Email Contact Phone Company Visit Website

Bedford, MA Office

32 Crosby Drive
Bedford
MA
US

London, UK Office

Fitzroy House, 13-17 Epworth Street
London
GB

Australia, Melbourne Office

1155 Malvern Road
Malvern
Melbourne
AU

France, Paris Office

9 rue de Téhéran
Paris
FR

Ireland, Dublin Office

6 Georges Dock, 4th floor IFSC
Dublin
IE

Luxembourg, Lux Office

5th floor 28 boulevard Royal
Luxembourg
LU

Switzerland, Geneva Office

25, rue Kléberg
Geneva
CH

New York, NY Office

100 William Street, 17th Floor
New York
NY
US

White Plains, NY Office

100 Hillside Avenue
White Plains
NY
US

Santa Monica, CA Office

2901 28th Street, Suite 300
Santa Monica
CA
US

Hayward, CA Office

3955 Point Eden Way
Hayward
CA
US

Singapore Office

1 Raffles Place #21-02 One Raffles Place
Singapore
SG

Hong Kong, Central Office

2001-2005, 20/F The Center 99 Queen's Road Central
Hong Kong
HK

Channel Islands, Jersey Office

8 Hill Street St Helier
Jersey
GB

Germany, Frankfurt Office

Sandweg 94
Frankfurt am Main
DE

Spain, Madrid Office

Francisco Silvela 42 1a planta
Madrid
ES

Switzerland, Zurich Office

Loewenstrasse 2
Zurich
CH

Australia, Sydney Office

Suite 405/368 Sussex Street
Sydney
AU

Japan, Tokyo Office

Kyobashi No. 8 Nagaoka Bldg. 1F 2-20-9 Hatchobori Chuo-ku
Tokyo
JP

Location Office

International House 1 St. Katharine's Way
London
GB

Italy, Rome Office

Via Cristoforo Colombo, 149
Rome
IT

Chicago, IL Office

600 West Fulton, 7th Floor
Chicago
IL
US

New York, NY Office

100 Church Street, 11th Floor
New York
NY
US

UAE, Dubai Office

805, City Tower 2 Sh. Zayed Road
Dubai
AE

Lombard, IL Office

955 Parkview Boulevard
Lombard
IL
US

Australia, Melbourne Office

Level 36/2 Freshwater Place Southbank Boulevard Southbank
Melbourne
AU

Telephone

02072653703

Contact

tony cossey a cossey
[email protected]
Back to all Intercontinental Exchange announcements

Interactive Data Survey Highlights Importance of Fair Value Practices During Volatile Markets

Mutual Fund Firms Provide Insight on Triggers, Benchmarks and Back-Testing of Performance Data.

Interactive Data Corporation, a leading provider of independent pricing and valuation services, today announced key findings from its recent survey of mutual fund firms on fair value procedures for international equities.

The survey findings revealed that using “triggers” to invoke fair value procedures continues to be a common practice for mutual funds. These triggers may be employed every day or dependent upon certain movements in one or more relevant benchmark proxies. The various fair value strategies observed suggest a variety of opinions amongst funds as to what constitutes a significant event to trigger the application of fair value adjustments to local closing prices.

Interactive Data received responses from 134 industry professionals, including CFOs, CCOs, and valuation team members, representing 111 mutual fund firms.

“The heightened level of volatility in the market draws attention to the importance of fair value practices for mutual funds investing in international equities,” said Rob Haddad, director, Evaluated Services for Interactive Data. “Our survey found that mutual funds are generally well-prepared for volatile market scenarios, with predefined fair value procedures in place to handle such events, and formal back-testing processes to examine how these procedures worked in practice.”

Approximately 36% of funds responded that they are invoking fair value procedures every day (0 bps trigger), compared with only 10% of respondents from a fair value survey Interactive Data conducted in 2004. The remaining 64% of funds from the 2011 survey indicated that they use a systematic process that incorporates movements in relevant benchmarks to “trigger” the use of a fair value procedure.

The survey also found that mutual funds widely use triggering strategies that include a single benchmark proxy (e.g., the S&P 500® Index). However, the responses also indicated that more complex triggering strategies are increasingly being utilized. These include the use of multiple trigger levels depending on portfolio composition or time zone (e.g., funds investing in European equities vs. Asian equities), dynamic trigger levels, and multiple trigger levels and/or multiple benchmarks as a basis for triggers.

Approximately 92% of respondents also indicated that they systematically and regularly review back-testing performance data. This could include simulating the use of fair valuation processes for a number of portfolios at various trigger levels historically.

Interactive Data’s Fair Value Information Services are designed to provide subscribers with various information that can be used to estimate a price for an exchange-traded equity security, equity index futures contract, or equity option that would likely prevail in a liquid market, in view of market information available at the time of evaluation.