Yield Book Historical
Analytics Solutions
Market-leading analytics tools for your historical data needs

With 30 years of historical and industry expertise, LSEG Yield Book is a trusted andauthoritative source for single security fixed income analytics. Yield Book offers robust
analytical solutions that can be fully integrated and automated. By leveraging Yield
Book’s inherently open architecture, clients can create a ‘golden source’ of accurate,consistent and bespoke historical analytics.

Access a ‘golden
standard’ of derived
analytics

Generate complete
dataset records with
derived analyticsEnrich your range ofderived analytics

Obtain an alternative
source of historicalderived analytics– Leverage state-ofthe art fixed income
pricing models, withdecades of historicallyvalidated analyticallibraries– Ensure
methodologicalanalytical consistency
by leveraging acentrally-defined
set of analyticalassumptions– Specify your pricing
inputs (curves, prices,yields, scenarios, etc.)
to build a consistentsuite of analytics– Backfill 10+ years ofhistorical analytics,
on-the-fly, to createa ‘golden source’of consistent andaccurate analytics– Solve for incomplete
security analytical
records to ensure dataconsistency– Generatecomprehensive
nominal, scenariobased and inflation/
option-adjusted
analytics: Price/
Yield, WALs,
Spreads, Durations,
Partial Durations,
Convexities, etc.
– Build bespoke
analytical outputs,
including custom
partial duration
points, equations andreporting options– Collaborate with ourexpert consulting
team, to create abespoke and fully
integrated solution– Access our support
team’s analytical andtechnical expertise
gained throughdecades of industry
experienceYield Book Historical Analytics Solutions

2

Powerful historical analytics
Securities database

Access to a database of 10+ million supported securities including:

Historical inputs

Government (EM, DM)

Municipals

Structured Notes

Corporate (IG, HY)

Collateralised

Futures & Options

Inflation Linkers

Swaps & Swaptions

Other Derivatives

30+

years of experience inproviding analytics tothe largest and mostsophisticated financial
institutions

Yield Book has various historical inputs available such as:

Custom inputs

Treasury Curves

Exchange Rates

Inflation Rates

Swap Curves

Pricing Levels

Real Yield Beta

Volatility

Call assumptions

Mortgage Prepayment
assumptions

325+

global customers, including
both buy-side institutions
and broker-dealers

Clients can supply user inputs such as:

Customised outputs

CurvesUser keywords

User-defined securities

Pricing levels

User-defined scenario

Mortgage Model Dials

80+

Customised reports which include indicative data and daily historical P/Y analytics
output such as:
Nominal measures:

Option/Inflation-adjusted measures:

YieldsConvexities

Durations

Volatilities

Spreads

Sensitivities

Convexities

GreeksDurationsCustom key rate durations

Spreads

DV01s

million calculations every
24 hours

10+

million natively modelled
securities

10-year historical analytics case study – government/corporate bonds and swaps
A client was limited by incomplete analytics on a portfolio consisting of 250+ Government/Corporate bonds and 25+ bespoke interest
rate swaps over a 10-year period. Leveraging Yield Book’s ability to create custom securities, the client’s bespoke swaps could bemodelled accurately on a historical basis. Given the client’s bespoke pricing inputs, a comprehensive set of derived historical analytics
was generated on their portfolio of bonds and swaps. The daily history was then used by the client to assess the performance of theirinvestment strategies over time.

Daily yield to maturity for four corporate bonds

Daily pay leg price for four interest rate swaps
by currency

10140

8130

6120

4110

2100

090-201/2008
US Bond

01/201001/2012

UK Bond

01/2014
Spanish Bond

01/2016

01/2018

French Bond8001/2008

01/201001/2012USDGDP

EUR

01/201401/2016

CHF

Source: Yield Book. Data from January 2008 to January 2018. Past performance is no guarantee of future results. Please see the end for important legal disclosures.

01/2018

Yield Book Historical Analytics Solutions

3Contact us
To learn more, contact us at sales@yieldbook.com or visit our website: solutions.yieldbook.com
Americas +1 646 989 2200

Asia-Pacific

EMEA +44 20 7334 8963

Tokyo +81 3 6441 1015
APAC +886 2 8729 5130

© 2023 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). All rights reserved.
“The Yield Book®” is a trademark and/or service mark owned or licensed by The Yield Book Inc., and all other trademarks and service marks used herein (whether registered orunregistered) are trademarks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors. Microsoft and Excel are trademarksof the Microsoft group of companies.
All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSE Group, from sources believed by it to beaccurate and reliable. Because of the possibility of human and mechanical error as well as other factors, however, such information and data is provided “as is” without warrantyof any kind.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly
or impliedly, either as to the accuracy, timeliness, completeness, merchantability of any information or of results to be obtained from the use of the Yield Book products, including
but not limited to data and analytics or the fitness or suitability of the Yield Book products for any particular purpose to which they might be put. Any representation of historical
data accessible through Yield Book products is provided for information purposes only and is not a reliable indicator of future performance.
No responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage inwhole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing,editing, transcribing, transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special,consequential or incidental damages whatsoever, even if any member of the LSE Group is advised in advance of the possibility of such damages, resulting from the use of, orinability to use, such information.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing contained herein or accessible
through Yield Book products, including statistical data and industry reports, should be taken as constituting financial or investment advice or a financial promotion. Past
performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only.
This document may contain forward-looking assessments. These are based upon a number of assumptions concerning future conditions that ultimately may prove to beinaccurate. Such forward-looking assessments are subject to risks and uncertainties and may be affected by various factors that may cause actual results to differ materially.
No member of the LSE Group nor their licensors assume any duty to and do not undertake to update forward-looking assessments.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording orotherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group data requires a licence from Yield Book and/or theirrespective licensors.

LDA3033950/10-23