calculation agent code of conduct of interactive data ...€¦ · calculation agent code of conduct...

Calculation Agent Code of Conduct

of

Interactive Data Pricing and Reference Data LLC

August 19, 2015

Calculation Agent Code of Conduct, page 2

TABLE OF CONTENTS

Contents I. Background ................................................................................................................................. 3

A. Overview of Calculation Agent Code of Conduct ..................................................... 3

B. Calculation Agent Group vs. Submitter Group ........................................................ 3 C. Personnel who are subject to Calculation Agent Code of Conduct ......................... 4 D. Performance of Calculations ....................................................................................... 4

II. Conflicts of Interest .................................................................................................................... 4

A. Ownership Structure .................................................................................................... 4

B. Business Code of Conduct ........................................................................................... 5 C. Confidentiality of Data ................................................................................................ 5

D. Exchange of Information Controls ............................................................................ 5 E. Segregation of Reporting Lines .................................................................................. 5 F. Supervisory Review ...................................................................................................... 6

G. Remuneration Policy ................................................................................................... 6

III. Risk Management ...................................................................................................................... 7

A. Infrastructure/Control Framework ........................................................................... 7

B. Whistleblower Mechanism .......................................................................................... 7

IV. Qualifications of Personnel Performing Calculation Agent Services ....................................... 7

A. Expertise of Personnel ................................................................................................. 7 B. Training of Personnel .................................................................................................. 8

V. Index Administrator Responsibilities ........................................................................................ 8

VI. Books and Record Retention ................................................................................................... 10

VII. Administration of the Calculation Agent Code of Conduct .................................................. 10

A. Distribution and Acknowledgment of the Calculation Agent Code of Conduct .. 10 B. Questions, Reviews and Sanctions ............................................................................ 10

C. Reporting .................................................................................................................... 10

Glossary ......................................................................................................................................... 11

Appendix A Financial Benchmarks Submitter Code of Conduct ................................................. 14


I. Background

A. Overview of Calculation Agent Code of Conduct

Interactive Data Pricing and Reference Data, LLC (the “Company”) provides calculation agent

services through its ETF & Index Services Group. As a calculation agent, the Company has

been delegated with the responsibility for determining a Benchmark through the application of

a formula or other method of calculating the information or expressions of opinions provided

for that purpose, in accordance with the Methodology set out by the Index Administrator.

Index sponsors are among the clients of Company’s evaluated pricing services and this

Calculation Agent Code of Conduct (the “Code”) has been developed consistent with the

IOSCO Principles for Financial Benchmarks set out in the Final Report dated July 2013 (the

“Final Report” or “IOSCO Benchmark Principles”).

As an independent provider of index calculation agent services to the financial services

industry, the Company generally does not face many of the types of conflicts of interest

described in the Final Report, such as: the manipulation of data by submitters that are also

market participants or discretion in the selection of data to be submitted. Nonetheless, the

Company has adopted this Code to provide additional transparency into the Company’s

procedures, controls and governing processes to help enable Benchmark Administrators to

exercise effective oversight of the Benchmark setting process in conformance with the IOSCO

Benchmark Principles.

As described in the Final Report, because the universe of Benchmarks is large and diverse, the

application of the IOSCO Benchmark principles is intended to be proportional to the size and

risks posed by the Benchmark-setting process. This Code has been developed incorporating

these proportionality principles as applied to an independent provider of evaluated pricing

services that may be used by a Benchmark administrator in the determination of a Benchmark.

This Code is not intended to create any rights for Stakeholders or other third parties.

Capitalized terms are defined as used herein and/or in the Glossary at the end of this Code.

B. Calculation Agent Group vs. Submitter Group

The Company’s ETF & Index Group provides clients with a range of index calculation

services, including but not limited to iNAV pricing for fixed income and listed markets ETFs,

and other similar instruments globally. This group provides independent and objective index

operational outsourcing, including the design support, maintenance, calculation and distribution


of indexes across fixed income instruments, currencies, equities and commodities. These

services are not deemed to be investment advisory services.

Separate from Calculation Agent services, the Company also provides global securities pricing,

evaluations, and reference data. Benchmark Administrators are among Company’s clients for

its evaluated pricing services. The Company has developed a Submitter Code of Conduct,

which governs the use of evaluated prices as Submitter data. The Submitter Code of Conduct

describes the requirements for making submissions, as well as the internal controls pertaining

to evaluated prices, as well as guidelines pertaining to Expert Judgment by Evaluators.

Attached as Appendix A is the Financial Benchmarks Submitter Code of Conduct.

C. Personnel who are subject to Calculation Agent Code of Conduct

The ETF & Index Group is comprised primarily of business and product management, client

support, product operations, and business analyst roles focused on data, quality control and

technology.

D. Performance of Calculations

Using a customer-provided Methodology Rule Book, Company conducts the following steps:

Build eligible universe based on high level index criteria and apply filtering and

weighting rules associated with the specific index methodology.

Perform backtesting calculations based on the index methodology for the time periods

specified by the Benchmark Administrator.

Rebalancing of each Index including incorporation of any newly issued securities and

changes in a security status (such as Ratings downgrade).

Daily maintenance functions, including but not limited to, corporate actions, cash flows,

accrued interest, and inflation factor adjustments.

Daily calculation of constituent and index level returns and associated analytics.

Delivery of output files for each Index including index summary and constituent detail

at a frequency determined by the Index Administrator.

Third party dissemination as applicable based on the Index Administrator’s instructions.

