Intercontinental Exchange, Inc. (NYSE:ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, announcesthatICE Benchmark Administration Limited (IBA)hastoday published test rates 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 test rates have been published on the ICE website, alongside previously published LIBOR using the existing methodology for the same period.1
The publication follows an announcement on March 13, 2018 that IBA would publish test rates for LIBOR2 calculated 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.3 The calculations apply the same trimmed arithmetic mean approach used to calculate LIBOR as it is currently published.
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 website.
