The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

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.

Related content

WEBINAR

Upcoming Webinar: Integrating Intelligent Machine Readable News

Date: 30 November 2021 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes Intelligent machine readable news is a powerful tool in the arsenals of trading and investment firms seeking competitive advantage. It turns unstructured data into actionable insight and can be used, for example, to uncover market trends, identify correlations and...

BLOG

The Rise and Rise of the Financial Data Marketplace

By Mike O’Hara, A-Team Special Correspondent. Data is often cited as the most essential resource in today’s global economy, with many of the world’s most valuable companies, including Amazon, Facebook, Microsoft and Google parent Alphabet profiting massively from how they collect, use and sell data. In financial markets, investment and trading firms have traditionally sourced...

EVENT

Data Management Summit Europe Virtual

The Data Management Summit Europe Virtual brings together the European data management community to explore the latest challenges, opportunities and data innovations facing sell side and buy side financial institutions.

GUIDE

Trading Regulations Handbook 2021

In these unprecedented times, a carefully crafted trading infrastructure is crucial for capital markets participants. Yet, the impact of trading regulations on infrastructure can be difficult to manage. The Trading Regulations Handbook 2021 can help. It provides all the essentials you need to know about regulations impacting trading operations, data and technology. A-Team Group’s Trading...