Enhanced transparency gives clients a view into the data utilized in our evaluation process plus supporting information like methodology type and price movement reason codes, offering over 150 fields of data per security, that is available on an intraday or end-of-day basis. Coverage includes all of ICE’s fixed income evaluations, both Continuous Evaluated Pricing (CEP™) and End-of-day evaluations.
ICE has been evaluating fixed income instruments for over 50 years. Over that time, we have increased the amounts of data we consume and process to produce our high-quality evaluations. That “augmented intelligence” process creates dozens of data metrics utilized by our evaluators and algorithms. It is those metrics that are at the heart of the EET offering.
Use cases may include:
- Front office – the intra-day market color and other data available in Enhanced Evaluation Transparency together with ICE’s CEP can help expand the view of the market and may assist clients in their decision-making process.
- Middle office – supporting information available for IPV, Fair Value levelling and Prudent Valuation activities and the compliance process for U.S. SEC Rule 2a-5 Fair Value vendor oversight.
- Back office – security-level supporting data for independent quality assessment of fixed income evaluations
Security types include:
- Global Corporates and Sovereigns
- Global MBS and ABS
- Global Bank Loans
- U.S. Agency Non-Agency CMOs
- U.S. MBS TBAs and Pass-Throughs
- U.S. Agency Debentures
- U.S. Municipals
- U.S. Preferreds
Specifications
Key Features
- Data: over 150 data fields including, identifiers, issuer name, coupon, maturity, currency, ICE asset class and methodology.
- Reason for price change: explains why the bond evaluated price moved and/or broke ICE’s tolerance, based on the evaluator’s analysis.
- Weekly/monthly bond activity: shows the number of trades and quotes for the bond over a week or a month.
- Standard deviation: one and 30-day standard deviation of quotes and trades.1
- Daily trading details: daily breakdown of trades by type and size, as available to the evaluated services group, including the time of the last trade, total volume of trades, number of quotes (including bids and offers), and the total number of data sources, specifically for the bond in question.
- Trading ratios: one day buy, sell and interdealer trade ratio data for the specific bond.
- Evaluation dispersion metrics: one day 10th and 90th percentile bid and offer prices; 1 and 30 day bid and offer high/low evaluated prices.
- Comparable bond data: one day and one-month trades/sources count and trade volume for comparable bonds.
- ICE Liquidity Indicators metrics: liquidity scores, projected trading volume capacity, projected price volatility.
- MBS/structured assumptive data: specific data for mortgage-backed and Structured securities, like speed, type, payup, etc.
- Benchmark information: identifying information for bond pricing TBA benchmark.
- Timestamps: records the times at which selected data sets were recorded or updated.
Delivery Options:
- ICE Data Files
- Snowflake
1 One day standard deviation data and dispersion metrics are based on continuous evaluated pricing (CEPTM); 30-day standard deviation data and dispersion metrics are based on end-of-day pricing.
This product is provided in the US through ICE Data Pricing & Reference Data, LLC and internationally through ICE Data Services entities in Europe and Asia Pacific. ICE Data Pricing & Reference Data, LLC is a registered investment adviser with the US Securities and Exchange Commission. Additional information about ICE Data Pricing & Reference Data, LLC is available on the SEC’s website at www.adviserinfo.sec.gov. A copy of ICE Data Pricing & Reference Data, LLC’s Form ADV is available upon request.
Products
The evolution of our file-based offering. Bringing together, in a unified solution Corporate Actions, Reference Data, Analytics and our wealth of pricing datasets including ICE Evaluations, CEP, Fair Value Information Services & Listed Market Pricing.