U.S./Canadian Corporate & Government Bond Evaluation Methodologies

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1 U.S./Canadian Corporate & Government Bond Evaluation Methodologies ICE Data Services offers daily end-of-day and intraday continuous evaluations and related data for U.S. corporate and government bonds, agency/government sponsored enterprise (GSE) debentures, long-term Certificates of Deposit (CDs), and preferred stocks as well as daily valuations and related data for Canadian dollar-denominated corporate and government securities from SVC SM *. Evaluation The evaluation workflow is designed to rapidly process and apply incoming data while retaining close evaluator oversight of market conditions. Our corporate and government bond evaluation methodologies are focused on maintaining consistency among issues of a given issuer and within market sectors. To reflect current market conditions, market information is obtained throughout the day from a range of market sources and integrate relative credit information, observed market movements, and sector news into the evaluated pricing applications and models. The diversity of the data sources that we are able to draw upon permits us to identify similar issues and to draw appropriate correlations. Unstructured data, such as s from market participants, are parsed electronically and automatically linked to evaluated securities. Trade execution data from the FINRA Trade Reporting and Compliance Engine (TRACE ) is an important factor in our evaluations. Incoming market data are enriched to derive spread, yield and/or price data as appropriate, enabling known data points to be extrapolated for application across a range of related securities. Enriched data is tested against the current evaluation and internal tolerances and parameters. Automation rules drive generation of evaluated prices as market data is received and processed, and evaluators are notified as exceptions are identified based on the built-in tolerances. Our evaluators apply their judgment and expertise, review comparable securities and reach out to market contacts to resolve exceptions. System parameters are regularly adjusted to reflect prevailing market conditions. Our evaluations are based on interpretations of accepted financial market conventions. Various items are considered, including the following assumptions: A bond s value is represented by its yield, which reflects the benchmark yield curve and then compensates for additional credit risks incurred in buying and holding a bond Intercontinental Exchange, Inc. 1

2 A bond s value should take into account the bond s terms and conditions, including any features specific to that issue which may influence risk, and thus marketability (our terms and conditions data is available separately or in conjunction with corporate and government bond evaluations). A bond s value can change due to bond market activity, with particular emphasis on events affecting market sectors and individual issuer credit worthiness. Evaluation models and analytical tools are specifically designed to enable us to evaluate bonds that are traded infrequently and to respond rapidly to changing market conditions. Intraday continuous evaluations are updated as market information, including dealer quotes and trades, is received and processed. We calculate evaluations throughout the day based on a continuously updated Treasury curve as well as end of day evaluations based upon both 15:00 ET and/or 16:00 ET benchmark curves for U.S. Treasury, Agency debentures, corporate investment grade and high yield evaluated bonds. (For more information, refer to Continuous Fixed Income Evaluated Pricing.) *SVC is a service of SS&C Technologies, Inc. Our evaluators decide on a case-by-case basis whether a particular issuer, and therefore its bonds, is being treated by the marketplace as high-yield or as investment grade at any given time. Bonds of transitional credit quality, known as crossover bonds, are not easily categorized as high yield or investment grade. (For more information, refer to our High Yield Securities Evaluation.) Bond evaluations are typically provided as a percentage of par. Evaluations for preferred stock and convertible preferred stock are generally provided as dollar values. Coverage Issue Type: Coverage U.S. Treasury Bills, Bonds, and Notes Evaluations for U.S. Treasury fixed and floating rate securities including bills, bonds, and notes U.S. Treasury securities are evaluated by obtaining feeds continuously from a number of live data sources including active market makers and inter-dealer brokers (IDB). Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are available throughout the day as well as being marked at 15:00 and 16:00 (ET). U.S. TIPS Evaluations for active U.S. Treasury Inflation Protected Securities (TIPS) U.S. Savings Bonds U.S. TIPS are evaluated continuously throughout the day, as well as at 15:00 and 16:00 (ET) daily using a variety of realtime sources. Contributors to those sources include active market makers in Treasury securities and inter-dealer brokers. Evaluated prices for U.S. TIPS are clean, meaning that the evaluated price does not include an adjustment factor for inflation. We provide the redeemable value of U.S. Savings Bonds from the official redemption values published by the U.S. Treasury 2017 Intercontinental Exchange, Inc. 2

