Global Fixed Income Data
Unlock the power of Fixed Income, MBS, and Rates data with our comprehensive solutions. Access accurate, timely insights to stay ahead in dynamic markets. From bond analytics to mortgage-backed securities trends, we deliver the data you need to make informed decisions. Elevate your strategies with reliable market intelligence tailored to your needs.
Request DataDatasets available:
Pricing and Valuation
Data and pricing services for US Corporate bonds and US Municipal bonds. This dataset is enhanced by derived analytics and reference fields. For US Mortgage market we host single- and multi-family loan level and pool level data enriched with proprietary pricing and valuation fields.
Key fields: Price, Accrued Interest, Yield, Yield to Maturity, Yield to Call, Yield to Put, Yield to Worst, Convexity, Modified Duration, Macaulay Duration, Effective Duration, Key-Rate Duration
Time coverage: N/A
Granularity: Historical EOD
MBS Data Insights (MBS Agency/Non-Agency Data and Analytics Tools)
The goal of MBS Data Insights is to assist MBS traders, portfolio managers, quants, risk managers, loan originators, and tech professionals in making informed, data-driven business decisions to generate additional revenue.
MBS Data Insights offers comprehensive data covering more than $9 trillion Agency MBS market, and a suite of business intelligence tools designed to facilitate the analysis and forecasting of MBS prepayment and credit performance.
The main advantages of MBS Data Insights are its ease of use and transparency. It provides a consistent approach to pricing and risk management across all securitized and non-securitized MBS products.
Our clients leverage MBS Data Insights to generate additional revenue by conducting data-driven relative value, pricing, and risk management analyses. Additionally, they reduce costs by performing analyses and reporting in a more efficient, timely, and streamlined manner.
Key fields: CPR, CDR, prepayments, defaults, RMBS, delinquenciest
Time coverage: N/A
Granularity: Historical EOD
Fixed Income Volatility Surfaces
Historical and implied volatility data for fixed income products (such as caps or floors) in the standard market format is available.
We address potential client specific implied and historical volatility requests as well as customized analytics solutions to help clients with asset valuation and risk calculations.
Key fields: N/A
Time coverage: N/A
Granularity: Historical EOD
Corporate and Municipal Bonds Reference Data
Reference data for US Corporate bonds and US Municipal bonds. This dataset is enhanced by reference fields, including all of the necessary fields for any analytics, willing to be counted within your own resources. The dataset is being refreshed daily and expanded upon any client requests. Currently data for more than 1,000,000 ISINs is provided.
Key fields: ISIN; Company ticker; MIC; Currency; ParAmount; Coupon Type; Coupon Frequency; Coupon; Maturity; CompanyName; Company Ticker; Exch Code; Market Sector; Security Type; Ticker; Day Count Fraction; Call Date; Put Date; SP, Moody's, Fitch, Issue Date, Initial Amount, Outstanding Amount
Time coverage: N/A
Granularity: Historical EOD
Fixed Income Indices
Historical data and standard analytics for major fixed income indices is available with the focus on emerging markets government indices. We address potential client specific index requests and roll out new indices on demand. In addition, we provide customized analytics for requested indices to help with tracking clients' portfolios and explaining tracking error vs. the index.
Key fields: Tenor, Yield, Index Member, Yield, DV01
Time coverage: N/A
Granularity: Historical EOD
World Rate Curves
Gain access to SOFR, ESTR, and other benchmark currency curves with our comprehensive data sets. Suitable for investment analysis, banking research, and economic forecasting. For professional market participants, our SOFR and ESTR benchmark data can be used to optimize risk management, maintain compliance, and make informed business decisions. By using our data, you can gain a competitive edge in your industry, reduce costs, and stay ahead of regulatory changes.
Key fields: Date, Rate, Tenor
Time coverage: After January 1, 2022
Granularity: Historical EOD
Zero Coupon Yield Curves
Issuer discount curves are essential tools for evaluating the value of debt instruments, including bonds. They allow you to calculate the present value of future cash flows. These curves also help assess how the specific risk of an issuer compares to market rates and yields.
Key fields: Date, Company Ticker, Discount
Time coverage: After November 14, 2024
Granularity: Historical EOD
Use Cases:
Trading Desks:
- Valuation and risk calculations on-line and using Excel tools.
- Data-driven relative value trade analysis
Valuations Groups:
- Automatic on-line and distributed reporting
- Custom reports construction
Risk Management:
- Data-driven risk analysis and calculation on bond/loan/portfolio levels
- Automatic on-line and distributed reporting
Research and Quant Analysts:
- Loan/pool level data analysis tools
- Python Jupiter development environment (with econometrics, statistics and machine learning tools)
IT Groups:
- Snowflake, FTP, AWS data distribution.
- Automatic on-line and distributed reporting
- State-of-the-art database with automatic data updates
- Python Jupiter development environment
- Tableau on-line development
IVolatility is pleased to announce data and pricing services for US Corporate bonds, US Municipal bonds, and US Mortgage bonds.
For US Corporate bonds, we provide the post-trade (FINRA Trace) and pre-trade (Bid/offer markets) end of day pricing data sets. For US Municipal bonds we provide post-trade (MSRB) data sets. For US Mortgage market we provide Fannie Mae, Freddie Mac, Ginnie Mae single- and multi-family loan level and pool level data enriched with proprietary pricing and valuation fields (e.g. servicer multipliers, burnout, HFA, HECM programs, HPA, Cur LTV, PMMS, Incentives, seasonality/day count, credit transitions probabilities). In addition, we provide state-of-the-art analytics cloud-based tools to use this data for accurate relative value pricing and risk management.
These datasets are enhanced by derived analytics and reference fields (see the list of the fields below). The data is available via FTP with daily delivery. In addition to daily files, historical data files (100+ days) are also available.
AnalyticsPrice • Accrued Interest • Yield • Yield to Maturity • Yield to Call • Yield to Put • Yield to Worst • Convexity • Modified Duration • Macaulay Duration • Effective Duration • Key-Rate Duration
Reference PointsISIN • Cusip • Issuer Name • Security Description • Country of Incorporation • Issue Date • Issue Price • Bond Type • Currency • Interest Rate • Interest Payment Frequency • Maturity Date • Call/Put Flag
Pricing MechanismsIVolatility utilizes a proprietary algorithm approach to calculate fixed income pricing:
Step 1. Post Trade Data – this approach is used if the security has traded within a reasonable timeframe. Here, we calculate duration and spread adjusted end of day price.Step 2. Pre-Trade Data – If there is an observable bid/offer market price for a security, then we derive our price estimate using this information.Step 3. Term Structure of Interest Rate Valuation – In addition, we calculate a security's price using a relevant set of yield curves (e.g. per rating, per issuer, per industry, etc.).