ICE Benchmark Administration Publishes Report Outlining Evolution of ICE LIBOR and Transition to the Waterfall Methodology
LONDON--(BUSINESS WIRE)--
Intercontinental Exchange, Inc. (NYSE:ICE), a leading operator of global
exchanges and clearing houses and provider of data and listings
services, today announced that ICE Benchmark Administration Limited
(IBA) has published a report outlining the evolution of ICE
LIBOR.
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Figure 1: ICE LIBOR Waterfall Methodology
The report, published today on the ICE
website, summarises the evolution of ICE LIBOR to date,
including an enhanced governance structure for the benchmark, an
improved code of conduct, an oversight committee with representation
from across the industry and purpose-built technology and surveillance.
The report also outlines plans for the gradual transition of LIBOR Panel
Banks (“Panel Banks”) to the Waterfall Methodology (see Figure 1) as set
out in the ICE
LIBOR output statement. IBA expects to begin, in the coming weeks,
the process of transitioning Panel Banks from submitting in accordance
with the current LIBOR methodology to the Waterfall Methodology. This
constitutes the next phase of LIBOR’s evolution as part of IBA’s ongoing
work. IBA is also seeking to identify a framework to seek to continue
publishing the LIBOR rates that are critical to the global financial
system, beyond the end of 2021.
Tim Bowler, President, ICE Benchmark Administration said: “We are
pleased to publish our report on LIBOR’s continued evolution which
summarises the reform efforts by the industry and our strategy for
LIBOR. This next stage of enhancing the methodology supports the
objective of developing a robust and sustainable LIBOR that can continue
on a voluntary basis beyond 2021.”
Notes to Editors
In February 2014, IBA became the administrator of LIBOR.
Since then, IBA has worked closely with market participants, regulators
and other stakeholders to strengthen LIBOR; investing significantly to
establish new governance, oversight, controls and technology for the
benchmark. This process has been guided by the principles and
recommendations put forward in “The
Wheatley Review of LIBOR: final report”, the International
Organization of Securities Commissions’ “Principles
for Financial Benchmarks: Final Report”, and the Financial Stability
Board’s paper on “Reforming
Major Interest Rate Benchmarks”.
In March 2016, following input from the LIBOR Oversight Committee and a
broad consultation with stakeholders from around the world, IBA
published the Roadmap
for ICE LIBOR (the “Roadmap”). The Roadmap provides a framework to
evolve LIBOR so that it continues to provide an indication of the
average rate at which Panel Banks could obtain wholesale unsecured
funding through the adoption of the “LIBOR
Output Statement”. This sets out a single LIBOR definition and a
standardised waterfall methodology for submissions, based on
transactions to the greatest extent possible.
Following the publication of the Roadmap, IBA conducted a three-month
period of production-standard testing between September 15 and December
15, 2017, during which all 20 Panel Banks were required to make parallel
LIBOR submissions using the Waterfall Methodology. The test LIBOR rates
calculated by IBA, using the test submissions made in accordance with
the Waterfall Methodology, were published
on March 17, 2018, alongside previously published LIBOR calculated
using the existing methodology for the same period.
Further information about IBA and ICE LIBOR can be found on the ICE
website.
About Intercontinental Exchange
Intercontinental
Exchange (NYSE: ICE) is a Fortune 500 and Fortune Future 50 company
formed in the year 2000 to modernize markets. ICE serves customers by
operating the exchanges, clearing
houses and information services they rely upon to invest, trade and
manage risk across global financial and commodity markets. A leader in
market data, ICE Data
Services serves the information and connectivity needs across
virtually all asset classes. As the parent company of the New
York Stock Exchange, the company raises more capital than any other
exchange in the world, driving economic growth and transforming markets.
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Exchange, ICE, ICE block design, NYSE and New York Stock Exchange.
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located at http://www.intercontinentalexchange.com/terms-of-use.
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Packaged Retail and Insurance-based Investment Products Regulation can
be accessed on the relevant exchange website under the heading “Key
information Documents (KIDS)”.
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, 2017, as filed with the SEC on February 7, 2018.
SOURCE: Intercontinental Exchange
ICE-CORP
View source version on businesswire.com: https://www.businesswire.com/news/home/20180425005768/en/
Intercontinental Exchange
Media Contact:
Claire Miller
claire.miller@theice.com
+44
207 065 7745
or
Investor Contact:
Warren Gardiner
warren.gardiner@theice.com
770-835-0114
Source: Intercontinental Exchange