Analytics Products

Axioma Fixed Income Spread Curves

A library of consistent, comprehensive spread curves

Built off the back of years of proprietary research we’ve tackled the key challenges inherent in credit curve construction today. Our innovative methodology which includes peer-consistent estimation, Level Reverting Noise Reduction algorithm, outlier removal and a risk entity master, helps to ensure a clearer signal from all the noisy data.

In addition to powering our Fixed Income and Multi-Asset Class Models, our Spread Curves have wide applications across asset managers, asset owners and banks and are available as either a flat file or within our enterprise market risk management system.

Key Benefits

Comprehensive data across maturities and credit quality

Access over 12,000 issuer-specific curves and over 6,000 cluster curves

For your entire organization

Utilize granularity and dynamic updates across valuation, risk and reporting functions

Full entity mapping

Algorithm and logical approach ensures correlated entities (eg, subsidiaries of a common risk-return profile) are grouped together

Reduced model-based instability and artificial volatility

Addresses issues like ratings migration problems often seen in rules- based methodologies

More meaningful and robust shape

Thanks to a joint-estimation technique, term structure is aligned with liquid market comparables

Consume the data how you want to

Across RestAPI, file delivery or Axioma Risk, you have the flexibility to choose

Axioma Fixed Income Spread Curves

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