Coverage

Second, we believe the breadth of our coverage is a differentiator. Our coverage goes beyond widely traded assets like US corporate bonds, and include global corporates, municipals, mortgage-backed and high yield securities. At ICE, one of our strengths is the ability to price thinly-traded and more exotic fixed income securities, due to extensive market coverage of ~3 million fixed income instruments.

While our BestEx service can help clients measure trade execution quality, TCA assesses transaction costs - accounting for the varying liquidity profile of different securities. Our Trading Analytics build distributions around our evaluated pricing and in constructing these distributions, ICE can see where dealers are buying and selling - a dynamic which allows us to calculate how transaction costs will likely change, based on the size of the trade and liquidity of the bond.

To ensure timely data, our TCA approach involves gathering all trades within a given asset class with a five-trading day lookback at 15-minute intervals throughout the trading day. As we add a new 15-minute period, we drop the last 15 minutes in the trade set. In addition, we time-weight the trades, giving the highest weighting to the trades in the most recent 15-minute interval and lowest to the trades that happened five days prior. By regressing this data against ICE Liquidity Indicators™ - which provides an independent, near-term view of relative liquidity - we can help clients quantify cost which we understand some market participants may still perform on a qualitative basis.

This level of analysis highlights the fact that ‘good’ or ‘bad’ trade execution is not binary. Execution quality should be assessed relative to trade size and the type of fixed income security traded. ICE’s BestEx and TCA services provide clients the granularity to put a dollar figure on trade execution and quantify its impact - showing for example, that even if a given trade does not meet a client’s best execution criteria, its cost impact may be minimal. In a competitive market, this intelligence allows market participants to be more efficient in resource allocation, and ultimately, make more informed decisions.

In this example, we would expect the transaction to cost $2,000. However, by transacting at a BestEx score of 60, the transaction would realize a positive $1,200 impact, cutting the overall cost by >50%, $800 vs $2,000. ICE can help clients further boost trading efficiency with tools that allow them to scan a list of bids and offers they input to the tool, and systematically find trades that meet their criteria. ICE’s Trading Analytics builds distributions around our evaluated pricing based on market transactions. These analytics can help clients identify the Expected Transaction Cost Analysis to transact a list of securities based on side and size of the potential transactions.

Limitations

This material contains information that is confidential and proprietary property and/or trade secrets of Intercontinental Exchange, Inc. and/or its affiliates (“ICE Group”) and is not to be published, reproduced, copied, modified, disclosed, or used without the express written consent of ICE Group. Some of the information described herein may still be in development, and as such, pursuant to the ICE Group’s sole discretion, the services and/or methodologies that may ultimately be developed may deviate from the description included herein or may not be developed at all.

This document is provided for informational purposes only and is subject to change without notice. The information contained herein is provided “as is” and ICE Group makes no warranties whatsoever, either express or implied, as to merchantability, fitness for a particular purpose, or any other matter. Without limiting the foregoing, ICE Group makes no representation or warranty that any data or information (including but not limited to evaluations) supplied to or by it are complete or free from errors, omissions, or defects. Nothing herein should in any way be deemed to alter the legal rights and obligations contained in agreements between ICE Group and its clients relating to any of the products or services described herein. ICE Group does not provide legal, tax, accounting, or other professional advice. We do not advise clients as to what securities they should buy or sell. Clients should consult with an attorney, tax, or accounting professional regarding any specific legal, tax, or accounting situation.

Trading analytics available from ICE Group are a point in time output and as such dependent on and take into account the information available to ICE Group at the time of calculation. ICE Group does not have access to all relevant trade-related data or dealer quotes, and the utility of the output may diminish depending upon amount of available data underlying the analysis. The inputs utilized in each of the trading analytics services provided by ICE Group depend on the methodologies employed by each such service and may not be the same as the inputs used in the other trading analytics services. There are many methodologies (including computer-based analytical modelling) available to calculate and determine information such as trading analytics. ICE Group’s trading analytics may not generate results that correlate to actual outcomes, and/or actual behavior of the market, such as with regard to the purchase and sale of instruments. There may be errors or defects in ICE Group’s software, databases, or methodologies that may cause resultant data to be inappropriate for use for certain purposes or use cases, and/or within certain applications. Certain historical data may be subject to periodic updates over time due to recalibration processes, including, without limitation enhancement of ICE Group’s models and increased coverage of instruments. Although ICE Group may elect to update the data it uses from time to time, it has no obligation to do so.

Fixed income evaluations, continuous evaluated pricing, end-of-day evaluations, evaluated curves, model based curves, market sentiment scores and Fair Value Information Services related to securities are 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.

Trademarks of ICE and/or its affiliates include Intercontinental Exchange, ICE, ICE block design, NYSE, ICE Data Services and New York Stock Exchange. Information regarding additional trademarks and intellectual property rights of Intercontinental Exchange, Inc. and/or its affiliates is located at www.intercontinentalexchange.com/terms-of-use. Copyright • 2023 , American Bankers Association. CUSIP Database provided by FactSet Research Systems Inc. All rights reserved. Other products, services, or company names mentioned herein are the property of, and may be the service mark or trademark of, their respective owners.

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