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ICE Model Based Sector Curves

Published in Pricing & Analytics

ICE Data Services provide independent evaluated pricing to front, middle and back offices, including End-of-Day Evaluations and Continuous Evaluated Pricing, and analytical services. These services can help clients analyze liquidity in difficult-to-price areas of the market, measure best execution, value securities and understand risk.

Measuring security yield against an industry sector curve is one way to evaluate return generated by credit spreads. A conceptually sound yield curve represents an unambiguous sector classification, comparable with international standards.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 784 Money Market securities, including:

  • C_W_EUR and C_W_GBP
  • CD, CS, EN, FI, HC, ID, MA, ME, QG, RE, SO, TE, and UT

Model-Based Sector curves are based on region/country, industry sector, tier, rating and currency. Daily and intraday curves are available.

Multiple curve types, including Par yield, Zero, Z-spread, Forward rate, and Discount factor can be applied across investment management, risk, market trend analysis and relative value research.




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