ICE Data Derivatives has extensive experience in providing mark-to-market reports, at end of day and intraday, alongside independent portfolio valuations. Our valuation calculation services cover major asset classes including Interest Rate, Inflation, Equity, Foreign Exchange, Commodity, Credit and Hybrids.

Our pricing models are fueled by our high quality market data that is sourced in real time from top tier banks, exchanges, interdealer brokers, data vendors, utility companies, energy producers, as well as ICE’s own network of exchanges and clearing houses.

This wide breadth of contributions, alongside our robust pricing models enable us to calculate derivatives valuations that are granular, long dated and independent. We support a wide range of complexity from simple vanilla and forward instruments, to 3rd generation exotics and bespoke structures.

Extensive Vanilla to Exotic Coverage

Independent calculated valuations based on market standard analytics and our comprehensive data.

Commodities »

  • Vanilla
  • Asian
  • Strips
  • Crack
  • TARN/TARF
  • Barrier
  • Accumulator
  • Spread Option
  • Gas Formula

Credit »

  • CDS
  • CDS Index
  • Index Tranches
  • Bespoke CDS Tranches
  • First to Default (FTD)
  • Credit Swaptions
  • Structured Notes
  • CLNs

Equities »

  • Vanilla
  • Barriers & Digitals
  • Var & Vol Swap
  • Total Return Swap
  • Basket / BO WO
  • Autocallable
  • Cliquets
  • Corridors
  • ELNs

FX »

  • Vanilla
  • Barriers & Digitals
  • Deposit Notes
  • Accrual / Floaters
  • Accumulator
  • Target Structures
  • Vol/Variance Swap
  • Basket
  • Best of/Worst of

Interest Rates »

  • Swap
  • Inflation Swap
  • Cross Currency
  • Swaption
  • Cap / Floor
  • Inflation Options
  • CMS
  • Structured Swaps
  • Bond Derivatives

Flexible delivery options

3 workflows tailored for your needs

File in/File out
  • Fully automated solution
  • Covers simple to advanced products
  • Templates in Excel®, CSV, XML
  • Dedicated delivery staff to support setup process
IPA Blotter
  • Automated upload and download
  • Covers simple to advanced products
  • ICE Portfolio Analytics desktop
  • Bespoke deal-capture
  • On-demand valuation calculation
  • Integrated portfolio analytics and risk
Complex Team

Experienced quantitative analyst team to help with:

  • Structured products
  • Complex and exotic derivatives
  • Structure bespoke trades by analysing prospectuses and term sheets