclear, this new product brings further insights into the liquidity of more than 460,000 fixed income instruments.
The sample contains data for 20 business days, from the 11th of November to the 6th of December 2019, on all securities in the instrument universe across regions, issuer types and tenors. A small number of data elements are not filled in yet due to this initial sample covering only one month’s worth of data: this concerns some of the historical averages (SMA 60 and SMA 260) attached to the aggregate indicators. Please refer to the Euroclear LiquidityDriveTM user guide for a complete description of the data attributes.
Once unzipped, the files will be organised in directories of which the names indicate:
- the market
- the tenor of the instruments i.e. whether it is over 1 year as at the reference date (LT), or up to 1 year (ST)
- the reference date
Each directory will include 2 sub-directories:
- GOV for instruments issued by sovereign issuers, supranationals, agencies and government-owned issuers
- NGOV for corporates and issuers other than the above
Within the GOV and NGOV sub-directories, further sub-directories include respectively the CSV and JSON versions of the sample data. In each of these, multiple files are included with a counter (xxx.json for instance) and 750 ISINs per file. Data in CSV format is split across files of which the name suffix is “Isin”, “Top5”, “Top5BySector” and “TransactionDetails”, indicating the different data blocks as described in the user guide.
Should you have any question, please reach out to your Euroclear contact.