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.
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“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.”
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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.”
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