3 Redeemable values for U.S. Savings Bonds including Series E, EE, H, HH, and I Savings Bonds, and Savings Notes (Freedom Shares) Stripped Coupon and Principal Issues Evaluations for U.S. stripped coupon and principal issues, hybrid stripped issues, and agency, GSE and quasiagency stripped issues Department. For Series E, EE, and I Savings Bonds, and Savings Notes (Freedom Shares), the redeemable value is for a bond with a $100 denomination ($50 denomination for electronic EE Bonds.) For Series H and HH Savings Bonds, the redeemable value is for a bond with a $1,000 denomination. U.S. Savings Bonds stop earning interest upon final maturity, but do not expire. Series EE and I Savings Bonds are generally subject to a 12 month holding period prior to redemption. During this period, we provide the purchase price of the bond based on the denominations noted above. Values provided for U.S. Savings Bonds reflect any deductions of accrued interest for early redemption. Stripped interest and stripped principal yield curves are obtained from live data from various dealer contacts and from IDB sources. These yields are continuously updated throughout the day, as well as at end of day based on a 15:00 ET and 16:00 (ET) U.S. Treasury zero-coupon curve. Valuations obtained for U.S. Treasury separate trading of registered interest and principal securities (STRIPs) are algorithmically compared against a bootstrapped zero-curve constructed from U.S. Treasury instruments and outliers are reviewed by an evaluator prior to release. To maintain consistency between our evaluations of STRIPs and Treasury coupon securities, we conduct the following tolerance checks: 1. Compare STRIPs levels obtained or derived from each market source with the corresponding prices for whole Treasury notes, adjusted by the average basis between stripped and coupon securities that we calculate for the trailing 30-day period. If a market source s STRIPs levels deviate from Treasury coupon security levels by greater than our tolerance, that source s levels for both STRIPs and Treasury coupon securities will be ineligible for inclusion in the evaluation. 2. Compare levels for both STRIPs and Treasury coupon securities obtained from each market source, with average levels for the same security obtained from other market sources. If a market source s level deviates from other market sources by greater than our tolerance, that source s levels for both STRIPs and Treasury coupon securities will be ineligible for inclusion in the evaluation. Algorithmically derived STRIPs values that satisfy the above tolerance checks will be adjusted by the 30-day trailing 2017 Intercontinental Exchange, Inc. 3

4 average basis between STRIPs and Treasury coupon securities, and then averaged together with levels received from market sources that provide direct quotes for STRIPs. Hybrid securities and agency/gse strips are spread off an appropriate U.S. Treasury issue. We obtain these spreads from the new issue market and dealer sources. Spreads can be changed throughout the day in response to market conditions. Fixed Rate Corporate Bonds, Agency/GSE Issues, Medium-Term Notes, and Retail Notes Evaluations for investment grade, fixed rate corporate bonds, and agency/gse issues that are: debentures, notes, mortgage bonds, catastrophe bonds, equipment or collateral trusts, step-up bonds investment grade as assessed by our evaluators (typically issues with a Moody s rating of Baa3 or better, or an S&P rating of BBB- or better) in the industrial, finance, utility, agency/gse, or equipment trust market sectors in the Retail Note Program Evaluations for continuously issued, fixed-interest securities. Evaluators maintain quality by surveying the dealer community, obtaining relevant trade data, benchmark quotes and spreads and incorporating this information into the evaluation process. We generate evaluations on a price, yield or spread basis as determined by the observed market data. Spread and Yield Basis: Evaluators create a bullet (non-call) spread scale for relevant maturities of each issuer. These spreads represent credit risk and are based on the new issue market, secondary trading, and dealer quotes. Each issuer-spread line has the capability to link parent/subsidiary and related companies to capture relevant movements. An Option Adjusted Spread (OAS) model is incorporated to adjust spreads of issues that have early redemption features. Spreads and yields are calculated continuously throughout the day, as well as end of day evaluations based upon both a 15:00 ET and 16:00 ET benchmark curve (e.g. U.S. Treasury curve). A special cash discounting yield/price routine calculates prices from final yields to accommodate odd coupon payment dates typical of medium-term notes. Retail instruments are evaluated incorporating trades of all lot sizes. Price Basis: Evaluators attempt to match each issue to its best-known market maker. Evaluators identify and contact firms that deal with these securities. Evaluators monitor new issues and determine their relevance to other securities we cover. Crossover issues are evaluated based on how they are treated by the marketplace either on a spread or a price basis. Note: Floating-rate medium-term notes are evaluated using the Floating-Rate Note Evaluation Model, see next page Intercontinental Exchange, Inc. 4

