U.S. fund managers of various sizes utilize the ICE N-PORT Service to obtain essential information for their regulatory filings, including: Reference data, Risk metrics, Taxonomy and classification data, Liquidity disclosures, and Fair value leveling information. This comprehensive data can help fund clients complete certain sections in Items B and C of Form N-PORT for their holdings.  The service delivers data for fixed income, equities and derivatives, including options on futures and treasury futures.

Specifications

Geographical Coverage
North America
Data Frequency
Daily | Monthly
Asset Class
Corporate Actions | Equities | Entitlements | Funds | Fixed Income | Futures | Currencies | Indices | Options | Structured Products | Strategies
Delivery Mechanism
ICE Data Files

Key Features

ICE can help clients fulfill the data disclosure obligations by providing four broad categories of data for portfolio holdings: 

  • Reference Data (e.g. identifier information, currency, maturity, LEI, restricted security flag)
  • Risk Metrics (e.g. DV01, DV100, CS01, Delta, Aggregation information)
  • Taxonomy Data (e.g. asset type classification, issuer classification, collateral type classification, derivative type classification)
  • Supplemental Data - flexibly add additional data sets such as fair value levelling and Liquidity categories to enable classification within the Form.

Related Documents

Data Support

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Products

ICE Data Files

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.

ICE Data Files

Related Datasets

ICE Regulatory - Fair Value Leveling

To comply with fair value disclosure requirements under various accounting standards globally, including IFRS 13, FASB ASC-820, and SEC Rule 2a-5, ICE offers a Fair Value Leveling Service. This service categorizes fair value measurements into levels based on the inputs used, aiding entities in testing and validating their fair value methodologies.

ICE Regulatory - Liquidity Indicators

The ICE Liquidity IndicatorsTM service can help users comply with some of the latest liquidity-related regulatory requirements, including those from the US SEC, ESMA, Hong Kong SFC, Singapore MAS, Japan FSA, etc. and provides an independent, near-term view of relative liquidity which we define as “the ability to exit a position at or near the current value.”

ICE Regulatory - SEC Rule 18f-4 Use of Derivatives

To assist funds in complying with the SEC's Rule 18f-4, which provides a framework on the use of derivatives by registered investment companies, ICE offers a module within its Portfolio Analytics service. This module facilitates the calculation of absolute and relative Value at Risk (VaR), conducts stress testing, and performs the Limited Derivatives User test as required under the rule.

Interested In learning more about
ICE Regulatory - N-PORT?