IntercontinentalExchange Group (NYSE:ICE), the leading global network of exchanges and clearing houses, today announced that following an extensive selection process managed by the International Swaps and Derivatives Association (ISDA), ICE Benchmark Administration (IBA) has been appointed as the new administrator of ISDAFIX.
ISDAFIX is leading global benchmark for interest rate swaps. It represents the average mid-market swap rates for four major currencies: Euro (EUR), British pound (GBP), Swiss franc (CHF) 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.
As the administrator for ISDAFIX, IBA will transition the calculation methodology for ISDAFIX from a polled submission model where contributing banks submit price estimates, to a methodology based on tradable quotes posted on regulated trading venues. This move is made possible by the introduction of electronic markets for interest rate swaps and is designed to align the ISDAFIX benchmark with
Principles published last year by the International Organization of Securities Commissions (IOSCO) for financial benchmarks
, which were subsequently endorsed by the G20 and by the Financial Stability Board.
IBA expects to transition the Euro ISDAFIX benchmark in summer 2014, with additional currencies transitioning to IBA by the end of 2014. The final date of transfer for ISDAFIX benchmark rates to IBA will be confirmed once terms have been finalized with regulated trading venues.
IBA will assume overall responsibilities for ISDAFIX as follows:
- Governance of all ISDAFIX administrative processes including oversight and decisions of methodology, systems and controls;
- Daily operations, including collection of input data and calculation of ISDAFIX rates;
- Ex-ante and ex-post checks on submissions to ensure the integrity of the benchmark.
Finbarr Hutcheson, President, ICE Benchmark Administration said: “We are delighted to be selected by ISDA as the new administrator for ISDAFIX which is an endorsement of the efforts ICE has already undertaken to improve the integrity of benchmarks, since assuming the administration of LIBOR earlier this year. This mandate shows that the industry has confidence in our ability to oversee and evolve benchmarks in a transparent, independent and neutral manner.”