1. A computer-implemented method, comprising: a hardware processor sending a message to one or more system components in a computing system; an event agent of the hardware processor receiving a reply to the message from one of the one or more system components, wherein the reply comprises data supplied by a source in response to the message and a source type indicator for the source of the data, and wherein the source type indicator is set to one of a plurality of values, wherein the plurality of values comprises two or more of: a value that characterizes the source of the data as being a remote source, relative to the hardware processor, a value that characterizes the source of the data as being a local source, relative to the hardware processor, a value that characterizes the source of the data as being a private storage location, a value that characterizes the source of the data as being a shared storage location, a value that characterizes the source of the data as being in a different coherency domain than an originator of the message, a value that characterizes the source of the data as being in a same coherency domain as an originator of the message, or a value that indicates the data was supplied via a cache-to-cache transfer; the event agent detecting a runtime system event in the computing system dependent on the reply, wherein the runtime system event is a system event that occurs as a result of executing a particular software application whose behavior during execution is being profiled and on whose behalf the message was sent; and the event agent associating an indication of the source type with the detected event in an event set, wherein the indication is dependent on the source type indicator that was included in the reply.