March 13, 2018

ICE Benchmark Administration to Publish Test Data for the Evolution of ICE LIBOR

LONDON–(BUSINESS WIRE)–Intercontinental Exchange, Inc. (NYSE:ICE), a leading operator of global
exchanges and clearing houses and provider of data and listings
services, announces that ICE Benchmark Administration Limited (IBA) will
publish data relating to a three-month testing period during which all
20 LIBOR panel banks were required to make parallel LIBOR submissions.
These parallel submissions used the evolved waterfall methodology (the
“waterfall methodology”) set out in the ICE
LIBOR output statement
(the “output statement”).

Between September 15 and December 15, 2017 (the “testing period”) IBA
conducted a test during which all 20 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 has calculated LIBOR1 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 “test rates”). The calculations apply the same trimmed
arithmetic mean approach used to calculate LIBOR as it is currently

The test rates will be published at approximately 2:00pm GMT on
Saturday, March 17, 2018 on the ICE
, alongside previously published LIBOR using the existing
methodology for the same period.2

IBA became the administrator of LIBOR in February, 2014. Since then, IBA
has invested significantly and put in place new governance, oversight,
technology and controls to strengthen LIBOR. This work has been guided
by the principles and recommendations put forward in The
Wheatley Review of LIBOR: final report
(the “Wheatley review”), the
International Organization of Securities Commissions’ Principles
for Financial Benchmarks: Final Report
(the “IOSCO
principles”), and the Financial Stability Board’s paper on Reforming
Major Interest Rate Benchmarks
3 (the “FSB report”).
Building on these developments, IBA continues to seek to evolve LIBOR so
that it provides an indication of the average rate at which panel banks
could obtain unsecured, wholesale funding.

Following input from the LIBOR Oversight Committee and a broad
consultation with stakeholders from around the world, IBA developed the
final ICE
LIBOR output statement
, originally published in the Roadmap
4, guided by the recommendations in the
Wheatley review, the IOSCO principles and the FSB report.

The output statement sets 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 the 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’s objective in evolving LIBOR through
the use of the output statement is to publish, in all market
circumstances, a wholesale funding rate anchored in panel banks’
unsecured, wholesale funding transactions to the greatest extent

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, IBA approvals, other approvals and steps as necessary or
appropriate, and the absence of regulatory objection. IBA expects to
make a further announcement prior to commencing the transition to the
waterfall methodology, if such conditions have been satisfied.

Further information about IBA and ICE LIBOR can be found on the ICE

Annex: The LIBOR Output Statement – the Definition of LIBOR and the
Waterfall Methodology

ICE LIBOR is the benchmark published under that name or as “LIBOR” and
calculated by ICE Benchmark Administration Limited (IBA) on London
business days.

It is a wholesale funding rate anchored in LIBOR panel banks’ unsecured
wholesale transactions to the greatest extent possible, with a waterfall
to enable a rate to be published in all market circumstances:

Level 1:

A volume weighted average price (VWAP) of transactions in unsecured
deposits and primary issuances of commercial paper and certificates of
deposit since the previous submission, with a higher weighting for
transactions booked closer to 11:00 London time.

Eligible counterparties are providers of wholesale unsecured funding

  • banks
  • central banks
  • governmental entities
  • multilateral development banks
  • non-bank financial institutions
  • sovereign wealth funds
  • supranationals, and
  • corporations as counterparties to a bank’s funding transactions for
    maturities greater than 35 days.

Transactions in approved major funding centres are taken into account
without price adjustment, subject to minimum transaction sizes and
number of trades as specified by IBA.

Level 2:

Transaction-derived data, including time-weighted historical
transactions adjusted for market movements and linear interpolation.

Level 3:

If the LIBOR panel bank has insufficient Level 1 and Level 2
transactions, it should submit the rate at which it could fund itself at
11:00 London time with reference to the unsecured wholesale funding
market. In order to determine this rate the bank should follow its
internally approved procedure agreed with IBA.

LIBOR is calculated as of 11.00 every London business day and normally
published by IBA at 11.55 London time; it is a trimmed arithmetic mean
that excludes the highest and lowest quartile of submissions. Each panel
bank’s submission carries an equal weight, subject to the trimming.

The panel banks’ individual submissions are published by IBA after three
months on a non-attributed basis.

Further details are published at

IBA is authorised and regulated by the Financial Conduct Authority.

Notes to editors:

1. LIBOR is a widely used benchmark rate for short-term interest rates.
It is produced for five currencies (CHF, EUR, GBP, JPY and USD) and
seven maturities (Overnight/Spot Next, 1 Week, 1 Month, 2 Months, 3
Months, 6 Months and 12 Months), resulting in the publication of 35
rates every applicable London business day.

2. Used globally, LIBOR is often referenced in derivative, bond and loan
documentation, and in a range of retail products such as mortgages and
student loans. It is also used as an indicator of the health of the
banking system and as a gauge of market expectation regarding central
bank interest rates.

3. LIBOR is currently calculated and published on every London business
day by IBA, using a trimmed arithmetic mean of panel bank submissions in
response to the LIBOR
submission question

4. Two position papers and an additional consultation have been
published by IBA since 2014, together with associated feedback
statements and the Roadmap for ICE LIBOR5, on IBA’s proposals
for the evolution of LIBOR. Numerous stakeholders from around the world
participated in the consultation process and in bilateral meetings,
roundtables and other forums.

5. IBA is a wholly owned subsidiary of Intercontinental Exchange, Inc.,
a leading operator of global exchanges and clearing houses and provider
of data and listings services.

About Intercontinental Exchange

(NYSE: ICE) is a Fortune 500 and Fortune Future 50 company
formed in the year 2000 to modernize markets. ICE serves customers by
operating the exchanges, clearing
and information services they rely upon to invest, trade and
manage risk across global financial and commodity markets. A leader in
market data, ICE Data
serves the information and connectivity needs of the market
across virtually all asset classes. As the parent company of the New
York Stock Exchange
, the company raises more capital than any other
exchange in the world, driving economic growth and transforming markets.

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
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, 2017, as filed with the SEC on February 7, 2018.

SOURCE: Intercontinental Exchange


1 The test rates calculated using the waterfall methodology
are referred to in this press release as LIBOR for convenience, even
though they are not calculated and published as LIBOR by reference to
the existing LIBOR submission question. The test submissions used to
calculate the test rates are similarly referred to as LIBOR submissions.

2 The test rates are historical, relate to a three-month
testing period and will be provided for information purposes only.
Historical data may not be indicative of future data, and none of the
data is intended to constitute any invitation or inducement to engage in
any investment activity. Neither IBA, ICE nor any of its or their
affiliates will be liable to any person in connection with this data.

3 The Financial Stability Board published a progress
in relation to the implementation of the recommendations in
the FSB Report in October, 2017.

4 The output statement was initially published as part of the
Roadmap for ICE LIBOR. It was updated pursuant to a subsequent
consultation paper
. The final output statement was published as part
of the feedback
to this consultation
and is set out in the annex to this press

and Roadmap

Leave Comment

Your Name *
Your Email *
Your Website
Comment *