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
