Historical Analytics
Advanced analytics tools for your historical data needs.
With over 35 years of fixed income expertise, LSEG is a trusted and authoritative source for single security fixed income analytics. By leveraging Yield Book’s inherently open architecture, clients can create a ‘golden source’ of accurate, consistent and bespoke historical analytics.
Flexible pricing framework
LSEG Historical Fixed Income Analytics allows customers to select between precalculated historical analytics utilising levels from LSEG’s Pricing Services or to provide their own levels to leverage Yield Book models for custom-made analytics.
Delivery via Snowflake
LSEG Historical Fixed Income Analytics is available via Snowflake Data Sharing, allowing for delivery and analysis in a market-leading data solution with pre-configured dashboards tailored to LSEG content.
Flexibility of analytics, universe and pricing source
Custom Prices: Clients can use LSEG pricing or supply their own pricing source. Bespoke Analytics: Pricing parameters including curve and partial duration tenors can be set by users
History
Clients can purchase up to 22 years of history to meet their specific requirements
Filtering
Users can filter by the bond terms and conditions in order to size the universe to their needs. Choose just the required analytics or size the universe based on analytic measures
Asset types covered
History is currently available for government, corporate and taxable municipal bonds
Coverage statistics
LSEG Historical Fixed Income Analytics provides coverage on over 3.1 million unique securities going back prior to the Global Financial Crisis
US Agency RMBS
LSEG Historical RMBS Analytics provides users with analytics for TBAs, US RMBS Pools and CMOs.
Available data
Currently RMBS Analytics goes back five years, to 2020 with additional history forthcoming.
Analytics are generated using LSEG Pricing Services by default, however users can provide their own custom levels.
The flexible framework allows calculations using either point-in-time models, or our most up-to-date production and experimental models.
Choose any of the current volatility models within Yield Book to generate analytics.
Sales
Telephone: +1 646 989 2200
Email: sales@yieldbook.com
Support
Telephone: +1 888 333 5618
Email: support@yieldbook.com
Help desk
Telephone: +1 888 333 5617
Email: howto@yieldbook.com
