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2013-05-31Data

ICAP OTC Interest rates now available on Macrobond

OTC interest rate instruments, with an emphasis on interest rate swaps, denominated in eight currencies and priced in several different geographical locations as well as other types of data like FX spot and FX forwards.

With the global OTC interest rate markets having an annual turnover in the hundreds of trillions of dollars Macrobond is pleased and excited to announce a partnership with ICAP.

ICAP is a leading markets operator and provider of post trade risk mitigation and information services. The group is active in 32 countries in the interest rate, credit, commodity, FX, equity and equity derivative markets. ICAP's strategic goals are to be the main infrastructure provider to the world's wholesale OTC markets, be the leading global intermediary and also the leading post trade risk services provider.

The partnership enables us to provide our clients with world class data for the G7 countries and the Nordic region in our new ICAP add-on database. The database covers a multitude of OTC interest rate instruments, with an emphasis on interest rate swaps, denominated in eight currencies and priced in several different geographical locations as well as other types of data like FX spot and FX forwards. The almost 35 000 available daily frequency time series have extensive history and are updated throughout the day as different markets closes.

The database includes:

  • Bonds corporate, sovereign and US agency
  • Currency spot and forward rates
  • Deposit rates, FRAs and repos
  • Basis swaps and cross currency basis swaps
  • Inflation swaps
  • Interest rate swaps
  • Swaptions, straddles and cap/floor
  • Overnight indexed swaps
  • Swap spreads
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