II. Conflicts of Interest

As Calculation Agent, Company does not exert discretion in the determination of index values.

Calculations will be made pursuant to the instructions provided by the Index Administrator.

A. Ownership Structure

Calculation agent and evaluated pricing services are provided by Interactive Data Pricing and

Reference Data LLC. Interactive Data Pricing and Reference Data LLC has been in business

since 1968, and is a privately owned and operated Delaware Limited Liability Company.


Interactive Data Corporation is the sole member of Interactive Data Pricing and Reference Data

LLC, and is owned by investment funds managed by Silver Lake and Warburg Pincus.

B. Business Code of Conduct

Company employees are bound by the Code of Business Conduct and Ethics of Interactive

Data Corporation. The Code of Business Conduct and Ethics articulates ethical responsibilities

and business conduct standards including, among other things, with respect to: compliance with

laws, rules and regulations; honest and ethical conduct and fair dealing; protection and proper

use of corporate assets; bribery, gifts and travel & entertainment; and accuracy of books and

records and public reports and communications. A copy of the Code is available on the

Interactive Data website: www.interactivedata.com under “About Us > Corporate

Governance.”

All members of the Calculation Agent Group are subject to the Code of Conduct.

C. Confidentiality of Data

As set forth above in section 2.B, all employees are bound by the Code of Business Conduct

and Ethics. The Code requires employees to maintain the confidentiality of client information

except when disclosure is authorized or legally mandated. Contractor or subcontractor

agreements may also include non-disclosure or confidentiality provisions as appropriate.

D. Exchange of Information Controls

Company has implemented procedures to control the exchange of information between staff

engaged in activities (involving a risk of conflicts of interest or between staff and third parties),

where that information may reasonably affect any Benchmark determinations.

Formal procedures are in place to control the allocation of access rights to all systems.

Company uses the principle of least privilege when determining when and how to grant access.

Access control for all systems is limited to “those who need access to do their job”, and only

internal staff with a “need to know” have access to client information. If an employee changes

roles within the Company, it is the line manager’s responsibility to request access right

changes. If an employee leaves the Company or is terminated, the process begins with

notification from Human Resources, which generates an internal checklist that requires

“removal of access” confirmation. User activity on Company’s systems is maintained via an

application event log.

E. Segregation of Reporting Lines

Personnel as described in I. c. above work together to build and implement the Index as

specified by the Index Administrator. Based on Company’s role as a Calculation Agent, we do

not believe conflicts of interest are inherent in Company’s operations. There is no incentive for

staff in any area of Company’s business to unduly influence index returns, as the business does

not operate in any capital markets capacity nor does it base fees on index return levels.


F. Supervisory Review

Supervision and sign-off by authorised or qualified employees occurs at various stages of the

Index calculation process:

1. Data input update process – There are extensive data reviews done by the upstream

data sources such as Company’s Evaluated Services and Reference Data operations

groups. Once the data is received within the calculation system, there are a variety

of automated and manual reviews done to help verify that the data inputs received

are accurate.

2. Corporate actions – There are a series of manual reviews performed by the Index

Specialist to confirm that the corporate actions are applied to the indices properly.

3. Cash adjustments – The intra-month cash flows are an automated process within the

calculation process. A supervisory review would be introduced as one step within a

troubleshooting/problem solving resolution on the index levels as part of an

exception process.

4. Accrued interest calculations – The accrued interest calculations are an automated

process with the calculation process. A supervisory review would be introduced as

one step within a troubleshooting/problem solving resolution on the index levels as

part of an exception process.

5. Daily returns and analytics calculations – The daily returns calculations and

analytics are an automated process with the calculation process. A supervisory

review would be introduced as one step within a troubleshooting/problem solving

resolution on the index levels as part of an exception process.

6. Index levels and Constituent Level Validation checks– There are a variety of

automated and manual verifications done by the Index Specialist before the Index

Level Data and Constituents Level Data is released each day, facilitated by post

processor program checks. If specific Index(es) fail the exception processing

checks, the Index Specialist will escalate to the Index Supervisory for problem

resolution review.

7. File delivery – The Index Specialist confirms each day that the files have been

posted for client delivery. An error message will be sent to the Index Specialist if

there is a delivery failure.

G. Remuneration Policy

Adequate remuneration policies that ensure all staff who participate in the Benchmark

determination are not directly or indirectly rewarded or incentivised by the levels of the

Benchmark.

Company’s ETF & Index Group licenses its services in such a way that there is no link to Index

returns. Staff remuneration is based upon personal performance objectives and corporate

financial goals, not on Index levels.


III. Risk Management

A. Infrastructure/Control Framework

Interactive Data Corporation has established a Risk Committee including the CEO,

CIO-Application Development, CIO-Technical Infrastructure, SVP-Global Business Services

& Chief of Staff, SVP & General Counsel, and VP-Audit &Control Services. In addition, both

the Interactive Data Audit function (ACS) and the Interactive Data Pricing and Reference Data

Compliance department include risk assessment as part of their responsibilities. Each year,

ACS develops a risk based audit plan for Interactive Data based on company-wide risk

assessment data, prior audit results, and management input. This audit plan is reviewed with

and approved by the CEO/CFO and reviewed by the Interactive Data Corporation Audit

Committee. The Chief Compliance Officer (CCO) of Interactive Data Pricing and Reference

Data engages in risk assessment regarding the policies and procedures adopted pursuant to Rule

206(4)-7 of the Investment Advisers Act and discusses the risk assessment with the company’s

management and Interactive Data Corporation’s Audit Committee.

