Valuations
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
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
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