A-Team Insight Blogs

ICE Benchmark Administration to Publish Test Data for ICE LIBOR this Saturday

ICE Benchmark Administration (IBA) will publish results of a three-month test of ICE LIBOR on the ICE website this Saturday March 17, 2018. The test is part of the evolution of the benchmark and ran from September 15 to December 15, 2017, during which time all 20 LIBOR panel banks were required to make additional LIBOR submissions using the waterfall methodology to the same production standard as, and in parallel with, their existing LIBOR submissions.

IBA, a subsidiary of Intercontinental Exchange (ICE), became the administrator of LIBOR in February 2014. Since then, it has invested in the benchmark and put in place new governance, oversight, technology and controls. Its goal is to evolve LIBOR and be able to publish, in all market circumstances, a wholesale funding rate anchored in panel banks’ unsecured, wholesale funding transactions to the greatest extent possible.

IBA has calculated LIBOR using submissions made under the waterfall methodology for each of the 35 LIBOR currency and tenor pairs for every applicable London business day of the testing period. The calculations apply the same trimmed arithmetic mean approach used to calculate LIBOR as it is currently published.

Following input from the LIBOR Oversight Committee and consultation with stakeholders from around the world, IBA developed the final ICE LIBOR output statement setting out a single LIBOR definition and a more standardised, transaction-data driven methodology for submissions in place of the existing LIBOR submission question. Each panel bank’s submissions in response to the output statement are determined through use of the waterfall methodology, which uses eligible transaction data where available, transaction-derived data otherwise, and, if neither is available, market data-based expert judgement.

IBA continues to work on the evolution of LIBOR, with the intention of transitioning panel banks from the existing LIBOR methodology to the waterfall methodology, subject to agreement from the LIBOR Oversight Committee and other approvals, and in the absence of regulatory objection. IBA expects to make a further announcement before commencing the transition to the waterfall methodology, if conditions have been satisfied.

Leave a comment

Your email address will not be published. Required fields are marked *

*

Share article

Related content

WEBINAR

Recorded Webinar: Mission Possible – Turning Data Deluge into Opportunities for Financial Trading

This webinar has passed, but you can view the recording here. As financial markets firms face the challenge of managing huge volumes of extremely high frequency data, the opportunity exists to transition from just managing this data to strategically leveraging it for new trading and investment opportunities. What was once the impossible is now a...

BLOG

NYSE Technologies’ Robson Calls for Collaboration; Pushes Shared Infrastructure to Reduce Costs

Nine months after taking the reigns at NYSE Technologies, CEO Jon Robson has begun to articulate a renewed vision for NYSE Euronext’s IT services operation with “A Call for Collaboration” to the financial markets. Of course, in Robson’s mind, that collaboration hopefully means trading firms will embrace the cloud platform, global network and open sourced middleware...

EVENT

Breakfast Briefing: Meeting the Data Requirements of FRTB London

The Fundamental Review of the Trading Book (FRTB) Breakfast Briefing, will examine how the capital markets industry is approaching FRTB data management and will look at the implications for the ways that firms source, manage and store data for FRTB compliance.

GUIDE

MiFID II Handbook

As the 3 January 2018 compliance deadline for Markets in Financial Instruments Directive II (MiFID II) approaches, A-Team Group has pulled together everything you need to know about the regulation in a precise and concise handbook. The MiFID II Handbook, commissioned by Thomson Reuters, provides a guide to aspects of the regulation that will have...