ICE Bond Curves

ICE Bond Curves

Gain more insight into financial markets with our comprehensive curve offerings for application across investment management, risk, market trend analysis and relative value research.

WHITEPAPER

Calculating Historical Simulation Value-at-Risk

Read now

Benefits

Derived from market-leading pricing

Utilizes the content & technology of our evaluated bond pricing service:

  • High quality bond evaluations used as curve inputs
  • Leverages established curve creation infrastructure used for evaluations
Deep history

End of day curves with 15 years of history

  • Applies historical bond evaluations data sets
  • Consistent time series data for quantitative and risk modeling
Transparent
  • Bond constituents available for each curve
  • Details on techniques used to construct each curve available
Flexible curve delivery
  • End of day snaps at regional market closes
  • Data available via multiple delivery platforms

Broad Coverage

Sovereign Curves

Global coverage of sovereign curves

Corporate Curves

Corporate issuer curves based on characteristics of issuer, tier and currency

Model-Based Curves

Sector curves based on region/country, industry sector, tier, rating and currency

U.S. Municipal Yield Curves

US Municipal AAA Curve with rules-based model for selection of input bonds

Features

Daily and intraday curves available
Extensive history available
Multiple curve types
  • Par yield
  • Zero
  • Z-spread
  • Forward rate
  • Discount factor
Flexible delivery
  • PAPI
  • Files