Separate signal from noise with a library of consistent, comprehensive spread curves

Fixed income is notoriously difficult to work with and building your own credit curves is a daunting exercise riddled with challenges.

Instead, why not tap into years of proprietary research that has gone into constructing the Axioma Credit Spread Curves? With comprehensive data across maturities and credit quality, you get access to over 12,000 issuer-specific curves and over 6,000 cluster curves to be used for portfolio management, risk management and reporting.

True innovation

Our spread curves reduce model-based instability and artificial volatility so you won’t have the same ratings migration problems you see in other rules-based methodologies. And, thanks to a joint-estimation technique, the term structure is aligned with market comparables allowing for a more meaningful and robust shape.

  • Time series noise reduction:
    a special algorithm smooths the time series history of curves to reduce noise from poor and inconsistent pricing, bad liquidity and general market noise
  • Peer consistent estimation:
    the shape of spread term structures is informed by comparable peer issuers ensuring granular market-consistent trends
  • Outlier removal:
    automatic detection and down-weighting of outlying instruments
  • Risk entity master:
    legal entities with corporate hierarchy are grouped together

Same data, different uses

  1. Asset management:
    Model default risk to enable multi-asset risk integration
  2. Insurance and pension funds:
    Fulfill Solvency II requirements with ultimate parent company and country of risk proxy illiquid single-name CDS curves in counterparty risk calculations (xVA)
  3. Banks – Risk, Treasury and Finance:
    Independent Own Credit Calibration and reduce Risk Weight Assets
  4. Banks – Treasury, Finance and Audit:
    LEI entity risk mapping
  5. Banks – Risk:
    Limit checking and third-party check against ratings

We can help you with risk management and portfolio construction.