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.
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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.
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“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.”
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