The challenges presented by fixed income securities in the area of transaction costs are complex. Issues involve the basis used in pricing and the nature, extent and access to pricing and quote information. These factors in turn lead to new considerations in terms of reporting and analysis. GSCS has been working for some years to determine the extent to which a credible service could be provided at a reasonable cost. Following satisfactory resolution of the issues involved GSCS is now able to offer an important service for analysis of transaction costs related to trades in fixed income securities. Analysis covers all global markets in government securities, agencies and corporate bonds and involves consideration of the following key characteristics;

Complete Benchmark Coverage

GSCS uses more than 15 measures in its analysis including ones for;

• implementation shortfall
• best execution assessment
• cost of delaying execution

The measures include;

• time stamp related benchmarks (e.g. Release Time Price and Execution Time Price) based on market quotes at the relevant time
• trade date related benchmarks (e.g. high, low, open, close etc.)
• benchmark bond comparisons for corporate bonds

To facilitate analysis of actual trades, GSCS allows reports to be generated within the itero on-line reporting service based on any combination of;

• date ranges
• portfolio manager
• trader
• client account
• side (i.e. buy/sell)
• security
• country
• broker
• office (where clients trade through more than one location)
• up to five custom fields defined by the client

Reports can be created that reflect

• at-a-glance summary information (with full drill-down)
• peer group comparison with the GSCS Universe of data
• multiple benchmark reports (with up to four client specified benchmarks available on a single page
• detailed reports identifying expensive and inexpensive transactions

Based on its own analysis of client data, GSCS will if requested present its findings to investment managers to allow for iterative development of trading practices and procedures on the trading desk and maximisation of resource efficiency. This analysis can include custom reports designed to facilitate review by investment manager personnel.

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