Alphacast

This dataset includes JP Morgan daily EMBI spreads for Latin America. The information is also reported as an average of 30 consecutive days

Emerging Markets Bond Index (EMBI)

J.P. Morgan Chase & Co. (JPM) is a multinational investment bank and financial services company headquartered in the United States. It is one of the largest banks in the world, offering a wide range of financial products and services to individuals, businesses, and governments, including investment banking, asset management, wealth management, and retail banking. JPM operates in over 100 countries and has a strong presence in key financial markets globally, including the United States, Europe, and Asia.

J.P. Morgan Chase & Co. (JPM)

Mariano Sanchez Moreno

This dataset contains **historical** prices (24 hs), nominal volume, maturity, and fundamentals (up to T-1) for sovereign, sub-sovereign, and corporate fixed income assets in the Argentine market. These assets are traded on BYMA and are classified by market segment, coupon structure, issue currency, trading currency, issuer, governing law, and issuer's industry. The fundamentals include effective annual internal rate of return (TIREA, expressed in decimals, calculated as the discount rate at which the net present value of all future cash flows — discounted using an actual/360 day-count convention — equals the price), modified duration, convexity, parity (as a percentage), residual value (as a percentage), accrued interest (in decimals), coupon rate (expressed as a holding period return, i.e., final value over initial value minus one), and volatility (in decimals).

For intraday data of these assets, click [here](https://www.alphacast.io/datasets/financial-argentina-fixed-income-intraday-prices-beta-41885).

Historical Price & Fundamental

This repository includes the price, volume, cashflows and metadata of Argentinian Fixed instruments assets

Alphacast Argentina Fixed Income Data

This dataset contains **intraday** prices (24 hs) and fundamentals for sovereign, sub-sovereign, and corporate fixed income assets in the Argentine market, traded on BYMA. Assets are classified by market segment, coupon structure, issue currency, trading currency, issuer, governing law, and issuer's industry. Fundamentals include internal rate of return (IRR, expressed in decimals, is the discount rate at which the net present value of all future cash flows equals zero), modified duration, convexity, parity (as a percentage), residual value (as a percentage), accrued interest (in decimals), and coupon rate.

For historical data of these assets, click [here](https://www.alphacast.io/datasets/financial-argentina-fixed-income-historical-price-fundamentals-beta-41886).

Intraday Prices

This dataset contains **historical** prices (t+0; contado inmediato) and volume for sovereign, sub-sovereign, and corporate fixed income assets in the Argentine market. These assets are traded on BYMA and are classified by market segment, coupon structure, issue currency, issuer, and issuer's industry.

For intraday data (t+1), click [here](https://www.alphacast.io/datasets/financial-argentina-fixed-income-intraday-prices-beta-41885). Besides, for historical prices and fundamentals (t+1), click [here](https://www.alphacast.io/datasets/financial-argentina-fixed-income-historical-price-fundamentals-beta-41886).

Historical Price - Spot

Financial - Argentina - Fixed Income - Historical Price - Spot

Ignacio Savanti

This dataset includes the total return index for each asset class of Argentina's fixed income market.

Total Return Index By Asset Class

Financial - Argentina - Fixed Income - Total Return Index by Asset Class

The first variable is a simple average of the Lecaps and Boncaps effective monthly rate, and the other variable is the effective monthly rate of the Lecap/Boncap that expires the soonest on each date. Bonds expiring in 5 days or less are filtered out for each date beforehand. In %.


Lecap Index

Financial - Argentina - Fixed Income - Lecap Index

This dataset includes historical prices and irr (in decimal) for DICA & DICY bonds.

Historical Dica & Dicy Prices

Financial - Argentina - Fixed Income - Historical DICA & DICY Prices

Guido Schiavi

This dataset contains daily observations for matured fixed income securities, including the trading date, security ticker, and key market metrics such as price, yield, and duration (DM).

Matured Fixed Income Historical Prices

This dataset provides daily sovereign bond yields (in %) for 70+ countries. The value (yield), date and maturity (in years) are specified in the variables.

Yield Curves

Latest data about commodities, currencies and more.

Global Markets

Ezequiel Saldaña

Government Bonds - Yield

Luciano Cohan

This dataset includes Sovereign Credit Ratings for several countries.

Sovereign Credit Ratings

Markets - Global - Sovereign Credit Ratings

Credit Default Swap 

Markets - Global - Credit Default Swap 

This dataset includes the daily update of the price quotes of endorsed CDP-ECHEQ CDPs are an excellent financing tool that allows you to discount checks in a transparent, simple and secure way The Echeqs are traded under the public offering system in the stock market and represent a very advantageous option compared to other alternatives to finance working capital, with more convenient terms and fewer requirements than the classic financing options.

Cpd Echeq - Avalado - Daily

Mercado de Valores Argentino S.A (MAVSA) is an Argentine securities exchange. It operates as a market for the trading of securities, including stocks, bonds, and other financial instruments. The exchange offers a range of services, including real-time pricing, the ability to execute trades quickly and efficiently, and access to market data and analysis. MASVA is regulated by the Argentine government and is designed to meet high standards for transparency, security, and investor protection.

Mercado de Valores Argentino S.A (MAVSA)

Financial - Argentina - MAVSA - CPD ECHEQ - Avalado - Daily

Cdp-Echeq - Guaranteed 

Financial - Argentina - MAVSA - CPD ECHEQ - Garant. - Daily

Pagare - Endorsed 

Financial - Argentina - MAVSA - PAGARÉ - Avalado - Daily

Cdp-Echeq - Non-Guaranteed 

Financial - Argentina - MAVSA - CPD ECHEQ - No Garant. - Daily

Pagare - Non-Guaranteed  

Financial - Argentina - MAVSA - PAGARÉ - No Garant. - Daily

Fce - Non-Guaranteed 

Financial - Argentina - MAVSA - FCE - No Garant. - Daily

This dataset includes volumes traded for the Fixed Income/Sales Volume market. Data are in millions of USD.

Fixed Income -  Purchase & Sale Volume

Mercado Abierto Electrónico (MAE) is an electronic stock market in Argentina. It operates as an alternative trading system for stocks and other securities, and is designed to increase competition and transparency in the Argentine securities market. The MAE offers investors the ability to trade securities in a fully electronic and automated environment, with real-time pricing and the ability to execute trades quickly and efficiently.

Mercado Abierto Electrónico (MAE)

This dataset includes the volumes traded for the repos market. Data are in millions of USD.

Repos Volume

The CME Term SOFR Reference Rates benchmark is a daily set of forward-looking interest rate estimates, 
                 calculated and published for 1-month, 3-month, 6-month and 12-month tenors.

Term SOFR Rates

The Chicago Mercantile Exchange (CME Group) is a global financial marketplace for trading futures and options on a variety of financial and commodity products. It operates the largest futures exchange in the world and provides access to futures and options markets across the globe, including the U.S., Europe, and Asia.

Publications in Fixed Income

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