Interactive Data’s Business Continuity Program Office, working with management,

utilizes a business impact analysis (BIA) process to help the company assess risk and identify

business impact. The BIA is conducted at the business process/function level, with the

information then used in the formulation of our business continuity plans. The Information

Security department also engages in periodic risk assessments, the results of which are shared

with senior management.

B. Whistleblower Mechanism

The Company does not have a separate whistleblower policy; however the Code of Business

Conduct and Ethics includes anti-retaliation/whistleblower protections. The Company

maintains a hotline for confidential, anonymous complaints by employees regarding

questionable accounting, internal accounting controls or auditing matters, and other matters.

IV. Qualifications of Personnel Performing Calculation Agent Services

A. Expertise of Personnel

Staff located in Santa Monica CA and Bedford MA consistently exhibits the requisite level of

expertise for their relative levels of experience (senior and junior staff). There is a yearly

objective building and review process to help ensure the level of competence remains at

acceptable levels.


B. Training of Personnel

Company offers an orientation program to new employees, introducing them to the Company,

its functions, and job specific training. The employee’s job responsibilities are reinforced

through on-the-job training and specialized development programs as appropriate. Employees

are provided with measurable objectives and are subject to periodic performance reviews to

evaluate competence, through a performance management process. Employees are also

required to complete and acknowledge in writing a Security Awareness Training Program when

hired, then as part of Company-wide training every other year. The Compliance department

provides periodic training on the Code of Ethics and compliance policies to evaluated services

staff.

V. Index Administrator Responsibilities

The following will be the responsibility of the Index Administrator, not the Calculation Agent.

1. Representative Group of Submitters: Ensuring that Submitters comprise an appropriately

representative group of participants (taking into consideration the underlying Interest measured

by the Benchmark);

2. Submitter Compliance with Guidelines: Employing a system of appropriate measures so

that, to the extent possible, Submitters comply with the Submission guidelines, as defined in

the Submitter Code of Conduct and the Index Administrators’ applicable quality and integrity

standards for Submission;

Note: As a Data Submitter, Interactive Data Pricing and Reference Data LLC will provide

annual attestations as to compliance with Interactive Data Submitter Code of Conduct.

3. Frequency of Submissions: Specifying how frequently Submissions should be made and

specifying that inputs or Submissions should be made for every Benchmark determination; and

4. Monitoring of Submissions: Establishing and employing measures to effectively monitor

and scrutinize inputs or Submissions. This should include pre-compilation or pre-publication

monitoring to identify and avoid errors in inputs or Submissions, as well as ex-post analysis of

trends and outliers.

Note: Interactive Data Pricing and Reference Data’s evaluated pricing process includes intra-

day, weekly, and/or monthly quality controls in support of our evaluations.

Quality Controls

Some of the quality controls performed for all asset classes include the following:


• System requirements to enter an explanation for securities where there

has been an adjustment to the evaluation that breaks an internal tolerance

level

• Daily checks of trading information and data changes (including ratings)

• Review of unchanged evaluations and other applicable data

• Daily reviews by managers of tolerance reports to confirm processes are

being followed

• Monthly management reviews of evaluator work samples (tolerance

reports, client challenges, and other evaluation-related matters).

Quality Controls: Continuous Fixed Income Evaluations

Interactive Data Pricing and Reference Data LLC also provides continuous fixed income

evaluated pricing for certain asset classes. Current coverage includes U.S. and EMEA corporate

and sovereign bonds, US TBA MBS, US MBS pass-throughs and US agency/government

sponsored enterprise (GSE) debentures, and US and European money market instruments, with

coverage of Asia Pacific sovereign and corporate bonds expected to be available shortly. Some

of the quality controls performed for fixed income instruments evaluated continuously

throughout the day include:

• The continuous evaluation process flags certain potential changes in

evaluations as “exceptions” for review by evaluators based on internal system tolerances and

parameters. This process is designed to highlight potential issues based on logic checks that

review inbound data prior to its application in the evaluation process. Evaluators are prompted

by a notification to review data exceptions for acceptance or rejection. Evaluators apply their

subject matter expertise, review comparable securities, and reach out to market contacts for

information to confirm or reject exceptions.*

• Intra-day review of market information and data changes (including

ratings) that may have an impact on our evaluations.

*Note that the processing of such exceptions can take additional time to

complete. The processing of all flagged exceptions is required prior to the release of the end-

of-day evaluations. These reviews however may not be complete, and therefore the results of

such reviews may not be known, in connection with continuous fixed income evaluated prices

available at 3:00 p.m. and 4:00 p.m. ET, respectively. As a result, Interactive Data Pricing and

Reference Data LLC recommends that customers carefully consider the intended use of

continuous fixed income evaluations in light of the nature and timing of available end-of-day

data before determining if such evaluations are appropriate for customer’s intended

applications. End-of-day evaluations may be more appropriate than continuous fixed income

evaluations for certain applications, such as determination of U.S. registered investment

company NAV calculations at 3:00 p.m. or 4:00 p.m. ET.


For additional information regarding quality controls, please refer to the evaluation

methodologies (available on 360ViewSM or upon request).

VI. Books and Record Retention

As of the date of this code the Calculation Group maintains Index values and returns on a

historical basis for its clients. Specific requirements can be reviewed with the client.

