Solution introduction
Bond Σ Service currently covers 150,000 exchange-traded debt securities, including government and corporate, fixed-rate, floating, and convertible issuance, providing clients with an insightful report on the global fixed-income market
Files consist of 11 fixed income derived data fields and 16 fields from the Last Trade file and are delivered the next day at 8 am GMT
16 fields taken from the Last Trade data set are:
Exchange Code, Market Close Date, Last Trade Date, Closing Price, Price Currency, Open, High, Low, Mid, Ask, Bid, Bid Size, Ask Size, Traded Volume, Volume Flag, Settlement Data.
11 fixed income derived data:
- Yield
- Yield to Maturity
- Yield to Call
- Yield to Put
- Yield to Worst
- Accrued Interest
- Macaulay Duration
- Effective Duration
- Modified Duration
- Key-Rate Duration
- Convexity
Files can easily be customized and include another 25 identifiers and reference data fields, and keys for the calculations, for example, ISIN, US Code, Security ID, Local Code, etc.
