NEW YORK, November 10, 2020 – Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, has announced the availability of Axioma Fixed Income Spread CurvesTM providing sub-sovereign, corporate (investment grade and high yield), and emerging market spread and yield term structures in a standalone, flat file format. The data, derived from a proprietary methodology for fitting full term structure issuer spread level and return curves, are intended for firmwide use across trading, research, valuation, counterparty credit and treasury teams – in addition to portfolio and market risk managers.
“Axioma Fixed Income Spread Curves address a longstanding challenge users of fixed income data have encountered – that of obtaining a signal from noise to build meaningful curves,” explained Ping Jiang, Head of Multi-Asset Solutions, Americas. “In response, we developed a number of measures to ensure a clearer signal – for example, a Level Reverting Noise Reduction (LRNR) algorithm which smooths the time series history of curves.”
Additional key advantages of the curve construction methodology include:
- Axioma Risk Entity framework: Legal entities within the corporate hierarchy are grouped together to define issuers with different credit risk and return profiles.
- Peer influence: The shape of issuer spread term structures and rating-sector surfaces are informed by comparable issuers.
- Automatic outlier detection: Significant deviations are automatically assigned reduced weights.
“We already power our suite of fixed income and multi-asset class risk models with this data,” said Ian Lumb, Head of Multi-Asset Solutions, EMEA & APAC. “However, by making these spread curves available as separate content, asset managers, asset owners, banks and hedge funds can easily ingest and use this data for a wide number of applications including internal model calibration, alpha signal generation, spread-implied rating outliers, in-house limit and counterparty risk modeling and approximate valuation of illiquid assets.”
Axioma Fixed Income Spread Curves for credit risk modeling and risk decomposition are also available in the enterprise risk management system, Axioma RiskTM. The complete Axioma Fixed Income Solutions Suite includes:
- Axioma Fixed Income Spread Curves
- Axioma Granular Fixed Income Risk Model
- Axioma Factor-based Fixed Income Risk Model
Qontigo is a financial intelligence innovator and a leader in the modernization of investment management, from risk to return. The combination of the group’s world-class indices and best-of-breed analytics, with its technological expertise and customer-driven innovation, enables its clients to achieve competitive advantage in a rapidly changing marketplace. Qontigo’s global client base includes the world’s largest financial products issuers, capital owners and asset managers. Created in 2019 through the combination of Axioma, DAX and STOXX, Qontigo is part of Deutsche Börse Group, headquartered in Eschborn with key locations in New York, Zug and London.