Lumesis brings on ICE Data Services’ yield curve to its platform

Published On: April 7th, 2021 | Categories: |
Lumesis brings on ICE Data Services’ yield curve to its platform

By Christine Albano  |  First published in The Bond Buyer

Financial technology company Lumesis has brought on ICE Data Services’ yield curve data sets to bring another layer of information for its municipal bond clients, the firm announced on Monday.

The tax-exempt ICE Municipal Yield Curve and spreads for all underlying trades is available to Lumesis customers using its DIVER New Issue and Secondary Pricing services.

This service creates new-issue scales and pricing analyses and explores secondary market comparisons and activity, while providing transparency into comprehensive data used to generate these analyses, the firm said.

To introduce the new integration, the firms will host a webinar on April 28 at 1PST/4EST to discuss the ICE Municipal Yield Curve and its role in Lumesis’ New Issue and Secondary Pricing services.

“A hallmark of our product growth and expansion is premised on listening to our clients,” Gregg Bienstock, chief executive officer at Lumesis, said in a release.

He said the firm was eager to deliver ICE’s high-grade, tax-exempt municipal yield curve to clients because it provides an additional market perspective, including real-time intraday updates and end-of-day analysis from ICE’s evaluated prices and reference data.

The curve is constructed using trades with sizes of one million par amount and higher and represents investment-grade market movements and activity throughout the day.

“We are excited to be providing Lumesis’ customers with access to ICE’s data and analytics, which will allow them to make more informed decisions for new-issue and secondary pricing,” Mark Heckert, chief product officer of Fixed Income and Data Services at ICE, said in the release.

The collaboration follows a recent initiative by Lumesis in January, which included the incorporation of machine learning functions into its municipal pricing and scales software.

That effort was implemented to address limitations of traditional interpolation and extrapolation methodologies, according to Lumesis.

“The artificial intelligence software is used to predict the shape of a deal-specific municipal yield curve based on the unique structural and credit characteristics of the deal being priced,” according to a release.

Clients use the predicted shape to fill-in portions of a yield curve that cannot be built from sparse observable market transactions,” Tim Stevens, president and chief operating officer at Lumesis, said.