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Fundamental Review of the Trading Book (FRTB) establishes minimal capital requirements for market risk for a bank’s trading desks. FRTB is the standard set by the Basel Committee on Banking Supervision (BCBS) whose members represent 28 jurisdictions and over 90% percent of the world’s banking assets and its members are presently implementing these standards. Banks have the option to possibly lower their capital charges by taking the Internal Model Approach (IMA) over the Standard Approach (SA). Banks who take the IMA approach must demonstrate enough real price observations (RPOs) to pass the Risk Factor Eligibility Test (RFET) and perform desk level profit & loss attribution tests (PLAT) to backtest their IMA.
To support banks Internal Model Approach calculations, we provide Real Price observations reports that can help support the RFET as well historical pricing data for Expected Shortfall regression models. We also provide FRTB Standard Approach (SA) analytics calculations.
Rule 18f-4 under the Investment Company Act of 1940 was adopted by the SEC to provide an updated, comprehensive framework on the use of derivatives by registered investment companies, business development companies (BDCs), ETFs, and closed-end funds. UITs and money-market funds are exempt. The rule requires funds to report on additional risk created by their derivatives usage. ICE Portfolio Analytics has a Rule 18f-4 module to help funds calculate absolute VaR, relative VaR, conduct stress testing and the Limited Derivatives User test as required under the rule. The service leverages workflow already in place for ICE N-PORT service and ICE Liquidity Indicators™ clients.
Sustainable Finance Disclosure Regulation (SFDR) introduces various disclosure-related requirements for financial market participants and financial advisors at entity, service and product level. The aim of the regulation is to provide more standardization and transparency on sustainability products within the financial markets, preventing greenwashing and ensuring comparability.
Fair Value Leveling Service is 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, 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. To help clients test and validate their fair value methodologies under SEC Rule 2a-5, ICE has enhanced its client-customizable rule engine to allow our Fair Value Leveling Service (FVLS) to provide more granularity for Level 2 inputs. The 2a-5 enhanced FVLS takes a data driven, risk-based approach to break Level 2 inputs into three Level 2 buckets: 2A-2C in addition to providing the Level 1 and Level 3 assignments.
The ISDA Standard Initial Margin Model (ISDA SIMM™) is a common methodology for calculating initial margin (IM) for non-centrally cleared derivatives. The method aggregates and weights trade sensitivities on risk buckets.
We provide an IM pre and post trade calculation service based on the ISDA SIMM methodology including risk sensitivity calculations delivered in standard CRIF file format.
The IM module covers a wide range of derivative instruments and includes a static and dynamic back testing.
The ICE Liquidity Indicators™ service can help users comply with some of the latest regulatory requirements, including those from U.S. SEC, ESMA, Hong Kong SFC, Singapore MAS, Japan FSA, etc. The ICE Liquidity Indicators service provides an independent, near-term view of relative liquidity which ICE defines as “the ability to exit a position at or near the current value.” The service assists clients in measuring security-level and portfolio-level liquidity risk and can help enhance their investment decision-making process with liquidity as an input.
Compliance with the U.S. Foreign Account Tax Compliance Act (FATCA) and its requirements has presented a challenge for the financial industry in terms of how to track and determine grandfathered status. Complicating this is the fact grandfathered status is not static. Significant changes to a grandfathered instrument may cause that instrument to lose grandfathered status under the Act and associated regulations.
The SEC rule addressing Investment Company Reporting Modernization added extensive new reporting requirements for the funds industry with the introduction of Form N-CEN and Form N-PORT, which replaced Forms N-SAR and Form N-Q.
Solvency II is the regulatory framework adopted by the EU relating to insurance and reinsurance undertakings with the aim to ensure the adequate protection of policyholders and beneficiaries. The regulation established a three pillar structure, and ICE’s service helps clients meet obligations included in Pillar I and Pillar III.
Aimed to improve the efficiency and integrity of European capital markets, Markets in Financial Instruments Directive (MiFID II) took effect on Jan. 3, 2018. While MiFID II applies directly to investment firms within the European Economic Area (EEA), the scope includes all trading or execution venues conducting business with the EEA.
The Internal Revenue Service (IRS) has published final regulations under Internal Revenue Code (IRC) Section 1446(f) regarding new withholding tax concerning Publicly Traded Partnerships (PTP) that entered into force on Jan. 1, 2023.
ICE’s PTP taxation solution enables identification and monitoring of securities that may be in scope of Section 1446(f) - generally represented by shares, units, ETFs, REITs, trusts - through analysis of the issuer’s legal form (mainly limited partnerships and limited liability companies) and the related business.
The solution may benefit banks (including custodians) asset managers, wealth managers, brokers and qualified intermediaries who may meet the definition of “broker” as defined by the IRS for the purposes of IRC Section 1446(f).