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
About QuantifiQuantifi is a leading provider of analytics, trading and risk management solutions for the global OTC markets. Our award-winning suite of integrated pre- and post-trade solutions allow market participants to better value, trade and risk manage their exposures and respond more effectively to changing market conditions. Founded in 2002, Quantifi is trusted by the world’s most sophisticated financial institutions, including five of the six largest global banks, two of the three largest asset managers, leading hedge funds, insurance companies, pension funds and other financial institutions across 15 countries. For further information, please visit www.quantifisolutions.com. About IntercontinentalExchange IntercontinentalExchange (NYSE:ICE) is a leading operator of regulated futures exchanges and over-the-counter markets for agricultural, credit, currency, emissions, energy and equity index contracts. ICE Futures Europe hosts trade in half of the world's crude and refined oil futures. ICE Futures U.S. and ICE Futures Canada list agricultural, currencies and Russell Index markets. ICE is also a leading operator of central clearing services for the futures and over-the-counter markets, with five regulated clearing houses across North America and Europe. For further information, please visit www.theice.com.