VII. Administration of the Calculation Agent Code of Conduct

A. Distribution and Acknowledgment of the Calculation Agent Code of Conduct

The Company will require that all personnel subject to this Code acknowledge in writing

receipt of this Calculation Agent Code of Conduct and any amendments hereto. On a yearly

basis, the Company will require such personnel to acknowledge in writing that he/she has

received the current copy of this Calculation Agent Code of Conduct.

B. Questions, Reviews and Sanctions

Where to Direct Questions. Questions about this Code should be directed to Erin Heise,

Vice President, Listed Markets and Indices, Interactive Data.

Investigations of Alleged Violations. Erin Heise shall notify the General Counsel of any

alleged violations. The General Counsel shall conduct an investigation of any alleged

violations. Any violations found shall be reported to General Counsel and appropriate

Company management, including Human Resources.

Sanctions for Violation of this Code. Any person who violates this Policy will be subject to

disciplinary action up to and including termination. Such action may be based on, among other

concerns, whether or not the violation was intentional and the nature and duration of the

violation.

C. Reporting

If any employee knows or believes that any person has engaged in (or is engaging in) conduct

that violates this Code, such employee must report the information either to the General

Counsel or to his/her manager.


Glossary

Administrator: An organization or legal person that controls the creation and operation

of the Benchmark Administration process, whether or not it owns the intellectual property

relating to the Benchmark. In particular, it has responsibility for all stages of the Benchmark

Administration process, including:

a) the calculation of the Benchmark;

b) determining and applying the Benchmark Methodology; and

c) disseminating the Benchmark.

Benchmark: Any prices, estimates, rates, indices or values that are:

a) Made available to users, whether free of charge or for payment;

b) Calculated periodically, entirely or partially by the application of a formula or

another method of calculation to, or an assessment of, the value of one or more

underlying Interests;

c) Used for reference for purposes that includes one or more of the following:

• determining the interest payable, or other sums due, under loan

agreements or under other financial contracts or instruments;

• determining the price at which a financial instrument may be bought or

sold or traded or redeemed, or the value of a financial instrument; and/or

• measuring the performance of a financial instrument.

Calculation Agent: A legal entity with delegated responsibility for determining a

Benchmark through the application of a formula or other method of calculating the information

or expressions of opinions provided for that purpose, in accordance with the Methodology set

out by the Administrator.

Calculation Agent Group: The ETF & Index Services group within Interactive Data

Pricing and Reference Data LLC.

Company: Refers to Interactive Data Corporation. Note: Interactive Data Pricing and

Reference Data LLC is registered as an investment adviser with the U.S. Securities and

Exchange Commission under the Investment Advisers Act of 1940, as amended.

Expert Judgment: The exercise of discretion by an Administrator or Submitter with

respect to the use of data in determining a Benchmark. Expert Judgment includes extrapolating

values from prior or related transactions, adjusting values for factors that might influence the


quality of data such as market events or impairment of a buyer or seller’s credit quality, or

weighting firm bids or offers greater than a particular concluded transaction.

Individual Submitter: individual determining information that is provided to an

Administrator or Calculation Agent in connection with the determination of a Benchmark.

Interest: Any physical commodity, currency or other tangible goods, intangibles (such

as an equity security, bond, futures contract, swap or option, interest rates, another index,

including indexes that track the performance of a rule-based trading strategy or the volatility of

a financial instrument or another index), any financial instrument on an Interest, which is

intended to be measured by a Benchmark. Depending on the context, it is assumed that the

word “Interest” also includes the market for such Interest.

IOSCO: The Board of the International Organization of Securities Commissions.

IOSCO Benchmark Principles: The Principles for Financial Benchmarks set out in the

Final Report dated July 2013 published by IOSCO.

Methodology: The written rules and procedures according to which information is

collected and the Benchmark is determined.

Regulated Market or Exchange: A market or exchange that is regulated and/or

supervised by a Regulatory Authority.

Regulatory Authority: A governmental or statutory body (not being a Self-Regulatory

Organization) with responsibility for securities and/or commodities and futures regulation.

Self-Regulatory Organization or “SRO”: An organization that has been given the

power or responsibility to regulate itself, whose rules are subject to meaningful sanctions

regarding any part of the securities market or industry. This authority may be derived from a

statutory delegation of power to a non-governmental entity or through a contract between an

SRO and its members as is authorized or recognized by the governmental regulator. See

IOSCO Methodology, Principle 9, p.50.

Stakeholder: Subscribers and other persons or entities who own contracts or financial

instruments that reference a Benchmark.

Standard Inputs: The inputs that Interactive Data normally seeks for evaluations of

securities, listed in approximate order of priority, include: benchmark yields, reported trades,

broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers and

reference data including market research publications.

Submission(s): Prices, estimates, values, rates or other information that is provided by a

Submitter to an Administrator for the purposes of determining a Benchmark. This excludes data

sourced from Regulated Markets or Exchanges with mandatory post-trade transparency

requirements.

http://www.iosco.org/library/pubdocs/pdf/IOSCOPD359.pdf


Submitter: A Submitter Firm or an Individual Submitter.

Submitter Firm: A legal person (other than an individual) providing information to an

Administrator or Calculation Agent required in connection with the determination of a

Benchmark.

Subscriber: A person or entity that purchases Benchmark determination services from

an Administrator.

Supervisor: A person with relevant skills, experience and seniority appropriate to

supervise Submissions to be made by a Submitter.


