ICE Benchmark Administration Completes Transition to New ISDAFIX Calculation Methodology; Benchmark Renamed ICE Swap Rate
LONDON--(BUSINESS WIRE)--
Intercontinental Exchange (NYSE:ICE), the leading global network of
exchanges and clearing houses, today announced that ICE Benchmark
Administration (IBA) has completed the transition to a new calculation
methodology for ISDAFIX, the global benchmark for interest rate swaps,
which has been renamed ICE Swap Rate, effective April 1, 2015.
On March 31, 2015, IBA transitioned ICE Swap Rate from a
submission-based rate using inputs from panel banks to a benchmark
calculated from tradable quotes displayed on regulated trading venues
requiring no expert or subjective judgment.
ICE Swap Rate represents the average mid-market swap rate for three
major currencies: Euro (EUR), British pound (GBP) and U.S. dollar (USD),
at selected maturities on a daily basis. Market participants use the
rate to value and settle their derivatives contracts and as a reference
rate for floating rate bonds.
“This transition represents the first time a globally important
benchmark has moved from a submission-based model to a rate based on
tradable quotes from regulated, electronic trading venues. We would like
to acknowledge the trading venues: Tradition’s Trad-X platform, BGC
Partners’ BGC Trader platform, GFI Group’s RatesMatch platform, ICAP’s
i-Swap platform and Tullett Prebon’s tpSWAPDEAL platform, as well as the
interest rate swap trading community for their support in ensuring
yesterday’s smooth transition,” said Finbarr Hutcheson, President, ICE
Benchmark Administration. “IBA is committed to investing in and evolving
the benchmarks we administer in order to improve the robustness and
transparency of the benchmark price setting process.”
The new methodology determines the mid-price of where an order of
Standard Market Size¹ could be filled across the most
liquid, electronic, multilateral trading venues, and uses the best
prices available on these regulated trading venues at the relevant times
in the respective currencies and tenors. Being based on tradable quotes
aligns ICE Swap Rate with the principles
for financial benchmarks published by the International Organization of
Securities Commissions (IOSCO) in 2013.
As well as ICE Swap Rate, IBA has administered LIBOR since February 2014
and the LBMA Gold Price since March 20, 2015.
¹ Standard Market Size is different for each currency and tenor, and is
available on ICE’s
website.
About ICE Benchmark Administration Limited
ICE Benchmark Administration (IBA) is a UK company based in London
established for the purpose of administering benchmarks and is a
wholly-owned subsidiary of Intercontinental Exchange, Inc. IBA
administers the following three systemically important benchmarks: ICE
LIBOR, LBMA Gold Price and ICE Swap Rate. Authorized and regulated by
the Financial Conduct Authority (FCA), IBA is independently capitalized
and required to comply with the FCA’s rules for benchmark
administrators, IBA has also been formally assessed against the IOSCO
Principles for Financial Benchmarks.
About Intercontinental Exchange
Intercontinental Exchange (NYSE:ICE) operates the leading network of
regulated exchanges and clearing houses. ICE’s futures exchanges and
clearing houses serve global commodity and financial markets, providing
risk management and capital efficiency. The New York Stock Exchange is
the world leader in capital raising and equities trading.
Trademarks of ICE and/or its affiliates include Intercontinental
Exchange, ICE, ICE block design, NYSE and New York Stock
Exchange. Information regarding additional trademarks and intellectual
property rights of Intercontinental Exchange, Inc. and/or its affiliates
is located at www.intercontinentalexchange.com/terms-of-use
Safe Harbor Statement under the Private Securities Litigation Reform Act
of 1995 - Statements in this press release regarding ICE's business that
are not historical facts are "forward-looking statements" that involve
risks and uncertainties. For a discussion of additional risks and
uncertainties, which could cause actual results to differ from those
contained in the forward-looking statements, see ICE's Securities and
Exchange Commission (SEC) filings, including, but not limited to, the
risk factors in ICE's Annual Report on Form 10-K for the year ended
December 31, 2014, as filed with the SEC on February 5, 2015.
SOURCE: Intercontinental Exchange
ICE-CORP
Media Contact:
Claire Miller
+44 20 7065 7745
claire.miller@theice.com
or
Investor
Contact:
Kelly Loeffler
+1 770 857 4726
kelly.loeffler@theice.com
Source: Intercontinental Exchange