Services

Independence + Transparency

bank loan prices

The syndicated bank loan market has been one of the most active and profitable of 2016. Cambridge has developed proprietary parsing technology that captures observable prices on global investment grade and high yield loans. These data are used to calculate composite prices on 4000 loans. New issues and refinancings are updated daily.


municipal bond prices

Obtaining quality prices in the municipal bond market has long been difficult given the small percentage of the market that actively trades. Cambridge uses both traded prices and indicative prices quoted in the marketplace to evaluate prices on municipal bonds from the U.S. and select other regions.


rates volatility data

On a daily basis, Cambridge implies interest rate swaption volatility cubes for 20 of the most popular global currency. Volatility points cover 8 strikes and option and swap terms to 30 years. 

sovereign bond prices

The sovereign bond market has experienced significant churn as a result of interest rate distortions brought on by central bank programs in developed markets. Cambridge provides daily prices on global sovereign bonds issued from over 70 developed and developing countries, as well as supranational and quasi-government issuers. 


structured bond prices

Illiquid securitized instruments have been at the core of numerous recent SEC enforcement actions. Cambridge calculates monthly prices on a broad range of these securities, including MBS, ABS and CMBS. Cambridge also prices a limited number of collateralized instruments like CDO and CLO. 


fx volatility data

Cambridge provides daily FX volatility surfaces for developed and emerging global currency pair. Surfaces are implied from at-the-money options and 10 and 25-delta risk reversals and butterflies.  

corporate bond prices

Potential changes in U.S. tax laws have led to a flurry of corporate bond issuance in early 2017. Cambridge provides corporate bond investors with daily prices on nearly 100,000 global investment grade and high yield securities. These calculations use observable pricing information from the market and proprietary yield curve fitting analytics. 


yield curve data

Cambridge offers 5+ years of historical yield curve data and daily updates to power risk management and analytics platforms. Coverage includes government and swap curves across global currency, corporate issuer curves, inflation curves, and rating-based region and industry curves. 


cds spread data

Cambridge offers daily, full term structure CDS spread curves for 2000 global entities across popular tier and restructuring combinations. Up to 10 years of history are available.

 
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