Standard & Poor’s has teamed with interdealer broker ICAP to offer ICAP’s pricing data on a range of instruments via MasterFeed, its consolidated securities reference data and end-of-day pricing feed service. This will enable the data vendor to provide its clients with both trade data and evaluated prices via a single feed, says JR Rieger, vice president of global evaluations for S&P.
The relationship with ICAP is an important one for S&P customers, Rieger says, and is in line with S&P’s efforts to support the mark-to-market requirements of firms’ back offices as they seek to cope with the increas-ingly complex instruments their front offices put on the books and as regulatory scrutiny intensifies. “S&P Securities Evaluations provides opinions of value on 2.9 million securities,” he says. “But according to FASB accounting standards and the fair value measures, there are three levels of insight users of mark-to-market data need: trade data, valuations derived from observable inputs, and valuations derived from mathematical processes that don’t involve observable data.” ICAP’s data is trade-based – the first level of data. “S&P’s data is consistently available on 2.9 million instruments and is based on trade data and observable inputs – but is not necessarily trade data,” he continues. “As a result of the relationship we can provide both sets of data in one feed to enable users to validate the valuations they are using on a daily basis.”
The ICAP end-of-day pricing available in MasterFeed includes: Asian interest rate derivatives, credit derivatives and money markets; European credit derivatives, money markets, fixed income and interest rate derivatives; Japanese government bonds; global foreign exchange; and US money markets, credit derivatives and interest rate derivatives. Says Kevin Taylor, director of business development, North America for ICAP Information Services: “Right now, the information we are providing to S&P encompasses all our global centres and asset classes. Being an interdealer broker there are always new instruments coming on board, and we will be happy to add data on those to the feed we provide to S&P.”
ICAP is collecting data from its 24 centres globally and delivering it through a single market data feed backbone in a single delivery via FTP to S&P, which integrates the data into its MasterFeed, Taylor says. Rieger adds: “We will offer the ICAP data in exactly the same format as the rest of our data. Clients need to check a box in their agreements to entitle them to receive the data.”
Taylor explains that ICAP’s market data division develops solutions as a by-product of its global broking activity. “Providing our end-of-day mark to market service through S&P enables us to meet the requirement we hear from a lot of our customers for a single venue for prices,” he says. Traditionally, ICAP’s market data business has been well-known in the real-time space, he continues. “The back office is an area we have recently explored. While this is not an exclusive deal, it is a natural fit, and is certainly the relationship on which we are focusing currently.”
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