Fixed income evaluated prices: Who does it best?
Danesh Kissoon, Senior Analyst (London)
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LITERATURE
We discuss findings from the Fixed Income Evaluations Vendor Benchmark Study 2022 by SS&C Technologies, a provider of investment operations solutions. This paper is part of a wider series offered by SS&C Technologies that provides insight into fixed income vendor output. This study is particularly interesting as it provides an opportunity for buyers to understand how evaluated pricing vendors perform during a period of high market stress – as experienced during the pandemic.
QUICK VIEW
SS&C benchmarks evaluated pricing models from eight fixed income vendors across 31 security types.
- The study was conducted between February to April 2020 to see how fixed income prices changed during periods of heightened volatility.
- It compares actual observed trade price and holdings data (from SS&C’s investment clients) with the vendors’ end-of-day mid prices and instrument coverage.
- The study identified the vendors with the most complete market coverage, market alignment and lowest frequency of outliers.
- The study concluded that while coverage differed between vendors, there was also a considerable variation in market alignment, with an increased frequency of outlier prices from 2019.
THE DATA
The study collected trade and holdings data from an undisclosed number of SS&C’s buyside investment clients. This provided SS&C with funds’ executed trade prices and instrument coverage.