Qontigo: Axioma Fixed Income Spread Curves

Spread term structures - IG & HY corporate, EM, sovereign, sub-sovereign, agency and covered bonds

Description:

Comprehensive library of credit term structures used by sell-side and buy-side financial institutions for valuation and risk related activities, leveraging Qontigo’s proprietary curve construction and risk entity frameworks. Qontigo’s library of spread curves solves the key challenges inherent in curve construction and delivers:

– 12,000 issuer-specific full-term structure spread curves across 50 currencies and 12 pricing tiers
– 6,000 aggregate spread curves across 50 currencies, 100 industry groupings and 21 credit ratings
– History starting in 2020
– Issuers classified through Axioma Risk Entity framework
– Consistency across multiple time periods
– Full entity mapping to ensure correlated entities (e.g., subsidiaries of a common legal entity) can be grouped together
– Sophisticated methodology to guard against model-based instability and artificial volatility in curve-building; addresses issues like ratings migration problems often seen in rules-based methodologies
– A joint-estimation technique aligning the term structure with liquid market comparables creating a meaningful and robust shape

Fields included:
– Curve identifiers, including curve type and curve category
– Over 20 spread curve node tenors, up to 100Y where applicable

About the Provider: