North American multinational network of exchanges and clearing house Intercontinental Exchange Inc (NYSE:ICE) 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.