Intercontinental Exchange, Inc., one of the world’s leading providers of financial market technology and data powering global capital markets, tannounced that ICE Benchmark Administration Limited (IBA), a leading administrator of regulated benchmarks, has launched two new ICE Swap Rate® Inflation Swap benchmarks.

The new benchmarks reference the U.K. Retail Prices Index (RPI) for GBP and the Eurozone Harmonised Index of Consumer Prices excluding tobacco (HICP ex-tobacco) for EUR, based on zero-coupon inflation index swaps. The RPI and HICP ex-tobacco are key U.K. and Eurozone indices which measure inflation by tracking the changing cost of a representative basket of goods and services.

ICE Swap Rate® Inflation Swap benchmarks aim to provide market participants with robust, transparent reference rates for use in transactions and valuations. The GBP and EUR reference rates are calculated daily using the ICE Swap Rate® Waterfall Methodology based on dealer-to-client data provided by Tradeweb and are published in tenors from 1 to 30 years.

“As a global leader in regulated benchmark administration, IBA is uniquely positioned to bring the same rigorous governance, data management and technology that underpins the existing ICE Swap Rate® suite of benchmarks to the inflation swap market,” said Clive de Ruig, President of IBA.

“Amid evolving inflationary pressures and shifting central bank policies across the U.K. and Eurozone, the demand for inflation risk management tools has grown, and ICE Swap Rate® Inflation Swap benchmarks are designed to give market participants regulated, transparent reference rates to ensure certainty and predictability in inflation swap settlement,” continued de Ruig.

In addition to ICE Swap Rate® Inflation Swap benchmarks, IBA publishes ICE Swap Rate® benchmarks based on swaps referencing EURIBOR, €STR, SONIA and SOFR, and swap spreads linked to SOFR. IBA also publishes SONIA spread-adjusted and SOFR spread-adjusted ICE Swap Rate® settings.

ICE Swap Rate® is designated as a “critical benchmark” under the U.K. Benchmarks Regulation and has been specified as a “significant benchmark” under the EU Benchmarks Regulation.

ICE Swap Rate® benchmark settings are available under licence, including for redistribution, valuation and pricing activities and for use in transactions and financial products. Prospective licensees should contact IBA’s licensing team at IBA-Licensing@ice.com.

Source: ICE Benchmark Administration