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 cash flow and scenario analytics 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 static cash flows, scenario cash flows, scenario analytics, and returns.
- 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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Static Cash Flows
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Scenario Analytics
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Dynamic Cash Flows
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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:
ICE Data API / Custom Files
- Provides direct access to our fixed income analytics engine
- Request cash flows and scenario 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
- Manage risk with the ability to shock over 30 government and swap yield curves at various tenors
- 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
Desktop
- ICE Portfolio Analytics provides a web-based solution for portfolio management, analysis, and risk oversight
- Simulate portfolio performance based on specific interest rate or credit spread forecasts
- Analyze hundreds of projected cash flows by market/book values, income, principal, prepayments and more
- Project monthly portfolio and security cash flows under multiple interest rate environments 50-70 years
*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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