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Quantifi Powers Price-Spread Calculator For ICE Credit Futures

Quantifi, a leading provider of analytics, trading and risk management solutions for the global OTC markets, today announced the launch of an industry price-spread calculator for credit index futures listed on ICE Futures U.S., which is a subsidiary of IntercontinentalExchange (NYSE:ICE), a leading operator of global markets and clearing houses.

Reflecting the growing demand for exchange-traded futures contracts as alternatives to OTC derivatives, ICE recently launched the industry’s first credit index futures contract. To support the development of these new and innovative products, Quantifi developed a price-spread calculator to allow market participants to better monitor and manage credit risk exposures. Available on the ICE website, this intuitive, web-based price-spread calculator is designed to convert futures prices into the equivalent forward spreads for any given date.

Key features of the calculator include:

  • Easy accessibility on the ICE website
  • Using market calculations, implies the underlying spread corresponding to futures price quotes for settlement dates
  • For a given spread, implies corresponding futures price
  • Calculations for “When issued” credit index futures based on forward starting indices

“We are pleased to work with Quantifi to develop this calculator for our customers,” states ICE Clear Credit Chief Operating Officer Peter Barsoom. “By leveraging Quantifi’s experience in financial analytics we are able to provide credit futures participants with a tool that allows them to assess the relative value of the index futures contract against other credit derivatives instruments and to access the information to make informed trading and risk management decisions.”

According to Rohan Douglas, CEO at Quantifi, “The development of innovative, new exchange-traded alternatives to traditional OTC products is an exciting step for the market. They have generated significant interest from our clients and we are happy to work with ICE to help facilitate development of this market.”

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