US Fixed Income

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.

Analytics

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

Reference Points

ISIN • 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 Mechanisms

IVolatility 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.).