Continuous Evaluated Pricing™

Data | Pricing & Valuations | Continuous Evaluated Pricing

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:

  • 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

VIEW THE CEP INFOGRAPHIC

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 tools drive evaluation changes continuously as market data is processed and alert evaluators to outliers in the data
  • Evaluators review exceptions and apply various tools to resolve outliers, including, as appropriate, application of market knowledge and information obtained through market contacts and/or based on evaluator experience
  • The pattern of alerts is examined regularly to help adapt the alert configurations to ever-changing market conditions
Continuous Evaluated Pricing Powers

Measuring Execution Quality

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.

Automation

As electronification and automated trading become an increasingly important part of the fixed income market structure, liquidity providers seeking to participate will need to explore automating certain components of their trading operations in order to meet the speed demands and economic realities of the new environment. Should all-to-all trading models take hold, the buy-side will also need tools that allow them to transform from price-takers to price-makers in the marketplace.

Pre-Trade Price Transparency & Discovery

The flow of pre-trade pricing information is changing. Traditional sources of pre-trade transparency focus on a narrowing segment of the market. New trading venues are providing alternative sources but the anonymity many of these markets provide to their participants may leave pre-trade participants seeking additional information about the quality of the prices they see. The trading community increasingly looks for prices from recognized independent sources to help them quickly identify the best option for each trade. Our Continuous Evaluated Pricing Service can provide you with the tools to assess quote quality and enhance price discovery and therefore assist you with making quicker decisions.

Intraday NAV Calculations

Continuous Evaluated Pricing empowers funds to calculate NAVs at any time during the trading day, using continuously updated evaluations for constituent securities.

This facilitates the intraday monitoring of a fund’s holdings to help identify and isolate those positions most likely to require review during the official NAV setting process. Some institutions elect to match the timing of the official NAV setting with local market convention.

Coverage

Global

  • Corporate Bonds (IG & HY)
  • Emerging Markets
  • Money Markets
  • Sovereigns

USA

  • Agencies
  • TBA Mortgages
  • MBS Pass-throughs
  • Municipal Bonds

Delivery

Snapshot

Delivered through our traditional snapshot platform at snap times you choose; well-suited for those accustomed to FTP-style data delivery.

EXCEL® API

Add-in for Excel allows you to integrate Continuous Evaluated Pricing into custom spreadsheet tools and watch lists.

Market Data Feed

FIX protocol-based market data feed or Consolidated Feed enables access to Continuous Evaluated Pricing throughout the day.

Addressing the risk of outlier trade prices

Trading desks and post-trade reviewers monitor trade prices as indicators of a bond's market value. A rules-based approach to price monitoring that combines multiple inputs with human oversight can help isolate and prevent outlier data from influencing valuations.

Read Now

Get Started with Continuous Evaluated Pricing

Contact Us