ICAP introduces Euro Interest Rate Swap Index


ICAP plc (LON:IAP), a leading markets operator and provider of post trade risk mitigation and information services, today announced the launch of the ICAP Euro Interest Rate Swap (IRS) Index. The solution has been developed by ICAP’s Global Broking business and ICAP Information Services (IIS).

The new index is intended to track the return of a strategy which invests in Euro interest rate swaps. It incorporates proprietary ICAP order and trade driven prices, which are published on ISDA reference pages.

Calculated in real time from 8:00 to 16:30 London time, the ICAP Euro IRS Index is available with 1-30 year maturities on Bloomberg. Products tracking the ICAP Euro IRS Index could help to hedge against interest rate fluctuations. In addition, such products could be used for duration management and the construction of smart beta and structured product strategies.

Jan de Smedt, Global Head of Indices, IIS, said:

“The launch of the ICAP Euro IRS Index is the first in a series of new indices which we will roll out in the near future. The combination of ICAP’s market-leading position in broking interest rate swaps and IIS’ adoption of the IOSCO Principles for Financial Benchmarks ensures that IIS is uniquely positioned to provide an index which, via the appropriate product, will provide meaningful and useful information to assist with hedging.”

Frits Vogels, CEO EMEA Global Broking, said: “As the largest interdealer broker in the interest rate market, ICAP is well placed to provide meaningful and useful indicative information of the market mid-price at any point in the day. Developing a Euro IRS index will help the investment community follow a strategy, assess where the market is going and via the right product, hedge against risk.”

To view the official announcement from ICAP, click here.

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ICAP introduces Euro Interest Rate Swap Index

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