5 CDs Evaluations for long-term CDs Preferred Stocks Evaluations for (Moody s rating Baa3 or better, or S&P rating BBB- or better) preferred stocks For callable and step-up issues, A CD rate scale is created daily for long term CDs with maturities going out to forty years. These rates are obtained from various market makers and dealers, as well as data from the new issue market. The evaluators will continually follow the primary market and focus on changing market conditions as shown through new issue prices. An OAS model is incorporated to adjust the yields of issues that have early redemption features. Index-linked, long-term CDs are not evaluated based on a CD rate scale, but rather are evaluated by surveying the dealer community and obtaining broker/dealer quotes on a daily basis. Most preferred stocks are evaluated by calculating the appropriate spread over a comparable security (e.g. a U.S. Treasury security) for each issue. These spreads represent the amount of additional yield required to account for the risks inherent with preferred stocks, including credit, refunding, and liquidity risk. Our evaluators obtain benchmark quotes on liquid issues, follow both the listed and new issue market, and focus on changing market conditions. Preferred stocks can be evaluated to a current yield, to an average life, or to a redemption date. Special attention is paid to issues with active sinking funds and early redemption features. Issues are benchmarked daily with a 15:00 ET benchmark curve (e.g. U.S. Treasury benchmark yield curve or the Libor curve). Our evaluators incorporate post-15:00 ET market color and listed market trades up until 16:00 ET. Unlike bonds, preferred stocks trade dirty. Dividends accrue each period and are included in the evaluated price. Our model utilizes dividend information from various sources in order to capture the ex-dividend date. We evaluate preferred stocks as dollar values. For certain preferred stock issues, our evaluation represents what a holder were to receive (excluding accrued dividends) if all terms and conditions of the preferred stock deal have been met. For this subset of preferred stocks, we are not aware of any broker quotes or other market color associated with a secondary market for these instruments. Consequently, if a holder of such an instrument were to sell in the marketplace, the value they could expect to receive may differ from the evaluation Intercontinental Exchange, Inc. 5

6 Auction Rate Preferred Securities(ARPS) Evaluations for investment grade (Moody s rating Baa3 or better, or S&P rating BBB- or better) ARPS Floating-Rate Notes Evaluations for investment grade (see above) floating- and variable-rate notes, floating-rate medium-term notes, and issues whose coupons reset as a result of a change in one or more corresponding securities or indices We evaluate investment grade ARPS where the issuer is engaged in, or has indicated its intent within the next 90 days, to buy-back or restructure the securities. Evaluators monitor ARPS for redemption activity, buybacks, credit events and corporate actions. ARPS are evaluated at par as dollar values. (Refer also to the U.S. Tax Exempt Municipal Bonds Evaluation, U.S. Money Market Instruments Evaluation, and Auction Rate Securities Valuations.) The Floating-Rate Note Evaluation Model generates evaluations for floating-rate notes by calculating current and future coupons, then discounting each cash flow by an appropriate discount margin, as follows: The current coupon is calculated by adding the issue s margin to the appropriate index on each reset date. A basic yield scale covering a range of quality ratings and maturities is established for each index. Each scale consists of discount margins (off the corresponding index) obtained from primary and secondary dealers and the new issue market. Final yields are calculated by adding the appropriate discount margin to each forward rate plus special adjustments to capture the special characteristics of an issue (e.g., caps, floors, reset frequency), as applicable. These yields are then used to discount each cash flow. State of Israel Bonds Evaluations for State of Israel bonds, both current income issues and savings bonds, which are issued by the Development Corporation for Israel in the United States and pay principal and interest in U.S. dollars but are not guaranteed by the U.S. government Development Issues (DIs): DIs consist of current income and savings bonds. Due to the lack of a secondary market, we use redemption values to calculate evaluated prices. Savings bonds bear no interest until maturity; therefore, the current redemption value represents the original principal plus accretion. Current income issues pay interest annually. Their redemption values are 100% of face value. Economic Development Issues (EDIs): EDIs carry a fixed rate of interest and are not redeemable before maturity. Due to the lack of a secondary market, we use the currently offered yield to discount all outstanding issues. This yield fluctuates with market conditions, and evaluations will vary from par value. Church Bonds Evaluations for debt instruments issued by churches and other religious institutions, and typically collateralized We evaluate certain simple interest bonds, previously underwritten by Strongtower Financial Inc., that are currently performing (i.e., have not missed an interest or principal payment) as identified by the bond trustee Intercontinental Exchange, Inc. 6

