Analytics, Static Cash Flows, Scenario-based Cash Flows, Scenario-based analytics and returns data for instrument-level and portfolio-level risk analytics.
- Integrated analytical models and reference data: Derives various risk measures by employing analytical models, such as interest rate risk, prepayment, credit spreads, and optionality models.
- Broad coverage: Delivers analytic measures such as yields, spreads and durations (including key rates) for a wide range of fixed income asset classes with over ~2.8 million securities available.
- US Structured finance deal library: Utilizes our proprietary structured deal library to generate cash flows and risk analytics.
- Key measures: Includes over 150 critical static and dynamic analytical measures, such as accrued interest, spreads, yields and durations.
- Intraday analytics: Using live streaming Continuous Evaluated Pricing (CEP)* and curves from ICE Data Pricing & Reference Data
- Delivery: A variety of delivery channels to provide you with the data you need in multiple formats to drive mission-critical applications.
Specifications
Key Features
Key Measures:
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Durations & Convexity
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Spreads
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Yields & More
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Cash Flows
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Scenario Analytics
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Returns
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A variety of delivery channels to provide you with the data you need in multiple formats to drive mission-critical applications:
Universe Files
- Get precalculated analytics for an entire asset class using ICE evaluations* (universe) based on regional closes (U.S., EMEA, APAC)
ICE Data API / Custom Files
- Provides direct access to our fixed income analytics engine
- Request analytics based on your securities of interest using your price or ICE’s evaluations*
- For mortgage-backed securities, provide your own prepayment assumptions, use historical prepayment speeds, or scale the prepayment model faster/slower
- ICE Data API: Supports custom terms and conditions for private securities
- Custom Files: SFTP file delivery
Software Libraries
- Analytics software libraries that can be integrated with your internal applications and highly optimized for speed
- Covers a variety of fixed income asset classes including corporates, municipals, agencies, sovereigns and more
- Proprietary tax neutral risk calculations for municipals
- Support for tax loss harvesting
Desktop
- ICE Portfolio Analytics provides a web-based solution for portfolio management, analysis, and risk oversight
- Compare your portfolios to over 4,500 fixed income indices provided by ICE Data Indices
- Analyze proposed trades by using the Trade View functionality
- Manage risk with the ability to shock over 30 government and swap yield curves at various tenors
*This product is provided in the US through ICE Data Pricing & Reference Data, LLC and internationally through ICE Data Services entities in Europe and Asia Pacific. ICE Data Pricing & Reference Data, LLC is a registered investment adviser with the US Securities and Exchange Commission. Additional information about ICE Data Pricing & Reference Data, LLC is available on the SEC’s website at www.adviserinfo.sec.gov. A copy of ICE Data Pricing & Reference Data, LLC’s Form ADV is available upon request.
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