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ICE Benchmark Administration Introduces New Calculation Methodology for ISDAFIX from February 16, 2015

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Intercontinental Exchange (NYSE:ICE) , the leading global network of exchanges and clearing houses, today announced that ICE Benchmark Administration (IBA) will introduce a new calculation methodology for ISDAFIX from February 16, 2015.

ISDAFIX is the leading global benchmark for interest rate swaps. It represents the average mid-market swap rates for three major currencies: Euro (EUR), British pound (GBP) and U.S. dollar (USD), at selected maturities on a daily basis. Market participants use ISDAFIX to price and settle their derivatives contracts and as a reference rate for floating rate bonds.

Following the transition of ISDAFIX from the International Swaps and Derivatives Association (ISDA) in August 2014, IBA is now evolving the calculation methodology for ISDAFIX from a submission-based rate using inputs from a panel of banks to a rate calculated from tradeable quotes displayed on regulated trading venues.

The new calculation will determine the mid-price of where an order of Standard Market Size1 would be filled across the most liquid, electronic, multilateral trading venues and will use the best prices available on these regulated trading venues at the relevant times in the respective currencies and tenors.

Finbarr Hutcheson, President, ICE Benchmark Administration said: “The new calculation methodology for ISDAFIX is an important step in ensuring market confidence in the integrity of the rate. IBA is committed to providing independent and neutral benchmark administration services, in line with regulatory requirements, and to strengthening systemically important financial market benchmarks. We would like to thank the interest rate swaps community and ISDA for their work and support preparing for this important evolution.”

The new methodology calculated from tradable quotes is designed to align ISDAFIX with the principles for financial benchmarks published by the International Organization of Securities Commissions (IOSCO) in 2013, which were subsequently endorsed by the G20 and by the Financial Stability Board.

In July 2013, IBA was appointed as the new administrator of LIBOR and completed the LIBOR transition in February 2014. In addition, IBA was announced as the new administrator for the LBMA Gold Price in November 2014 and will commence administration in the first quarter of 2015.

1 Standard Market Size is different for each currency and tenor, and is available on IBA’s website: https://www.theice.com/iba/isdafix#currencies-tenors

About Intercontinental Exchange

Intercontinental Exchange (NYSE:ICE) is the leading network of regulated exchanges and clearing houses for financial and commodity markets. ICE delivers transparent, reliable and accessible data, technology and risk management services to markets around the world through its portfolio of exchanges, including the New York Stock Exchange and ICE Futures.

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

About ICE Benchmark Administration Limited

ICE Benchmark Administration Limited (IBA) is a UK company based in London. It was established for the sole purpose of administering benchmarks and is now a wholly-owned subsidiary of the Intercontinental Exchange group (ICE). The Wheatley Review concluded that there should be statutory regulation around LIBOR. Both administering LIBOR and making submissions to LIBOR became regulated activities from April 2013. LIBOR is the first benchmark to be regulated. As the new administrator for LIBOR, IBA became authorised and regulated by the FCA in February 2014. In August 2014 IBA became administrator for ISDAFIX, the leading global benchmark for interest rate swaps.

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, 2013, as filed with the SEC on February 14, 2014.

SOURCE: Intercontinental Exchange

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