DIH provides market data and independent security prices to OTC market participants who wish to increase the efficiency and lower the cost of their valuation, portfolio analytics, best execution reporting, risk management and fund accounting operations. Now more than ever, there is an increased need for reliable sources of price verification, and DIH is proud to provide an institutional-quality OTC data solution.
FIXED INCOME PRICES — We provide independent prices on a wide range of fixed income securities, including:
Valuations are calculated daily at the close of major markets. For more liquid bonds, intraday valuations may be available. Valuations can be delivered on a same-day or next-day basis.
Corporate Bonds & Municipal Bonds: DIH 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. Obtaining quality prices in the municipal bond market has long been difficult given the small percentage of the market that actively trades. DIH uses both traded prices and indicative prices quoted in the marketplace to evaluate prices on municipal bonds from the USA and select other regions.
Syndicated Bank Loans: The syndicated bank loan market has become very active in recent years. Using a proprietary parsing technology, observable prices are captured on global investment grade and high yield loans. These data points are used to calculate composite prices on ~4,000 loans. New issues and refinancings are updated daily.
Agency MBS & Non-Agency CMO: DIH provides prices on a comprehensive set of agency Mortgage-Backed Securities (MBS) and non-agency Collateralized Mortgage Obligations (CMO).
Commercial Mortgage-Backed Securities (CMBS): We provide month-end prices on ~15,000 commercial mortgage-backed securities.
Collateralized Loan Obligations (CLO): We provide month-end prices on ~1,500 USA and European collateralized loan obligations.
CREDIT DEFAULT SWAP DATA — Our Credit Default Swap (CDS) data provides clients with a daily source of independent CDS spread curves for valuations, portfolio analytics and risk management calculations. The data includes 5 & 10 year spreads for over 2,000 reference entities, together with a wide range of currency, restructuring clause and tier of debt combinations. Spreads are expressed as the basis point cost of buying protection on the corresponding CDS. Full term structure curves (with spreads covering 6 months through 30 years) are available at a premium service level. CDS data files are available on a daily basis, with delivery at approximately 4pm New York time. We also offer 10 years of history.
SWAP CURVE DATA — DIH’s Swap Curve Data provides clients with a daily source of independent zero-coupon, swap-implied yield curves for valuations, portfolio analytics and risk management calculations. We supply daily yield curves for a wide range of global currency. Results are expressed as both a zero-coupon yield and the associated discount factor. Yield curve data is available on an intraday or end-of-day basis. End-of-day data is delivered at the close of major global markets or as a consolidated file at 4pm New York time. Up to 5 years of history is also available.
FX OPTION VOLATILITY DATA — Our FX Option Volatility Data provides clients with a daily source of independent FX volatility data for valuations, portfolio analytics and risk management calculations. We supply daily volatility surfaces for FX options, including skew, across 30 global currencies and precious metals. Results are expressed as follows:
For at-the-money (ATM) strikes: as percentage implied volatility
For 10 and 25 Delta Risk Reversals & Butterflies: as offsets to the corresponding ATM volatility
FX Option Volatility Data is available on an intraday or end-of-day basis. End-of-day data is delivered at the close of major global markets or as a consolidated file at 4pm New York time. Up to 5 years of history is also available.
SWAPTION VOLATILITY DATA — Our Swaption Volatility Data provides clients with a daily source of independent interest rate volatility data for valuations, portfolio analytics and risk management calculations. We supply daily normalized volatility cubes for interest rate swaptions, including skew, across many popular global currencies. Volatilities are expressed in basis points and correspond to standardized cube nodes, including:
At-the-Money (ATM) strikes, and out-of-the-money strikes specified as positive and negative offsets of the ATM forward rate in 25, 50, 100, 150 and 200 basis point increments
Standard option tenors, typically from 1 month to 30 years
Standard swap tenors, typically from 1 year to 30 years
You may receive our Swaption Volatility Data on an intraday or end-of-day basis, with snaptimes at the close of the local currency bond market and delivery at approximately 4pm New York time. Up to 5 years of history is also available.
Delivery: Bulk files are delivered as delimited text files via download. API also available.