Appendix A Financial Benchmarks Submitter Code of Conduct

Financial Benchmarks

Submitter Code of Conduct

of

Interactive Data Pricing and Reference Data LLC

Global Evaluated Pricing Services

August 19, 2015


TABLE OF CONTENTS Page

I. Background ................................................................................................................................. 3

A. Purpose of Submitter Code of Conduct ......................................................................... 3

B. Scope ............................................................................................................................ 16 C. Regulatory Authorities and Compliance Department ..................................................... 4

D. Personnel Who Are Subject to Submitter Code of Conduct .......................................... 4

II. Requirements .............................................................................................................................. 4

A. Making Submissions .................................................................................................... 18 1. Mechanism and Timing of Submissions .................................................................. 4

2. Who May Make Submissions ................................................................................... 4

3. General Requirements for Submissions; Data Sufficiency. ..................................... 5

4. Hierarchy of Data Inputs and Information Regarding Submissions ......................... 6

5. Conflicts of Interest and Code of Ethics ................................................................... 6

B. Evaluated Pricing Challenge Process .......................................................................... 20 C. Withdrawal of Submissions ......................................................................................... 21 D. Internal Systems and Controls ..................................................................................... 21

1. Procedures for Making Submissions and Use of Expert Judgment .......................... 8

2. Record-Keeping Policies .......................................................................................... 8

3. Pre-submission Validation and Escalation and Supervisory Review ....................... 8

4. Compliance Department Oversight .......................................................................... 9

III. Administration of the Submitter Code of Conduct ................................................................. 10

A. Distribution and Acknowledgment of the Submitter Code of Conduct; Training ...... 10 B. Questions, Reviews and Sanctions ................................................................................ 9

1. Where to Direct Questions ...................................................................................... 9

2. Reviews by CCO ..................................................................................................... 9

3. Investigations of Alleged Violations ....................................................................... 9

4. Sanctions for Violation of this Code ....................................................................... 9

C. Reporting. .................................................................................................................... 10

Glossary ......................................................................................................................................... 11


I. Background

A. Purpose of the Submitter Code of Conduct

Interactive Data Pricing and Reference Data LLC (the “Company”) provides global

securities pricing, evaluations, and reference data to over 5,000 clients globally in support of

their pricing activities, securities operations, research, and portfolio management. Benchmark

Administrators are among the clients for our evaluated pricing services and this Submitter Code

of Conduct (the “Code”) has been developed consistent with the IOSCO Principles for

Financial Benchmarks set out in the Final Report dated July 2013 (the “Final Report” or

“IOSCO Benchmark Principles”).

As an independent provider of evaluated prices to the financial services industry, the

Company generally does not face many of the types of conflicts of interest described in the

Final Report, such as: the manipulation of data by submitters that are also market participants

or discretion in the selection of data to be submitted.1 Nonetheless, the Company has adopted

this Code to provide additional transparency into the Company’s procedures, controls and

governing processes to enable Benchmark Administrators to exercise effective oversight of the

Benchmark setting process in conformance with the IOSCO Benchmark Principles.

As described in the Final Report, because the universe of Benchmarks is large and

diverse, the application of the IOSCO Benchmark principles is intended to be proportional to

the size and risks posed by the Benchmark-setting process. This Code has been developed

incorporating these proportionality principles as applied to an independent provider of

evaluated pricing services that may be used by a Benchmark Administrator in the determination

of a Benchmark.

This Code is not intended to create any rights for Stakeholders or other third parties.

Capitalized terms are defined as used herein and/or in the Glossary at the end of this

Code.

B. Scope

The scope of Submitter data (“Submissions”) subject to this Code includes: (a)

evaluations of fixed income and other debt securities, (b) evaluations of security-based swaps,

(c) the Fair Value Information Service for certain international equities, equity index futures

contracts and equity options, and (d) evaluations of certain equity securities, including

American Depositary Receipts (ADRs). The Company provides evaluations for global fixed

income securities prepared by personnel at our international affiliates, Interactive Data

(Europe) Ltd. and Interactive Data (Australia) Pty Ltd. and such evaluations are also included

within the scope of this Code.

1 Principles for Financial Benchmarks, IOSCO Final Report (July 2013), p.3.


The Final Report excludes from the definition of Submitter data sourced from

Regulated Markets or Exchanges with mandatory post-trade transparency requirements. As a

result, this Code does not include within its scope any U.S. or foreign regulated listed markets

pricing data provided by the Company.

This Submitter Code of Conduct also expressly excludes any and all valuations content

provided by third party sources including:

Valuations for Canadian dollar-denominated corporate, treasury, provincial, and

municipal bonds, zeros, strips, and trusts/funds provided by SVCSM

(a service of

SS&C Technologies, Inc.),

Valuations for certain Student Loan Auction Rate Securities (SLARS), Municipal

Auction Rate Securities (MARS), and Auction Rate Preferred Securities (ARPS)

provided by Pluris Valuation Advisors LLC,

Valuations for certain complex structured securities, OTC derivatives, and loans

made available by the Federal Reserve Bank of New York in connection with the

Term Asset-Back Securities Loan Facility provided by Prism Valuation, and

CDO/CLO and other supplemental instrument valuations coverage from Bank of

America/Merrill Lynch PriceServe. Broker-quoted securities are adjusted based

solely on the Company’s receipt of updated quotes from market makers or broker-

dealers recognized as market participants. A list of such issues is compiled daily as

of market close and is available via the Company’s 360ViewSM

service.

