OTC Data

Coverage

Global

Frequency

Daily

EOD Pricing

Daily

Historical Data

Swap Curve Data

The Swap Curve Data Service provides clients with a daily source of independent zero-coupon, swap-implied yield curves for valuations, portfolio analytics and risk management calculations.

Data Description

The Swap Curve Data Service supplies daily yield curves for a wide range of global currency. Results are expressed as both a zero-coupon yield and the associated discount factor.

Delivery Frequency

Yield curve data is available on an intraday or end-of-day basis. End-of-day data is delivered at the close of major global markets or as

a consolidated file at 4pm ET. Up to 5 years of history is also available.

Credit Default Swap Data (CDS)

The CDS Data Service provides clients with a daily source of independent CDS spread curves for valuations, portfolio analytics and risk management calculations.

Data Description

The CDS Data Service supplies 5 & 10-year spreads for over 2000 reference entities, together with a wide range of currency, restructuring clause and tier of debt combinations. Spreads are expressed as the basis point cost of buying protecting on the corresponding CDS. Full term structure curves (with spreads covering 6 months through 30 years) are available at a premium service level.

Delivery Frequency

CDS data are available on a daily basis, with delivery at approximately 4pm ET. 10 years of history is also available.

Fixed Income Prices

The Fixed Income Pricing Service provides clients with a daily source of independent prices for valuations, portfolio analytics, best execution reporting, and risk management calculations.

Data Description

The Fixed Income Pricing Service provides prices on a wide range of fixed income securities, including:

  • Corporate Bonds
  • Municipal Bonds
  • Syndicated Bank Loans
  • Agency MBS
  • Non-Agency CMO
  • CMBS
  • ABS
  • CLO

Delivery Frequency

Valuations are calculated daily at the close of major markets. For more liquid bonds, intraday valuations may be available. Valuations can be delivered on a same-day or next-day basis.

FX Option Volatility Data

The FX Option Volatility Data Service provides clients with a daily source of independent FX volatility data for valuations, portfolio analytics and risk management calculations.

Data Description

The FXoption Volatility Data Service supplies daily volatility surfaces for FXoptions, including skew, across 30 global currencies and precious metals. Results are expressed as follows:

  • For at-the-money (ATM) strikes: as percentage implied volatility
  • For 10 and 25 Delta Risk Reversals & Butterflies: as offsets to the corresponding ATM volatility

Delivery Frequency

FX option volatility data is available on an intraday or end-of-day basis. End-of-day data is delivered at the close of major global markets or as a consolidated file at 4pm ET. Up to 5 years of history is also available.

Swaption Volatility Data

The Swaption Volatility Data Service provides clients with a daily source of independent interest rate volatility data for valuations, portfolio analytics and risk management calculations.

Data Description

The Swaption Volatility Data Service supplies daily normalized volatility cubes for interest rate swaptions, including skew, across many popular global currencies. Volatilities are expressed in basis points and correspond to standardized cube nodes, including:

  • At-the-Money (ATM) strikes, and out-of-the-money strikes specified as positive and negative offsets of the ATM forward rate in 25, 50, 100, 150 and 200 basis point increments
  • Standard option tenors, typically from 1 month to 30 years
  • Standard swap tenors, typically from 1 year to 30 years

Delivery Frequency

Swaption volatility data is available on an intraday or end-of-day basis. End-of-day data is delivered at the close of major global markets or as a consolidated file at 4pm ET. Up to 5 years of history is also available.

 

Data Delivery

Delivery options

Online
Amazon S3
FTP

Delivery format

XLS
TAB
TXT