ICE Takes over Interest Rate Swaps Benchmarks for EUR, GBP, CHF and USD

ICE was appointed the new administrator in April and following a transition period, formally took on its responsibilities as benchmark

ISDAThe International Swaps and Derivatives Association, Inc. (ISDA) today announced that Intercontinental Exchange (ICE) Benchmark Administration Limited (IBA) has formally assumed the role of ISDAFIX benchmark administrator.

ICE‘s IBA was appointed the new administrator in April and following a transition period, IBA formally took on its responsibilities as benchmark administrator and calculation agent for ISDAFIX in US dollar, euro, British pound and Swiss franc from August 1, 2014. The ISDAFIX benchmark represents the average mid-market swap rate for the four major currencies at selected maturities on a daily basis. Market participants use the rate to price and settle swap contracts and as a reference rate for floating rate bonds.

As administrator, IBA will oversee a move from a polled submission model, where contributing banks submit price estimates, to a methodology based on actual transactions and executable quotes posted on regulated trading venues. These changes are aimed at aligning the ISDAFIX benchmark with principles for financial benchmarks, published by the International Organization of Securities Commissions (IOSCO) in July 2013, and subsequently endorsed by the G-20 and by the Financial Stability Board.

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“ISDA has been committed to developing strong governance and control processes for ISDAFIX and bringing it closely in line with the IOSCO principles on benchmarks. We’re delighted that IBA will now act as administrator and continue with the further evolution of ISDAFIX towards a trading-venue methodology,” said Stephen O’Connor, ISDA Chairman.

Following the transition of the ISDAFIX benchmark, IBA is responsible for the following:

  • Governance of all administrative processes including oversight and decisions of methodology, systems and controls relating to the benchmark
  • Daily operations, including collection of input data and calculation of the benchmark rates
  • Ex-ante and ex-post checks on submissions to ensure the integrity of the benchmark.

Finbarr Hutcheson, President, ICE Benchmark Administration said: “Under the administration of IBA, we are applying our oversight and governance to this important benchmark. We look forward to working with market participants to evolve ISDAFIX from a polled rate to one based on tradable quotes on regulated trading venues. IBA is committed to providing independent and neutral administration services, in line with regulatory requirements, to systemically important financial market benchmarks. We are grateful for the ongoing hard work and support from the interest rate swaps community that have enabled a smooth transfer of this benchmark.”

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