7 by the property being financed by the bond. Broker Quoted Securities Broker-quoted securities include: synthetic convertibles structured notes index-linked notes general unsecured claims against bankrupt subsidiares of Lehman Brothers denominated in US dollars Warrants We use ongoing primary market activity in church bonds and broader credit market information to assign a yield to each bond. The primary market activity indicates, across the term structure, the yields at which new church bonds are currently being brought to market. The yields from the church bond primary market are then adjusted to compensate for the lesser liquidity related to the absence of an underwriter, based on the observed yield difference from primary market activity. Based on our research (contemporaneous and lagged correlation testing) as well as underwriting and trading conventions for currently performing church bonds, the BBB corporate curve has been identified as an appropriate benchmark for evaluating church bond issues. As a result, we have constructed a BBB corporate industrial curve composed of liquid BBB corporate credits. Each church bond is compared to this curve and a spread adjustment is applied to reflect recent primary market activity in church bonds. Through this process, each evaluation made continuously throughout the day and at end of day, as of 15:00 and 16:00 ET, takes into account the movements in the underlying benchmark (e.g. the Treasury benchmark), the fluctuations of the BBB corporate curve and an individual spread adjustment for each covered church bond. On a daily basis, we review the BBB curve to assess whether it appropriately reflects broader market movements within the BBB sector, rather than idiosyncratic movements of any of the constituents of the curve. If an idiosyncratic movement is identified, we may determine to replace that curve constituent with another liquid BBB corporate credit. Similarly, we review the spread adjustment for church bonds in light of any transaction information reported via TRACE, or other relevant market data. We provide a broker quote when sufficient information, such as security structure or other market information, is not available to produce an evaluation. Broker-quoted securities are adjusted based solely on our receipt of updated quotes from market makers or broker-dealers recognized as market participants. For broker-quoted structured notes/index-linked notes, we provide quotes from the bond issuer/underwriter or from secondary market makers. Secondary market maker quotes will be provided when it has been determined that a secondary market maker is active in quoting a security at a price significantly different than the underwriter s quote for the same 2017 Intercontinental Exchange, Inc. 7

8 security. We will revert to providing underwriter quotes after thirty business days from the date of the last quote from a secondary market maker source, if no current secondary market maker quotes are available. A list of broker quoted issuers is compiled daily as of market close and is available via 360View SM. Canadian Dollar-Denominated Issues Valuations for Canadian dollardenominated securities including Canadian corporate, treasury, provincial, mortgage-backed securities (MBS), and municipal bonds, zeros, strips, and trusts/funds are provided by SVC SVC provides coverage on a daily basis and generates pricing evaluations by using current and historical data inputs economics and market time series data for the proprietary simulation engine. The simulation engine is designed to evaluate difficult-to-price securities including securities with embedded options through its option-pricing framework that values embedded options using either closed form solutions of multinomial trees. The simulation engine produces evaluated prices using stochastically generated scenarios of historical and user-defined inputs. The simulation engine also uses benchmark curves and other capital market data and enriched terms and conditions to produce cash flow paths, which are used to calculate probability-weighted evaluated prices. The model is based on the risk-free yield curves and is adjusted for option pricing path structures required for the security types. SVC prices are all generated using a single model to simulate the interrelated movements of the price drivers. The heart of the model is the risk-free yield curve used directly to price option-free securities without credit default risk. The remaining securities are priced so that the model simulates the effect on cash flows of adding credit risk and various options each security presents. Evaluated prices are based upon a 16:00 ET Canadian Dollar and sovereign yield curve. In addition, SVC provides market based trade data from RBC Dominion Securities and indicative quotes and modeled prices from CIBC World Markets. CIBC uses pricing models that incorporate indicative quotes by CIBC trading staff. Prices from RBC and CIBC are based on a 14:00 ET Canadian Dollar marketplace and sovereign yield curve Intercontinental Exchange, Inc. 8