C. Regulatory Authorities and Compliance Department

The Company is registered as an investment adviser with the U.S. Securities and

Exchange Commission with respect to its evaluated pricing services for fixed income

securities, and certain derivatives and equity securities. As a registered investment adviser, the

Company has appointed a Chief Compliance Officer (CCO) responsible for adopting and

implementing policies and procedures reasonably designed to prevent violations of the

Investment Advisors Act of 1940, and for adoption and implementation of a compliance

program that includes risk assessment and periodic review and testing of the company’s written

policies and procedures. The CCO is responsible for assessing, no less frequently than

annually, the adequacy of the policies and procedures adopted pursuant to Rule 206(4)-7 of the

Investment Advisers Act of 1940; as amended (the “Advisers Act”) and the effectiveness of

their implementation. The CCO reports to the Senior Vice President and General Counsel, and

has dotted line reporting to the Interactive Data Corporation Audit Committee. For additional

information, please refer to Interactive Data Pricing and Reference Data LLC’s Form ADV

(available via the SEC’s Investment Adviser Public Disclosure website).

D. Personnel Who Are Subject to the Submitter Code of Conduct


This Code applies to all employees of the Company or its affiliates involved in the

determination of Submissions on behalf of the Company (“Submitter Group”). The Submitter

Group consists of the Company’s evaluation services staff and their Supervisors.

II. Requirements

A. Making Submissions

1. Mechanism and Timing of Submissions. The Company undertakes to provide

Submissions to each Administrator in a manner consistent with the process agreed with such

Administrator.

2. Who May Make Submissions. The Company maintains procedures and controls

designed to ensure that only the Submitter Group may determine Submissions and that only

properly authorized individuals within the Submitter Group may approve the release of

Submissions. Additional information regarding internal controls and supervisory review of

Submissions is provided in Section II.D.3.

The Company’s evaluation services staff and their supervisors shall have appropriate

experience, skills, knowledge and qualifications for the responsibilities assigned to them. The

Company shall take appropriate steps to ensure the continued provision of evaluated services in

the absence of any particular individual.

3. General Requirements for Submissions; Data Sufficiency. The Company’s bid-side

evaluations are market-based measurements that represent the Company’s good faith opinion as

to what the holder would receive in an orderly transaction (for an institutional round lot

position typically 1MM or greater current value USD or equivalent in local currency) under

current market conditions. Trades and bids are reviewed to determine that the lot size is

representative of an institutional round lot, though smaller or retail sized lots may be

considered especially if this is the only or primary trading information available. The

Company uses valuation techniques that reflect market participants’ assumptions and maximize

the use of relevant observable inputs including quoted prices for similar assets, benchmark

yield curves and market corroborated inputs.

The Company utilizes evaluated pricing models that vary by asset class and incorporate

available trade, bid and other market information and for structured securities, cash flow and,

when available, loan performance data. Because many fixed income securities do not trade on

a daily basis, Interactive Data’s evaluated pricing applications apply available information as

applicable through processes such as benchmark curves, benchmarking of like securities, sector

groupings, and matrix pricing, to prepare evaluations. In addition, Interactive Data uses model

processes, such as the Option Adjusted Spread (OAS) model for structured securities to assess

interest rate impact and develop prepayment scenarios. For convertible and corporate bonds, an

OAS model is incorporated to adjust spreads of issues that have early redemption features. Our

models and processes take into account market convention. For each asset class, a team of


evaluators gathers information from market sources and integrates relevant credit information,

perceived market movements and sector news into the evaluated pricing applications and

models.

Additional information regarding the methodology for determining evaluated prices for

each asset class is available to Administrators via the Company’s 360ViewSM

service or upon

request.

4. Hierarchy of Data Inputs and Information Regarding Submissions.

The market inputs (“Standard Inputs”) that the Company normally seeks for evaluations

of securities, listed in approximate order of priority, include: benchmark yields, reported trades,

broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers and

reference data including market research publications. The Company also monitors market

indicators, industry and economic events. Information of this nature may be a trigger to acquire

further market data. For certain security types, additional inputs may be used, or some of the

Standard Inputs may not be applicable. Evaluators may prioritize inputs differently on any

given day for any security based on market conditions, and not all inputs listed are available for

use in the evaluation process for each security evaluation on any given day.

Additional information regarding the inputs used to determine evaluated prices is

documented in the Company’s methodology sheets and Summary of Inputs by Asset Class,

available to Administrators via the Company’s 360ViewSM

service or upon request.

Additional information regarding the specific inputs utilized in the evaluations process

on a security-level basis is available to Administrators via the Company’s VantageSM

and

360ViewSM

services.

5. Conflicts of Interest and the Code of Ethics. The Company is an independent provider

of evaluated prices, and generally does not engage in market transactions for its own account.

