Meeting Mutual Fund Fair Value Requirements
Our Fair Value Information Services offer mutual fund managers a convenient and flexible tool to assist them in meeting their fair value requirements and to reassure investors that their investment fund company is taking steps to safeguard shareholder interests. Fair Value Information Services offer a number of important benefits to fund families, including:
Fair Value Information Services are designed to provide you with various information that can be used to estimate a price for an equity security, equity index futures contract1, or equity option* that would likely prevail in a liquid market in view of market information available at the time of each security’s evaluation. The Fair Value Information Services currently offer the following choice of evaluation times2:
16:00 ET: Close of New York Stock Exchange, normally at 16:00 Eastern Time (ET), for equities, futures, and options (“FVIS New York Close”)
11:30 ET3: Close of London Stock Exchange, normally at 16:30 UK time (11:30 ET), for equities and futures (“FVIS London Close”)
10:00 ET3: At 15:00 UK time / 16:00 CET (10:00ET), for equities and futures (“FVIS 10:00 ET”)
07:00 ET3: Mid-day of London Stock Exchange at 12:00 UK time (07:00 ET) for equities and futures (“FVIS London Noon”)
Real-Time:4Streaming every 15 seconds during U.S. trading hours
For equities, all services use a multi-factor model. The models include information such as the issue’s local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. The models generate an Evaluated Adjustment Factor for each security, which can be applied to the local closing price to adjust it for post-closing market movements.
Utilizing that Evaluated Adjustment Factor, Fair Value Information Services can provide an evaluated price, which you’re able to consider as part of your fair value deliberations. We also provide a confidence level for each security that is a measure of the probability of a relationship between a given equity security and the factors in the Fair Value Information Services models. It is intended to give a sense of the strength of this relationship for the applicable set of historical data used by the models.
For equity futures and options, the Fair Value Information Services evaluated prices for the underlying equity securities are key inputs to the evaluation process.
Our proprietary methodology utilizes a security-level, rather than a top-down, methodology, addressing an entire portfolio or broad sectors. This bottom-up, security-by-security approach takes into account the fact that securities in different sectors, or securities within a sector, may react differently to events and may even be inversely related; i.e., an event that causes the price of one security to rise might cause others to fall. Additionally, a bottom-up approach is unaffected by changes in a fund’s portfolio.
Our global team of knowledgeable data collectors is committed to providing timely, high quality data, and each trading day subjects market data inputs to rigorous edit checks. In addition, we regularly evaluate and test our Fair Value Information Services models in order to fine tune and refine their statistical performance.
Fair Value Information Services leverage our global financial databases, which are among the largest in the world. This service covers approximately 22,000 equity securities traded globally, and new issues can be added daily based on customer input files. The model uses the last 12 months’ trading days of data, when available, and a minimum of 60 trading days of data for each equity security covered in the services.
Coverage for equity index futures and equity options is by request only and is dependent on the input provided.
Our Fair Value Information Services can be linked to a fund’s existing fund accounting system through FundRunSM. We can transmit the data in existing formats or in special detailed formats.
Equity Security: Transmissions can include the SEDOL® number, evaluated price, evaluated adjustment factor, confidence level, details, status codes, and r-squared value.
Equity Index Future: Transmissions can include the aggregate evaluated price, aggregate evaluated adjustment factor, and the items associated with the underlying equity (shown under Equity Security, above).
Equity Option: Transmissions can include the evaluated option price and the items associated with the underlying equity (shown under Equity Security above).
We offer the following reports for equity securities (or underlying equities for futures and options):
Quarterly Backtest Reports allow you to measure the effectiveness of the Fair Value Information Services models through a standard set of tests. You input test parameters (e.g., time period, benchmark, confidence level, etc.), and can upload the input file and download the results via the Internet. The tests that we currently offer include:
We designed Fair Value Information Services with customer support as an integral component. Our specialized funds customer support team is focused exclusively on the mutual fund industry. We provide both local and corporate-level technical support for the data, services, and data delivery, through a network of sales professionals, centralized customer service, and extensive product management, fixed income, equity and systems personnel.
1 The Fair Value Information Services for equity futures and options are currently customized services generated by ICE Data Pricing and Reference Data’s Mutual Funds Products group, with our Evaluated Services group available to provide support.
2 ICE Data Services also offers evaluations for U.S. and Canadian equities on U.S. and Canadian market holidays. Please refer to the Fair Value Information Services Methodology - Holiday Service for U.S. and Canadian Equities.
3 Times for the 11:30, 10:00, and 07:00 (ET) services may vary due to differences in Daylight Savings Times.
4 For information on the real-time service, please refer to the Real-Time Fair Value Information Services.