ICE


Evaluations & Mark-to-Market Data

Continuous Evaluated Pricing

Streaming Evaluated Bond Prices across Multiple Asset Classes

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Historically low interest rates have fuelled a dramatic increase in the size of the fixed income market. The way dealers interact with their institutional customers is changing as the dominance of the principal-based trading model begins to fade, in favour of increased use of electronic trading venues and risk-less principal trading. These developments put a premium on access to timely updates. We're helping our clients adjust to changing dynamics by providing continuous, independent evaluated pricing to front, middle and back offices, extending the reach of fixed income end-of-day evaluations into intraday applications.

Continuous evaluated pricing helps create:

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  • Pre-trade transparency
  • Price discovery and idea generation
  • Enhanced trading workflow to support ETF monitoring, trading and intraday internal crossing
  • Post-trade best execution analysis, compliance and transaction cost analysis
  • Support of intraday operational valuation processes and collateral
  • Real-time risk and credit utilization monitoring

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Our Proprietary Approach

As a leading provider of evaluated pricing and related services, we're uniquely positioned to deliver this ground-breaking service. Our innovative approach combines both system and human analyses to generate a continuous stream of fixed income evaluations that processes and incorporates market data throughout the day.

Our approach is rooted in the judgment and expertise of our evaluation team and does not rely solely on black box models.

Here’s how continuous evaluated pricing is performed:

  • Evaluators map out the characteristics of the securities and data sources in their assigned sectors. Automation rules continuously drive evaluation changes as market data is received and processed, and alert evaluators to data exceptions based on established exception tolerances.
  • During primary business hours, evaluators review the generated exceptions and apply various tools to analyze exceptions, including, as appropriate, review against additional data sources, information obtained through market contacts, comparable bonds, and application of the evaluator’s judgment and expertise.
  • The established alert configurations are examined regularly and recalibrated based on lessons learned from the exception review process and current market practices.


Coverage

Global

USA

Corporate Bonds (IG & HY)Agencies
Emerging MarketsTBA Mortgages
Money MarketsMBS Pass-throughs
SovereignsMunicipal Bonds

Continuous Evaluated Pricing Powers

The sporadic nature of trading activity for all but the most liquid bonds in the most liquid asset classes makes it difficult to assemble the right package of comparable trades around which to build out tools for assessing execution quality. At ICE Data Services, we’ve developed new tools that leverage our Continuous Evaluated Prices to provide a basis for the measurement of Best Execution. These tools can be used by traders, portfolio managers and compliance officers to more closely monitor trading activities across the growing number of venues and protocols.

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