LSEG Pricing Service and Yield Book
Historical Analytics
Pricing and analytics you can count on

Use cases

Through the combination of LSEG’s expertise in pricing andreference data and the trusted analytics of Yield Book, you canaccess a comprehensive suite of fixed income market intelligencefrom a single, reliable source. By utilising thepricing and reference data that powers the FTSE Russell fixedincome indices, along with Yield Book’s analytics that power
the indices, you can benefit from a seamless solution across yourfront, middle and back offices.

Regulatory reporting and risk management

Combining accurate evaluated pricing withtrusted analytics
With LSEG’s Pricing Services in combination with Yield Book
Analytics, you get:
– A comprehensive “datastore” of historical analytics that use
historical pricing for all fixed income securities and Yield Book
to recompute analytics.
– A systematic building out and backfilling of all historicalanalytics that depend on LSEG’s Pricing Services availability
and Yield Book Analytics.
– Computation of all available analytics daily, from the 2008
financial crisis onwards.

Why choose LSEG?
Single-source solution– Gain consistency with LSEG’s Pricing Services to improve
workflow efficiencies and avoid data errors to obtain investment
analytics for portfolios from a single provider.

Comprehensive coverage– Leverage Yield Book Analytics comprehensive security
coverage, historical prices and analytical models to backfill
historical time series for all your portfolio management needs.
Our coverage enables you to conduct:– Regulatory reporting and risk management.
– Security valuation and portfolio analysis.
– Research, index strategy and historical simulations.

Discover more at lseg.com

LDA2900200/11-23– Combine LSEG’s pricing and underlying reference datawith Yield Book Analytics versatile framework to calculate acomprehensive set of analytics, with a view on the current stateof risk and/or historical analytics allowing for accurate regulatory
reporting and ongoing risk management.
– Back-testing capabilities for regulations such as Fundamental
Review of the Trading Book (FRTB) allows access to pricing, OAS
history, and various analytical measures on various asset classes.
– LSEG pricing and reference data together with Yield Book
Analytics can deliver a comprehensive, single-source solutionand coverage of asset classes ranging from corporate, taxablemunicipal, government, supranational to covered bonds andbeyond. Additional asset classes such as MBS and securitised
products will be added in the future.
– Conduct pricing validation and verification on a regular basis,including daily, weekly and monthly. Fulfil internal and client
reporting needs, such as back- testing aligned to SEC rule 2a-5.

Security valuation and portfolio analysis– Generate market-leading analytics for historical periods todetermine relative value and assess trade ideas and portfoliostrategies across diverse securities ranging from basic bonds tocomplex structured mortgages and derivative instruments.
– Utilise historical valuations and analytical measures to evaluate
performance, conduct attribution analysis and assess portfolio/
trading strategies and risk hedging.

Research, index strategy and historical simulations– Together, LSEG’s pricing and reference data and Yield Book
Analytics platform enable you to conduct market research andrun historical simulations to back-test index strategies whencreating custom-tailored benchmarks for either efficient passive
index replication or alpha-designed indices.
– Conduct analysis of current and historical data to research
portfolios and index strategies.
– Utilise historical simulations to improve performance and createalpha- or beta-based strategies. These insights are vital for
research teams in developing quantitative models such as risk
management and market performance evaluation.