In addition to this Code, the Company has adopted a Code of Ethics, which covers:

Standards of ethics expected of supervised persons, including that supervised

persons owe a fiduciary duty to our advisory clients, must follow principles of

integrity and honesty in dealings with clients, may not take unfair advantage of any

client, and must avoid conflict of interests or the appearance of any conflicts of

interest with clients – to avoid even the appearance of a conflict of interest,

evaluators are not permitted to directly invest in the securities they evaluate;

Requirements for access persons to complete, and the Compliance department to

review, initial and annual securities holdings and quarterly securities transactions

reports, and a requirement for access persons to pre-clear investments in initial

public offerings and limited offerings;

Requirements for supervised persons to promptly report violations of the Code of

Ethics and to disclose transactions or relationships that might give rise to a conflict


of interest. Employees and others are provided the option to report violations or

suspected violations confidentially and anonymously via a toll-free telephone

number;

Limitations on the actions of supervised persons, including that each supervised

person must safeguard and keep confidential non-public client information;

Requirements for supervised persons to report any relationship that might give rise

to a conflict of interest by completing and submitting an outside business activity

form;

accept or provide only small gifts (generally defined as having a value of not more

than $100 for any individual gift and a total value of not more than $150 for

multiple gifts from or to any one client or vendor during a calendar year and

excluding cash and cash equivalents), and accept or provide business entertainment

only if infrequent, modest and intended to serve legitimate business goals;

Prohibitions on the actions of supervised persons, including that each supervised

person may not trade based on material, non-public information or tip others to trade

based on material non-public information, and may not offer, give or receive bribes

in connection with Company business; and

Recordkeeping requirements.

A copy of the Company’s Code of Ethics is included on the Company’s website

(www.interactivedata.com) under Corporate Governance. Upon hire and at least annually,

employees subject to the Code of Ethics are required to acknowledge that they have received

and reviewed the Code of Ethics.

B. Evaluated Pricing Challenge Process

The Company has established processes for clients to submit inquiries regarding

evaluations. These processes are designed to allow the Company to promptly and efficiently

respond to client inquiries. The Company’s Evaluated Pricing Challenge Portal gives clients

the ability to enter evaluation challenges and inquiries on vendor comparisons or unchanged

evaluations directly through the portal, track existing inquiries, and monitor their progress

through the use of various report generation options.

In the event that an Administrator has an inquiry regarding a Submission, the Company

agrees to use reasonable endeavors to respond to the inquiry in a timely manner and provide

relevant information used in determining the Submission.

Additional information regarding the Evaluated Pricing Challenge Process and the

Evaluated Pricing Challenge Portal is available to Administrators via the Company’s

360ViewSM

service or upon request.

http://www.interactivedata.com/


C. Withdrawal of Submissions

The Company shall follow the termination provisions specified in the contract with an

Administrator including any requirements for advanced written notice of termination, as

applicable.

The Company shall provide notice of any changes to services as required in the contract

with an Administrator, as applicable. Evaluators regularly review the evaluation inputs for

securities covered, including executed trades, broker quotes, credit information and collateral

attributes and/or cashflow waterfall, as applicable. If the Company determines that it does not

have sufficient objectively verifiable information about a security's valuation, the Company

will discontinue evaluating the security until it can obtain such information. The Company

endeavors to provide written notice in advance of any such discontinuation as practicable.

D. Internal Systems and Controls

1. Procedures for Making Submissions and Use of Expert Judgment. The Company

maintains Operating Manuals with respect to each asset class that describes the procedures for

determining evaluations and provides guidance regarding the use of Expert Judgment by

evaluators.

2. Record-Keeping Policies. The Company has adopted a Books and Records Policy under

the requirements of the Advisers Act. Under this Policy, the Company retains, for at least five

years, records relating to the evaluated pricing business, including, among others:

the procedures and methodologies for determining evaluations

information used as the basis for evaluations

electronic communications with clients, including all evaluation challenges

submitted by clients, and

violations of the Company’s Code of Ethics.

3. Pre-submission Validation and Escalation and Supervisory Review. The Company’s

Operating Manuals describe review processes and quality controls. Controls serve various

purposes, including to:

highlight erroneous data;

highlight unchanged evaluations;

discover and prevent input/output errors;

discover procedures that are not being performed; and


indicate when a procedure or process needs to be enhanced.

The Company uses market transaction activity, tolerance reports and the evaluation

challenge process as important controls to identify evaluations that require additional review.

4. Compliance Department Oversight. The Compliance department’s monitoring includes:

monthly surveillance meetings with respect to each asset class, independent compliance

sampling, and an annual certification by the asset class directors that the Operating Manuals

reflect current processes. Information identified through quality control review processes is

escalated to business management as appropriate for follow-up and resolution.

III. Administration of the Submitter Code of Conduct

A. Distribution and Acknowledgment of the Submitter Code of Conduct; Training

The Company will require that all personnel subject to this Code acknowledge in

writing receipt of this Code and any amendments hereto. On a yearly basis, the Company will

require such personnel to acknowledge in writing that he/she has received the current copy of

this Code.

The Compliance department provides periodic training on the Code of Ethics and

compliance policies, including this Code.

B. Questions, Reviews and Sanctions

1. Where to Direct Questions. Questions about this Code should be directed to the

Compliance department at [email protected] or by contacting

a member of the Compliance department directly.

2. Reviews by CCO. The Compliance department will periodically review compliance by

the Company and personnel with this Code.

3. Investigations of Alleged Violations. The CCO shall notify the General Counsel of any

alleged violations. The General Counsel, in consultation with the CCO, shall conduct an

investigation of any alleged violations. Any violations found shall be reported to the CCO,

General Counsel and appropriate Company management, including Human Resources.

4. Sanctions for Violation of the Submitter Code of Conduct. Any person who violates

this Code will be subject to disciplinary action up to and including termination. Such action

may be based on, among other concerns, whether or not the violation was intentional and the

nature and duration of the violation.

mailto:[email protected]


C. Reporting.

If any employee knows or believes that any person has engaged in (or is engaging in)

conduct that violates this Code, such employee must report the information either to the CCO

or to his/her manager, who must promptly inform the CCO.

