ICE Benchmark Administration expands ICE Term SONIA Reference Rates methodology to include Tradeweb’s Dealer to Client data
November 24 2020 - 6:22AM
Business Wire
Intercontinental Exchange, Inc. (NYSE:ICE), a leading operator
of global exchanges and clearing houses and provider of mortgage
technology, data and listings services, announces that ICE
Benchmark Administration Limited (“IBA”) has expanded the input
data used in its ICE Term SONIA Reference Rates “Waterfall”
methodology to include Tradeweb’s dealer to client data.
In July 2020, IBA launched an initial, beta version of its ICE
Term SONIA Reference Rates (“ICE TSRR”). ICE TSRR are designed to
measure average expected (i.e. forward-looking) SONIA rates over
one, three and six month tenor periods, based on a “Waterfall”
methodology using eligible prices and volumes for specified
SONIA-linked interest rate derivative products.
Level 1 of the Waterfall uses tradeable bid and offer prices and
volumes for eligible SONIA-linked overnight interest rate swaps
available on the central limit order books of BGC Partners,
TP-ICAP, and Tradition to calculate the ICE TSRR. If these trading
venues do not provide sufficient eligible input data, the newly
expanded Waterfall uses dealer to client prices and volumes for
eligible SONIA-linked overnight interest rate swaps available on
Tradeweb’s institutional platform to calculate a rate at Level 2.
If there is also insufficient eligible input data at Level 2, the
ICE TSRR is determined at Level 3 of the Waterfall using
SONIA-linked futures data published by electronic trading
venues.
“Expanding the Waterfall to introduce dealer to client data
further strengthens the robustness of the ICE TSRR methodology,
using the best available data to help us provide reliable and
representative rates to users in all market circumstances,” said
Tim Bowler, President of IBA.
“We are pleased that ICE has chosen to include Tradeweb data in
its ‘Waterfall’ methodology for Term SONIA Reference Rates,” said
Lisa Schirf, Managing Director, Global Head of Data Strategy at
Tradeweb. “Our robust pricing adds to the transparency and
auditability of the ICE TSRR calculation, addressing the market’s
need for accurate and independently validated compliant data.”
ICE TSRR beta rates are published daily on the ICE Term Risk
Free Rates (RFR) Portal, a comprehensive data source for market
participants of risk free and alternative reference rates. Data on
the ICE Term RFR Portal is currently published for information and
illustrative purposes only and may not be used as a benchmark in
financial instruments. IBA will announce in due course when the ICE
TSRR will be made available as a benchmark for use in financial
instruments.
About ICE Benchmark Administration
ICE Benchmark Administration is authorized and regulated by the
Financial Conduct Authority for the regulated activity of
administering a benchmark, and is authorized as a benchmark
administrator under the EU Benchmarks Regulation.
About Intercontinental Exchange
Intercontinental Exchange (NYSE: ICE) is a Fortune 500
company and provider of marketplace infrastructure, data services
and technology solutions to a broad range of customers including
financial institutions, corporations and government entities. We
operate regulated marketplaces, including the New York Stock
Exchange, for the listing, trading and clearing of a broad array of
derivatives contracts and financial securities across major asset
classes. Our comprehensive data services offering supports the
trading, investment, risk management and connectivity needs of
customers around the world and across asset classes. As a leading
technology provider for the U.S. residential mortgage industry,
ICE Mortgage Technology provides the technology and
infrastructure to transform and digitize U.S. residential
mortgages, from application and loan origination through to final
settlement.
Trademarks of ICE and/or its affiliates include Intercontinental
Exchange, ICE, ICE block design, NYSE and New York Stock Exchange.
Information regarding additional trademarks and intellectual
property rights of Intercontinental Exchange, Inc. and/or its
affiliates is located at http://www.intercontinentalexchange.com/terms-of-use.
Key Information Documents for certain products covered by the EU
Packaged Retail and Insurance-based Investment Products Regulation
can be accessed on the relevant exchange website under the heading
“Key Information Documents (KIDS).”
Safe Harbor Statement under the Private Securities Litigation
Reform Act of 1995 -- Statements in this press release regarding
ICE's business that are not historical facts are "forward-looking
statements" that involve risks and uncertainties. For a discussion
of additional risks and uncertainties, which could cause actual
results to differ from those contained in the forward-looking
statements, see ICE's Securities and Exchange Commission (SEC)
filings, including, but not limited to, the risk factors in ICE's
Annual Report on Form 10-K for the year ended December 31, 2019, as
filed with the SEC on February 6, 2020.
About SONIA
The "SONIA" mark is used under licence from the Bank of England
(the benchmark administrator of SONIA), and the use of such mark
does not imply or express any approval or endorsement by the Bank
of England. "Bank of England" and "SONIA" are registered trademarks
of the Bank of England.
Source: Intercontinental Exchange
ICE-CORP
View source
version on businesswire.com: https://www.businesswire.com/news/home/20201124005528/en/
ICE Media Contact Rebecca Mitchell +44 7951 057351
rebecca.mitchell@theice.com
ICE Investor Contact Warren Gardiner 770-835-0114
Warren.Gardiner@theice.com
Intercontinental Exchange (NYSE:ICE)
Historical Stock Chart
From Aug 2024 to Sep 2024
Intercontinental Exchange (NYSE:ICE)
Historical Stock Chart
From Sep 2023 to Sep 2024