Evaluating the Evaluations Vendors: Benchmark Study

SS&C GlobeOp, SS&C’s global fund administration business, has for the fifth consecutive year conducted a comprehensive comparative analysis of several fixed income and loan evaluation services.

This benchmark study helps firms to assess pricing sources in support of their vendor selection and due diligence processes. This year we are pleased to add JP Morgan’s PricingDirect service to the set of providers profiled. The other vendor services are: ICE Data Service (IDC), Bloomberg BVAL, IHS Markit, Thomson Reuters (since named Refinitiv), Cambridge Financial Information Services and Advantage Data. Best Credit, which is affiliated with Advantage Data, is included with Advantage Data for muni bonds only.

Examined are two of the most important characteristics for evaluation vendor selection—market coverage and market alignment. Market coverage was determined by calculating the ratio of available end-of-day evaluated prices by vendor service to the sample set of securities by instrument type. Market alignment was based on the measurement of differences between observed transaction prices and the corresponding same-day end-of-day vendor evaluations. We focused on these characteristics because they are indicative of relative “completeness and accuracy” of the vendors’ pricing services.

The analysis relied on a statistically comprehensive data set of approximately 88,000 trades/prices observed over a three-month period. The trades included approximately 46,400 unique fixed-income securities categorized into 32 instrument types and more than 3 million end-of-day evaluations from the vendors. 

A few of the most notable observations include:

Coverage Analysis Results

• ICE Data, BVAL, Thomson Reuters and IHS Markit had statistically equivalent pricing coverage for the universe of securities traded by clients during the three-month period.
• All evaluation services, excluding Advantage Data, had effectively equivalent coverage (at or near 100%) for US government bonds and investment-grade sovereign bonds. ICE Data, BVAL and Thomson Reuters led in coverage of non-investment grade sovereign bonds.
• Investment-grade government and corporate bonds, coverage ratios across the commercially largest evaluation services (Thomson Reuters, Bloomberg BVAL, ICE Data and IHS Markit) were consistent.
• PricingDirect and IHS Markit demonstrated statistically superior coverage ratios with respect to structured products.
• Consistent with previous years’ analyses, IHS Markit demonstrated considerably higher coverage for syndicated bank loans.

Market Alignment Analysis

• Bloomberg BVAL and ICE Data Services had the best same-day market alignment performance across the majority of instrument types.
• PricingDirect and IHS Markit demonstrated closest alignment for US non-investment grade corporate bonds.
• ICE Data Services took the lead in all alignment measures for bank loans, with IHS Markit statistically near-equivalent.