ICE

ICE DATA SERVICES

Fair Value Leveling Service

To satisfy fair value disclosure requirements prescribed under various accounting standards globally, including IFRS 13, FASB ASC-820, GASB 72, GENPRU 103, UK FRS 102. and SEC Rule 2a-5 (compliance date August 2022), entities are required to categorize fair value measurements (i.e. Level 1, Level 2 or Level 3) based on the inputs used to measure fair value.

Assigning Instruments to the Fair Value Level

Disclosure requirements and amendments to the accounting guidance have prompted entities to review their fair value methodologies and processes. For example, in connection with SEC modernization of the reporting and disclosure of information, certain registered investment companies are required to make monthly level disclosures for their portfolio holdings on Form N-PORT.

With the adoption of SEC Rule 2a-5 under the Investment Company Act of 1940, registered investment company boards or their valuation designee may be revisiting policies and procedures around how securities are assigned to the fair value level. With this backdrop, there is heightened attention on how entities manage these processes.

Our broad range of market data and our Fair Value Leveling service (FVL) can help firms address their data and reporting needs under the existing and evolving accounting standards and regulatory requirements.

Fair Value Leveling Service

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Client-Customizable Rules Engine

ICE Data Services offers an overlay to this robust dataset in the form of a client-configured rules engine. This engine allows for an automated workflow that is consistent, repeatable, and auditable – returning information on the fair value level based on the client’s rules for determining the level applied to ICE’s market and derived data content.

Client-Customizable Rules Engine

Benefits

Asset Coverage

Asset coverage for the ICE Data Services’ FVL service includes global coverage of over 2.8 million fixed income securities, covering corporate, municipal, sovereign and MBS/ABS debt. In addition, the FVL service covers over 60,000 global equities and OTC and exchange-traded derivatives.

Observable Market Data

ICE Data Services has access to a robust and deep set of observable pricing inputs and other inputs used to support the evaluated pricing for certain fixed income securities. On average, these 10+ million daily inputs are categorized, archived, and can be made available to clients’ rules engines within the FVL service to support their fair value determination workflow.

Derived Content

The FVL service also leverages a wealth of derived content. For example, the ICE Liquidity Indicators TM service provides, among other information, a projection of the potential future trading volume capacity of a covered security and a liquidity score that represents an independent, near-term view of relative liquidity defined as an ability to exit a position at or near the current value. The liquidity scores and projected trading volume capacity are two examples of derived content that is available for clients in the client defined FVL rules engine. Clients also can elect to incorporate our extensive database of comparable bonds and inter-bond relationships as a part of their approach.

Industry Adoption

The fair value leveling service has an established history supporting clients globally. This service’s depth and breadth by asset class allows for level assessment for instruments from around the globe. For example, Northern Trust collaborated with ICE Data Services to enhance its support for fair value leveling determination for fixed income securities to deliver improved transparency into evaluated pricing for most fixed income assets.

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