Bond Valuation Work Using Empirasign
Oct. 6, 2025
Introduction
Empirasign serves two core markets. We serve the Front Office doing the transactions and the Middle Office assigning fair value levels to these transactions. Due to transparency issues and the general complexity of bonds, valuation can be a particularly thorny problem in Fixed Income. As work begins to ensure the accuracy of quarter-end and year-end marks, now is a good to time to present an overview of the data sets and tools Empirasign offers to turn this thorny problem into a tractable one.
Independent and Bias-Free Market Data
Before we begin, it's important to note that Empirasign does not own bonds, nor do we make markets in bonds. We function as an independent observer of the market. As such, the Market Data acquired and published by Empirasign is free of bias and uniquely suited for valuation work.
Data Sets
Empirasign BWIC and Runs Data Sets
Since 2010, we've built up a global network of buy-side and sell-side Market Data contributors allowing us to give Empirasign clients an unparalleled look into the formerly opaque BWICs and Dealer Runs of the Structured Products Market. Over the last few years, we've also added Corporate Bonds and Bank Loans to our crowdsourced data sets. And since 2024, we've been indexing the New Issue market on a real-time basis. To fill out this mosaic of first-party contributed data, we've licensed third party data sets as well.
NAIC Data
Every insurance company in America must report all transactions to their self-regulatory body, the NAIC. We license these fixed income transactions, and display them to you. This data set comprises over 19MM transactions (including price, notional amount, date, and counterparty) across 670K unique ISINs (Structured Products, Corporate Bonds, Loans, and Private Credit). You can read more about this data set here: www.empirasign.com/blog/NAIC-Transaction-History/
N-PORT Data
Every US-based Mutual Fund and ETF must file this report on a monthly basis. The quarterlies are subsequently publicly released. In this report, each fund details every security holding and the price they marked it at for quarter-end. In sum total, there are over 43MM unique observations comprising over 635K unique ISINs across Structured Products, Corporate Bonds, Loans, and Private Credit. Given that these prices represent the primary input used to compute NAVs, the N-PORT data set is effectively the world's largest test bank and answer key. Back test your valuations against what others have reported, and look to this data set in times of market duress. Furthermore, we also create insightful reports leveraging this data set (more below). For more information on the N-PORT filing and resultant data sets published by Empirasign, please consult this blog post: www.empirasign.com/blog/NPORT-Filings/
TRACE Data
All BWICs are linked to TRACE data where possible, and we have TRACE data for all Structured Products on an end of day basis.
Deal Documents
When conducting a deep dive it helps to consult the docs. We have Offering Memoranda, Term Sheets, and Indentures available for 1,000s of deals and all are fully searchable.
www.empirasign.com/blog/Deal-Documents-Full-Text-Search/
Tools
Watchlists
With a simple copy / paste from Excel, Empirasign clients can create and maintain watchlists for 1,000s of securities. Once a watchlist is established, a number of reports are automatically delivered to you. Every day after the close, you'll receive an Excel-formatted report for all watchlist market activity. We also send one on Friday afternoon which recaps the week's activity. And most importantly, we send out one at month-end. The month-end report will save you untold hours of data gathering and cross-checking. For over ten years, these Excel recaps have been deeply embedded into our clients' workflows.
www.empirasign.com/blog/Daily-Recaps-in-Excel/
Deal-Based Watchlists
Often times, our clients are asked to value assets with few, if any, market observations. Under such scenarios, the best available data can be obtained by creating a deal-based watchlist. Insights on the equity or mezzanine tranches can often be gleaned from activity higher up the stack. More information on this watchlist creation method can be found at the following link: www.empirasign.com/deal-tracker/
Leverage Third Party Cash Flow Tools
With the click of a mouse, the Empirasign web application can export our Market Data to cash flow tools such as INTEXCalc, YieldBook, and Bloomberg. You can read more about this here:
High Variance Marks
Our High Variance Marks report shows all N-PORT bonds with the highest valuation standard deviations. This report highlights the bonds the market cannot price with high precision, and will help you determine what exactly is a "good enough" level of precision for a particular bond. Related Blog Post: www.empirasign.com/blog/High-Variance-Marks/
Outliers
This report highlights all statistically significantly outlier valuations for all N-PORT bonds. If your bonds show up on this report, it's probably a good idea to double-check your math and be prepared to defend a mark that is well above or below consensus.
Related Blog Post: www.empirasign.com/blog/Surfacing-Outliers/
Enterprise Solutions
In addition to the web application tools, our data is available via other channels that are more suitable to larger groups or teams. In practice, many teams license both the web application and one of the following bulk delivery methods.
Flat File Delivery
If your shop has its own data warehouse and prefers the simplicity of a flat file ETL process, we can deliver multiple cuts per day of all the Market Data we collect.
On-Demand API
Our Market Data is available via a language agnostic REST API. This means your team can use Excel VBA, Python, Java, or any other language to extract Market Data from Empirasign. Below is a link to our Developer Resources page:
www.empirasign.com/developer-resources/
Conclusion
We discussed the data sets and tools Empirasign makes available to ensure your valuations are correct and computed in a time effective fashion. If you would like to discuss further please reach out to us at [email protected] or 646-837-8848. If you prefer to cut out the middleman, and head on over to our Free Trial Registration Page.