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

Geographical Coverage
Global
Data Frequency
Intraday | End-of-Day
Asset Class
Fixed Income | Structured Products
Delivery Mechanism
ICE Connect | ICE Data API | ICE Data Files | ICE Global Network

Key Features


Key Measures:

Durations & Convexity

  • Effective Duration
  • Effective Convexity
  • Key Rate Durations
  • Spread Duration
  • Spread Convexity
  • CS01
  • Modified Duration
  • Duration to Worst
  • Macaulay Duration
  • Macaulay Duration to Worst
  • DV01

Spreads

  • Government OAS
  • Swap OAS
  • Asset Swap Spread
  • Nominal Spread
  • ZVO
  • Discount Margin
  • I, Z and G spread

 

 

Yields & More

  • Yield to Maturity
  • Yield to Worst
  • Yield Value of 32nd
  • Yield to Put
  • Current Yield
  • Accrued Interest
  • Average Life

 

 

Cash Flows

  • Interest Cash Flow
  • Principal Cash Flow
  • Prepay Cash Flow
  • Loss Cash Flow
  • Total Cash Flow
  • Remaining Balance

 

 

Scenario Analytics

  • Ending Price
  • Ending Yield to Maturity
  • Ending Average Life
  • Ending Modified Duration
  • Ending Effective Duration
  • Ending Effective Convexity
  • Ending OAS
  • Ending Spread Duration
  • Ending CPR
  • Ending PSA

Returns

  • Income Return
  • Price Return
  • Total Return

 

 

 

 

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. 

Products


ICE Global Network

ICE Global Network offers delivery of high-quality content in native format, and access to execution services through an ultra-secure, highly resilient network. An important backbone for financial and commodity market information flow, it connects the global market community to the broadest ranges of data sources - including proprietary and third-party content - and trading venues in a safe, efficient manner.

ICE Data Files

The evolution of our file-based offering. Bringing together, in a unified solution Corporate Actions, Reference Data, Analytics and our wealth of pricing datasets including ICE Evaluations, CEP, Fair Value Information Services & Listed Market Pricing.

ICE Data API

Buy-side and sell-side front offices continue to embrace more data and more technology in order to expand their opportunities and gain an edge over the competition. Enrich front office systems with ICE’s Data API solution, providing intraday access to fixed income pricing, on-demand analytics, reference data and more.

ICE Connect

ICE Connect brings together access to cutting-edge trading tools with real-time cross-asset data, global news, and analytics all on one platform. Whatever your role, our platform can be tailored to your workflow for optimal efficiency.

Interested In learning more about
ICE Fixed Income Analytics?