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ICE Evaluated Curves (includes Sovereign Curves)

Published in Pricing & Analytics

ICE Data Pricing & Reference Data provides global securities evaluations, reference data, and analytics designed to support financial institutions’ and investment funds’ valuation activities, securities operations, research, and portfolio management. ICE Data Pricing & Reference Data offers the following services under its advisory business: Evaluated prices.

Evaluated prices are market-based measurements that are processed through a rules-based pricing application and represent our good faith determination as to what the holder may receive in an orderly transaction for an institutional round lot position under current market conditions. The rules-based logic utilizes standard valuation techniques that vary by asset class and maximizes the use of relevant observable inputs, including quoted prices for similar assets, benchmark yield curves and market corroborated inputs.

Evaluated curves are created by using inputs of constituent bond evaluations. Curves are available based on local market end-of-day bond evaluations as well as market close of other regions using Continuous Evaluated Pricing.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 8 money markets, including the following:

  • Argentina Sovereign Government Senior in ARS
  • Switzerland Sovereign Government Senior in CLP
  • Egypt Sovereign Government in EGP
  • Sri Lanka Sovereign Government in LKR
  • Morocco Sovereign Government in MAD
  • Romania Sovereign Government in RON
  • Suriname Sovereign Government in RSD
  • Vietnam Sovereign Government in VND

Some of the data items available include the following:

  • Currency Code, Constituent Yield, Country Description, Covered Flag, Coupon Type, Date of Portfolio, Day Count, Description, Discount Factor, Forward Rate, Industry Group Description, Index Symbol (Source), Industry Levels 1-4 Description, Inflation, Issuer Description, Par Yield, Payment Frequency, Database Source and Symbol Code, Rating, Region Flag, Side Flag, Database Source, Strip Flag, Sukuk Flag, Database Symbol, Tenor, Tenor Maturity Date, Ticker, Tier, Zero Yield, Spread to Spot Curve, etc.

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