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Thomson Reuters Fixed Income

 

The Thomson Reuters Fixed Income Indices have been constructed according to the EFFAS (European Federation of Financial Analysts Societies) rules for bond indices. Thomson Reuters aims to offer as transparent and flexible a set of bond indices as possible. To this end, each index contains only those bonds that follow the rules agreed by the subcommittee and all indices have been rigorously back tested. All series were originally calculated to 30th December 1988, now most markets are calculated to an earlier start date.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 3606000 bonds, 196000 companies, 52000 convertibles, and 4900 states and provinces. Included with this data source are various Government Bond maturities for: Austria, Belgium, Canada, Denmark, European, Finland, France, Germany, Great Britain, Greece, Hong Kong, Ireland Republic, Italy, Japan, Netherlands, New Zeland, Norway, Poland, Portugal, Russia, Singapore, Spain, Sweden, Switzerland, and U.S.

Some of the data items available include:

  • Bond items: Accrued Interest at End Of Month, Annuity Flag, Ask Price, Bid Price, Call Method/Notice, Day/Option, Type/Redemption/Schedule, Callable Flag, Comparable Benchmark At Issuance, Convertible Flag, Convexity, Corp Beq Cash-Flow Yield, Coupon Class (Dsc,Fix,Flt,Rng,Str,Var), Coupon Currency/First Date/Frequency/History/Last Date/Period/Type, Currency at Issuance/of Security, Current Coupon/Outstanding, Date of Eligibility For Remarketing, Dated Date, Debt Type, Defeased Flag, Dominion Bond Rating Services (Dbrs), Dual Currency Flag, Duff & Phelps Ratings, Duration/To Worst, Effective Convexity/Duration, End of Month Return/Durations, Evaluated Price, Exchange Listed Flag, Ex-Div Calendar Rule Code, Extend Notice Day, Extend To Date, Extendible History, Fees Paid To Underwriter For Distributing Securities(% Of Par), Final Maturity, Fitch Bond Ratings, Interest Day Count Code, ISIN Identifier, ISMA Native YTM/YTW, Issue Date, Issuer Type (Sovr,Corp,Supr), Management And Underwriting Fees, Medium Term Note Flag, Moody’S Bond Ratings, Native YTM/YTW , Next Reset Date, Original Issue Price/Yield, Outstanding Notional History, Portion Of Management Fee That Goes To Lead Manager, Previous Return, Price Quote, Convention/Rounding, Price Time Zone (1=Asia,2=Europe,3=Na), Principal Currency, Private Placement Flag, Put Method, Put Notice Day, Put Option Holder/Type Code, Put Schedule/ Code, Reuters Status Code, RIC Identifier, S&P Bond Ratings, Securities Issuer Code/Desc, Sedol Identifier. Settlement Date, Sinking Flag, Sinking Notice Day , Sinking Price/schedule/type/units, Spread To Benchmark At Issuance, Strippable Flag, Tappable Flag, Total Fees Expense, Trade Date, Underwriter Fee, Warrant Flag, Wertpapier Identifier
  • Company Items: Bridge Identifier, Country Code, Bankruptcy Flag, Industry Code Of Issuer. Issuer Domicile Country Code, Moody’S Issuer Ratings, Naic Code Of Issuer, Org ID (To Link With Rteq), Original Parent Code Of Issuer, Parent Code Of Issuer, S&P Issuer Ratings, Sector Code Of Issuer, Sector Of Issuer
  • Convertible Items: Conversion Notice Period, Conversion Rate Effective, Conversion Ratio (Shares)/ Type Code, Convertible Terms End Date, Convertible Terms Leg Number, Convertible Terms Leg Number, Delivery Option, Dilution Protection, Exercise Type, Foreign Exchange Rate, Hurdle Information, Interest On Conversion, Premium At Issue, Refix Codes, Prices, Returns, etc., Settlement Period, Start Date, Stock Buyback Effect Type, Underlying Asset Information

 

 

 

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