Employees are required to escalate immediately the receipt of any requests or

instructions (irrespective of where these originate from) which might have, or be seen to have,

an impact on the reliability and integrity of any Submissions. Employees should immediately

report if they suspect that any person:

(i) is manipulating or has manipulated a Submission;

(ii) is attempting to or has attempted to manipulate a Submission; or

(iii) is colluding in or has colluded in the manipulation or attempted manipulation of

a Submission.

Employees of Interactive Data, or at any third party involved in the data submission

process to an Administrator, may also use a toll-free telephone number to report information

confidentially, and if so desired, anonymously.


Glossary

Administrator: An organization or legal person that controls the creation and operation

of the Benchmark Administration process, whether or not it owns the intellectual property

relating to the Benchmark. In particular, it has responsibility for all stages of the Benchmark

Administration process, including:

a) the calculation of the Benchmark;

b) determining and applying the Benchmark Methodology; and

c) disseminating the Benchmark.

Benchmark: Any prices, estimates, rates, indices or values that are:

a) Made available to users, whether free of charge or for payment;

b) Calculated periodically, entirely or partially by the application of a formula or

another method of calculation to, or an assessment of, the value of one or more

underlying Interests;

c) Used for reference for purposes that includes one or more of the following:

• determining the interest payable, or other sums due, under loan

agreements or under other financial contracts or instruments;

• determining the price at which a financial instrument may be bought or

sold or traded or redeemed, or the value of a financial instrument; and/or

• measuring the performance of a financial instrument.

Calculation Agent: A legal entity with delegated responsibility for determining a

Benchmark through the application of a formula or other method of calculating the information

or expressions of opinions provided for that purpose, in accordance with the Methodology set

out by the Administrator.

Company: Refers to Interactive Data Pricing and Reference Data LLC. Interactive

Data Pricing and Reference Data LLC is registered as an investment adviser with the U.S.

Securities and Exchange Commission under the Investment Advisers Act of 1940, as amended.

Expert Judgment: The exercise of discretion by a Submitter with respect to the use of

data in determining a Submission. Expert Judgment includes extrapolating values from prior or

related transactions, adjusting values for factors that might influence the quality of data such as

market events or impairment of a buyer or seller’s credit quality, or weighting firm bids or

offers greater than a particular concluded transaction.


Individual Submitter: Individual determining information that is provided to an

Administrator or Calculation Agent in connection with the determination of a Benchmark.

Interest: Any physical commodity, currency or other tangible goods, intangibles (such

as an equity security, bond, futures contract, swap or option, interest rates, another index,

including indexes that track the performance of a rule-based trading strategy or the volatility of

a financial instrument or another index), any financial instrument on an Interest, which is

intended to be measured by a Benchmark. Depending on the context, it is assumed that the

word “Interest” also includes the market for such Interest.

IOSCO: The Board of the International Organization of Securities Commissions.

IOSCO Benchmark Principles: The Principles for Financial Benchmarks set out in the

Final Report dated July 2013 published by IOSCO.

Methodology: The written rules and procedures according to which information is

collected and the Benchmark is determined.

Regulated Market or Exchange: A market or exchange that is regulated and/or

supervised by a Regulatory Authority.

Regulatory Authority: A governmental or statutory body (not being a Self-Regulatory

Organization) with responsibility for securities and/or commodities and futures regulation.

Self-Regulatory Organization or “SRO”: An organization that has been given the

power or responsibility to regulate itself, whose rules are subject to meaningful sanctions

regarding any part of the securities market or industry. This authority may be derived from a

statutory delegation of power to a non-governmental entity or through a contract between an

SRO and its members as is authorized or recognized by the governmental regulator. See

IOSCO Methodology, Principle 9, p.50. http://www.iosco.org/library/pubdocs/pdf/

IOSCOPD359.pdf

Stakeholder: Subscribers and other persons or entities who own contracts or financial

instruments that reference a Benchmark.

Standard Inputs: The inputs that Interactive Data Pricing and Reference Data LLC

normally seeks for evaluations of securities, listed in approximate order of priority, include:

benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets,

benchmark securities, bids, offers and reference data including market research publications.

Submission(s): Prices, estimates, values, rates or other information that is provided by a

Submitter to an Administrator or Calculation Agent for the purposes of determining a

Benchmark. This excludes data sourced from Regulated Markets or Exchanges with

mandatory post-trade transparency requirements.




For the purposes of this Submitter Code of Conduct, Submissions include evaluated

prices as described within the scope of Section I.B of this Code.

Submitter: A Submitter Firm or an Individual Submitter.

Submitter Firm: A legal person (other than an individual) providing information to an

Administrator or Calculation Agent required in connection with the determination of a

Benchmark.

Submitter Group: A group of Individual Submitters within a Submitter Firm who are

responsible for determining and/or making Submissions in relation to a particular Benchmark

or group of Benchmarks. The Submitter Group consists of the Company’s evaluation services

staff and their Supervisors.

Subscriber: A person or entity that purchases Benchmark determination services from

an Administrator.

Supervisor: A person with relevant skills, experience and seniority appropriate to

supervise Submissions to be made by a Submitter.

Calculation Agent Code of Conduct of Interactive Data Pricing and

Reference Data LLC, dated August 19, 2015 (the “Code”)

Certification

By signing below I acknowledge that I have read, understood, and agree to comply with the

Code. I understand that failure to do so may result in disciplinary action.

Printed Name:

Date:

Signature:

calculation agent code of conduct of interactive data ...€¦ · calculation agent code of conduct...

Documents