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:
Bond Pricing & Valuation
Data and pricing services for U.S. corporate and municipal bonds. This set includes both pre-trade and post-trade data (TRACE and EMMA). A proprietary bond valuation model is also available.
Key fields: Open Price, High Price, Low Price, Last Price, Bid Price, Ask Price, Bid Size, Ask Size, Volume, Last Price Time
Granularity & Time coverage: Historical EOD (since March 2023)
Calculated Bonds Indicators
Calculated indicator data for U.S. corporate and municipal bonds, including key yield and risk metrics.
Key fields: Accrued Interest, Yield, YTM Corrected, YTM Effective, Convexity Corrected, Convexity Effective, Duration Corrected, Duration Effective, Macaulay Duration
Granularity & Time coverage: Historical EOD (since March 2023)
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, Zero Rates
Granularity & Time coverage: Historical EOD (since November 2024)
Discount Curves
A Discount Curves dataset provides time-series data on discount factors used to calculate the present value of future cash flows. It is essential for pricing fixed-income securities, derivatives, and risk management.
Key fields: Date, Company Ticker, Discount Factor
Granularity & Time coverage: Historical EOD (since November 2024)
Bond Cashflows
A Bond Cashflows dataset provides detailed information about the expected cash flows from a bond, including the dates and amounts of coupon payments. This dataset is essential for modeling and analyzing the timing and magnitude of bond payments, and it plays a key role in pricing, risk management, and performance analysis.
Key fields: Date, Company Ticker, ISIN, Payment Date, Payment Sum
Granularity & Time coverage: EOD (since November 2024)
Fixed Income 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, FIGI, Company Name, Company ticker, Bond Ticker, Exchange Code, MIC, Market Sector, Security Type, Currency, ParAmount, Coupon Type, Coupon Frequency, Coupon, Day Count Fraction, Issue Date, First Coupon Date, Call Date, Maturity, Is Callable, Call Feature, Call Price, Amount Issued, Amount Outstanding
Granularity & Time coverage: EOD (Global Coverage)
MBS Data Insights (MBS Agency/Non-Agency Data and Analytical 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, delinquencies
Granularity & Time coverage: EOD (depends on the instrument type)
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
Granularity & Time coverage: Historical EOD (since November 2000)
Swaption Volatility Matrix
A Swaption Volatility Matrix Dataset provides implied volatilities for swaptions (options on interest rate swaps) across different strike prices, tenors, and expiries. It helps traders, risk managers, and quants analyze market expectations of interest rate movements and price derivatives accurately.
Key fields: Date, Tenor, Expiry
Granularity & Time coverage: Historical EOD (since November 2024)
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.).