For listed equities, equity index futures, and international fixed income bonds, our Fair Value Information Service (FVIS) provides clients a convenient and flexible tool that can be used to estimate a price that would likely prevail in a liquid market, in view of market information available at the time of evaluation.
The FVIS models generate an Evaluated Adjustment Factor for each security, which can be applied to the closing price to adjust for local post-closing market movements. Utilizing that Evaluated Adjustment Factor, the FVIS models can provide an FVIS evaluated price, which clients may choose to consider as part of their fair value deliberations.
Security types include:
- Listed equities shares (common or preferred), closed-end funds, and equity units are covered in the Fair Value Information Services.
- Fixed Income over-the-counter (OTC) international sovereign and corporate bonds are eligible for coverage if current market color is available or if our Evaluators conclude that there is sufficient historical data to validate statistical correlations.
Specifications
Key Features
- For equities, 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 correlative factors in the FVIS 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 U.S. securities, if specified trading volume is met in extended markets, FVIS will use a Volume Weighted Average Price (VWAP) plus a macroeconomic factor to determine the FVIS adjustment (“Extended Hours Model”).
- Backtesting available as part of the FVIS service, providing clients with an understanding of performance on their holdings over time.
- For equities, in addition to the Real-Time FVIS, which streams throughout the trading day, clients have the choice of 7 FVIS snapshot times.
*15-Minute Snap Files - Clients looking for a FVIS snap that is not part of our standard schedule can specify a specific time within a 23-hour window to receive a file.
Delivery Options: multiple delivery options are available, including:
- Files
- ICE Consolidated Feed
- ICE Connect (Multi-Asset)
This product is provided in the US through ICE Data Pricing & Reference Data, LLC and internationally through ICE Data Services entities in Europe and Asia Pacific. ICE Data Pricing & Reference Data, LLC is a registered investment adviser with the US Securities and Exchange Commission. Additional information about ICE Data Pricing & Reference Data, LLC is available on the SEC’s website at www.adviserinfo.sec.gov. A copy of ICE Data Pricing & Reference Data, LLC’s Form ADV is available upon request.
Products
The evolution of our file-based offering. Bringing together, in a unified solution Corporate Actions, Reference Data, Analytics and our wealth of pricing datasets including ICE Evaluations, CEP, Fair Value Information Services & Listed Market Pricing.
Buy-side and sell-side front offices continue to embrace more data and more technology in order to expand their opportunities and gain an edge over the competition. Enrich front office systems with ICE’s Data API solution, providing intraday access to fixed income pricing, on-demand analytics, reference data and more.
ICE Consolidated Feed is ICE’s Resilient, distributed and normalized Market data solution: providing Realtime access to Level 1,2 & 3 Market Data, News and Fundamental datasets through zero-footprint and throughput optimized API and connectivity options.
ICE Consolidated History is ICE’s Bulk History Offering: providing incremental updates and direct access to ICE’s archive of up to 15 years of tick-by-tick Level 1,2 and 3 historical tick level Market Data.
ICE Connect brings together access to cutting-edge trading tools with real-time cross-asset data, global news, and analytics all on one platform. Whatever your role, our platform can be tailored to your workflow for optimal efficiency.