9 Settlement We use T+3 1 settlement for corporate securities, T+1 settlement for agency issues and U.S. Treasury notes, bonds, TIPS, STRIPs and U.S. Treasury bills. Evaluation Types ICE Data Services offers bid, mean and ask evaluations. For securities that are evaluated based on a spread to a benchmark (e.g. the U.S. Treasury market), we apply a yield adjustment to the bid side to calculate mean and ask evaluations. For evaluations provided as dollar values, we apply a price adjustment to the bid side to calculate a mean and ask evaluation. Adjustments can vary from sector to sector or security to security based on maturity, credit standing and reported trade frequencies. Creating the bid to ask spread involves the evaluator s judgment, based on his/her experience and on the available two-sided market and credit information. Bid to ask spread relationships typically remain constant once established, but can be adjusted as market conditions warrant. For certain securities, including auction rate preferreds, par bonds, State of Israel bonds, and securities that are broker-quoted only and not evaluated, we apply a zero spread relationship to the bid side evaluation resulting in the same values for bid, mean and ask. Quality Processes and Controls The following illustrate some of the quality controls performed in the process of generating our evaluations: 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.** System requirements to enter an explanation for all securities where there has been an adjustment to the evaluation that breaks an internal tolerance level Intra-day review of market information and data changes (including ratings) that may have an impact on our evaluations. Review of unchanged evaluations and other applicable data Daily reviews by managers of tolerance reports, and of evaluator checklists to confirm processes are being followed Monthly management reviews of evaluator work samples (tolerance reports, client challenges, and other evaluation-related matters) 1 We will be transitioning to a T+2 settlement convention in September 2017, when the amendment to SEC Rule 15c6-1(a) is scheduled to go into effect. Valuations for Canadian dollardenominated securities provided by SVC SM (a service of SS&C Technologies, Inc.) through Interactive Data Pricing and Reference Data also will reflect T+2 settlement 2017 Intercontinental Exchange, Inc. 9

10 **Note that the processing of such exceptions can take additional time to complete. We provide both end-of-day and continuous fixed income evaluated pricing services. The processing of all flagged exceptions is required prior to the release of 15:00 and 16:00 ET U.S. benchmark-based 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 15:00 ET and 16:00 ET, respectively. As a result, we recommend 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 15:00 ET or 16:00 ET. Our Evaluations Our bid-side evaluations are market-based measurements that represent our 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 local currency equivalent) 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. We use 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. Our 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 we determine we do not have sufficient objectively verifiable information about a security's valuation, we will discontinue evaluating the security until we can obtain such information. We seek to obtain market color, including bid information received by our clients, as part of our evaluation methodologies. To that end, we request that clients forward market information to the evaluation team (market information should be sent to: evalsupport@interactivedata.com). Verified information is reflected in our evaluations to the extent that we deem it formative of our good faith opinion. We do not advise clients as to what securities they should buy or sell Intercontinental Exchange, Inc. 10

