The Fixed Income Pricing & Liquidity dataset, originated from IHS Markit, provides intra-day/end-of-day pricing on 2.3+ million sovereign, supranational, agency and corporate, securitized products and US municipal bonds. Before applying our proprietary algorithm, the market data is consumed and validated from various sources to create an evaluated price. The pricing process is driven by high-quality input data, award-winning reference data and sophisticated relative value models.
This pricing service also includes a fair value service that helps meeting regulatory and compliance requirements by providing daily fair value adjustment factors and prices for over 150,000 equity and fixed income securities. The service is driven by sophisticated categorization, multi-scenario pricing processes, models, and inputs that mirror widely accepted buy-side and sell-side techniques. Cutting edge methodology uses the correlation between individual security prices and over 70 market, regional, sector and entity specific factors to calculate the best estimate of a security's price outside of active trading hours.
This dataset includes:
• Daily Intra-day data and End of Day Pricing & Liquidity
• Analytics and metadata on pricing to assist with regulatory needs
• Aggregated daily settlement information on bonds from Euroclear
• Out of market hour prices (Fair value service)
• Issuer & Sector curves
• History back to 2011