Interest Rates
ICE Data Derivatives’ independent OTC interest rates derivatives data is sourced from a variety of contributors across brokers, dealers and market making banks. Our market-calibrated data set is scrubbed, normalized and based on current dynamic market consensus versus a general average to help support your trading, regulatory and risk management needs.
Coverage
Model
- SABR
Universe
- Up to 60 currencies
History
- 8 to 10 years
Coverage
- Yield Curves
- Basis Swaps
- Cross Currency Swaps
- Swaption Volatility Surfaces
- Cap/ Floor & Caplets/ Floorlets Volatility Surfaces
- Implied Correlation
- Deposit Rates
*Historical data before 2016 is based on prior VRF model
Multiple Use-cases
Real-time, end-of-day and historical market and derived data combined with pre-trade price discovery, valuation and risk analytics to help financial services firms across the front, middle and back office.
Front Office
- Real-time market data to help support your trading ideas, pricing and trade execution
- Can help you build strategies and market views to manage company or customer positions
- Supports construction of complex structured products based on market and customer needs
- Assists quantitative research with pricing models and derived data for risk analysis
Middle & Back Office
- Supports the risk management workflow to manage market, credit and operational risk
- Assists in managing trade valuations, MTM and Greeks calculations
Delivery Methods
- Real time streaming - Volatility surface updated every 15 minutes
- Flat files (via SFTP) with various cut times (intraday or EOD) and supporting XML, CSV and XLS formats
Transitioning to alternative reference rates
We can help you manage the shift, with real-time derivatives data, valuations and analytics, futures contracts on all major alternative rates and IBA's preliminary Term Rates for SONIA.