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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 785 Money Market securities, including money market securities in Western Europe with the following attributes:

  • Currencies: GBP and EUR
  • Ratings: A, AA, AAA, B, BB, BBB, C, CC, CCC
  • Tiers: Unsubordinated, Senior Secured, Subordinated
  • Daily and intraday curves are available
  • Sectors: Consumer Discretionary, Consumer Staples, Energy, Financials, Healthcare, Industrials, Materials, Media & Communications, Quasi Government, Utilities, Technology, Sovereign, Real Estate & Reits

Curve types:

  • Par yield
  • Zero Yield
  • Z-spread
  • Forward rate

Some of the data items available for this source include:

  • Constituent Yield, Country Description, Coupon Type, Covered Flag, Currency Code, Curve Snap Time, Database Source, Database Source and Symbol Code, Database Symbol, Date of Portfolio, Day Count, Description, Discount Factor, Forward Rate, Index Symbol (Source),
  • Industry Group Description, Industry Level 1 Description, Industry Level 2 Description, Industry Level 3 Description, Industry Level 4 Description, Inflation, Issuer Description, Par Yield, Payment Frequency, Rating, Region Flag, Side Flag, Spread to Spot Curve, Strip Flag, Sukuk Flag, Tenor, Tenor Maturity Date, Ticker, Tier, Zero Yield, etc.




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