Module 6

Data Library

RiskSpan Edge Training Program

Learning Objectives

By the end of this module, you will be able to:

  • Understand what market data is available in Edge
  • Know the timing of data updates
  • Identify data sources
  • Access market close data for analysis

Data Library Overview

What is the Data Library?

The Data Library provides access to market close data used for pricing calculations, curve construction, volatility inputs, and benchmark references.

Why It Matters

Accurate market data is essential for:

  • Fair value calculations
  • Risk metrics
  • Scenario analysis
  • Regulatory reporting

Interest Rate Data

Available Rates

Data Type Source Time (ET)
Treasury (Yield & Price) ICAP 15:00
LIBOR (Yield & Rates) RS Calc. 15:10
SOFR (Deposit/ParSwap) CME 15:10
SWAP (Rates) ICAP 15:00
COF, COFI, CMT, PRIME, MTA Fixed N/A

Note on Fixed Rates

COF, COFI, CMT, PRIME, and MTA rates are relatively fixed and don't change frequently.

Currency Data

International Rates

Currency Source Delivery
JPY (Japanese Yen) Tradition FTP
GBP (British Pound) Tradition FTP
EUR (Euro) Tradition FTP
CHF (Swiss Franc) Tradition FTP
Others iCAP Feeds

Data Types

  • Monthly: Deposit Rates
  • Yearly: Par Swap Rates

Mortgage & TBA Data

Current Coupon

Detail Value
Source Bloomberg
Delivery Email
Time (ET) 15:00

Email subject: "Mortgage Rates, DD-Mmm-YYYY"

TBA Prices

Detail Value
Source JPM
Delivery FTP
Time (ET) 16:00

Email notification to: techsupport@riskspan.com

Volatility Data

Available Volatilities

Data Type Source Time (ET)
SWAP, Cap & Floor Vol iCAP 15:00
CapSmileCurve iCAP 15:00
HjmCalibratedVols RS Calc. 15:40
Volatilities iVolatility 16:40

HJM Calibrated Volatilities

Includes: Sigma, Alpha, Volatility shifts

These are calculated by RiskSpan (RS Calc.) based on market inputs.

Futures Data

EuroDollar & SOFR Futures

Data Source Time (ET)
EuroDollar Futures Prices RS Calc. 15:30
SOFR Futures Prices CME/Refinitiv 15:30
EuroDollar Prices RS Calc. 15:30

Data Sources

  • CME Website (free)
  • Refinitiv
  • RiskSpan calculations

Data Timing Summary

When to Expect Data

Time (ET) Data Available
15:00 Treasury, SWAP, Current Coupon, Volatilities
15:10 LIBOR, SOFR
15:30 Futures prices
15:40 HJM Calibrated Vols
16:00 TBA Prices
16:40 iVolatility data
21:00 SPY ETF

Note

Most market data is available by 4:00 PM ET for end-of-day processing.

Data Source Abbreviations

Understanding Sources

Abbreviation Full Name Type
RS Calc. RiskSpan Calculation Internal
ICAP ICAP (now TP ICAP) External Vendor
CME Chicago Mercantile Exchange Exchange
JPM JPMorgan Dealer
Tradition Tradition (Broker) External Vendor
iVolatility iVolatility.com Vendor

Accessing Data in Edge

How to View Market Data

  1. Navigate to Data Library module
  2. Select data type from menu
  3. Choose date range if applicable
  4. View current values or historical series

Data Usage

Market data flows into:

  • Portfolio analytics
  • Scenario calculations
  • OAS computations
  • Pricing models

Module 6 Summary

Key Takeaways

  1. Data Library provides market close data for analytics
  2. Most data available by 4:00 PM ET
  3. Key sources:
    • ICAP (rates, vols)
    • CME (SOFR, futures)
    • JPM (TBA prices)
    • Bloomberg (mortgage rates)
  4. RS Calc. indicates RiskSpan internal calculations
  5. Data feeds automatically into analytics calculations

Next Module

Module 7: Loans Module - Upload and map loan-level data

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