11 About ICE Data Services Today, ICE Data Services offers a range of proprietary data, valuations, analytics and tools for global markets across asset classes, including: proprietary data from ICE and NYSE s 11 global exchanges; continuous and end-of-day evaluated pricing for 2.7 million securities, including hard-to-value and thinly-traded securities, complex derivatives, and reference data on over 10 million instruments; desktop and trading tools designed to match the workflow requirements of a broad range of customers; and connectivity solutions that include the low-latency, resilient Secure Financial Transaction Infrastructure (SFTI) network. By combining our broad range of proprietary data services and analytics, we are able to offer clients a more complete, consolidated view of the markets. This integrated approach is consistent with our focus on providing neutral, efficient workflow solutions across markets in a dynamic market environment. The depth of solutions that power ICE Data Services combine industry-leading fixed income evaluations and reference data with data from ICE and NYSE s global exchanges, as well as technology-driven data tools. We ll continue to expand to serve the needs of our customers for comprehensive, mission-critical data for the front, middle and back office requirements. ICE Data Services customers include global financial institutions, asset managers, commercial hedging firms, risk managers, corporate issuers and individual investors. Interactive Data Pricing and Reference Data LLC provides global securities pricing, evaluations, and reference data designed to support financial institutions and investment funds' pricing activities, securities operations, research, and portfolio management. Interactive Data collects, edits, maintains, and delivers data on more than 10 million securities, including daily evaluations for approximately 2.7 million fixed income and international equity issues. Interactive Data specializes in hard-toget information and evaluates many hard-to value instruments. In the U.S., Interactive Data Pricing and Reference Data LLC's advisory services include evaluated pricing (including fixed income evaluations), continuous evaluated pricing, end-ofday evaluations, and Fair Value Information Services related to securities. Internationally, this information is made available through, Interactive Data (Europe) Ltd. and Interactive Data (Australia) Pty Ltd. Interactive Data Pricing and Reference Data LLC 32 Crosby Drive Bedford, MA Tel: Fax: info@interactivedata.com 100 William Street, 17 th Floor New York, NY Tel: Fax: West Fulton, 7th Floor Chicago, IL Tel: Fax: Limitations Use of this documentation is limited to authorized clients of Interactive Data Pricing and Reference Data LLC services. This material contains information that is confidential and proprietary property and/or trade secrets of Interactive Data Pricing and Reference Data LLC and/or its affiliates, and is not to be published, reproduced, copied, disclosed, or used without the express written consent of Interactive Data Pricing and Reference Data LLC. This document is provided for informational purposes only. The information contained in this document is subject to change without notice and does not constitute any form of warranty, representation, or undertaking. Nothing herein should in any way be deemed to alter the legal rights and obligations contained in agreements between Interactive Data Pricing and Reference Data LLC and/or its affiliates and their clients relating to any of the products or services described herein. Interactive Data Pricing and Reference Data LLC does not provide legal, tax, accounting, or other professional advice. Clients should consult with an attorney, tax, or accounting professional regarding any specific legal, tax, or accounting situation. Interactive Data Pricing and Reference Data LLC makes no warranties whatsoever, either express or implied, as to merchantability, fitness for a particular purpose, or any other matter. Without limiting the foregoing, Interactive Data Pricing and Reference Data LLC makes no representation or warranty that any data or information (including but not limited to evaluations) supplied to or by it are complete or free from errors, omissions, or defects. ICE Data Services refers to a group of products and services offered by certain Intercontinental Exchange, Inc. (NYSE:ICE) companies and is the marketing name used for Interactive Data Corporation and its subsidiaries globally, including Interactive Data Pricing and Reference Data LLC, Interactive Data (Europe) Ltd. and Interactive Data (Australia) Pty Ltd. In the U.S., Interactive Data Pricing and Reference Data LLC's advisory services include evaluated pricing (including fixed income evaluations), continuous evaluated pricing, end-of-day evaluations, and Fair Value Information Services related to securities. Internationally, this information is made available through, Interactive Data (Europe) Ltd. and Interactive Data (Australia) Pty Ltd.Trademarks of Intercontinental Exchange, Inc. and/or its affiliates include: Intercontinental Exchange, ICE, ICE block design, NYSE, ICE Data Services, New York Stock Exchange, and Interactive Data Interactive Data Pricing and Reference Data LLC 5799 (0517) 2017 Intercontinental Exchange, Inc. 11