03.09.2022

ICE Introduces U.S. Dollar Inflation Expectations Indexes

03.09.2022

Intercontinental Exchange, Inc., a leading global provider of data, technology, and market infrastructure, announced that ICE Benchmark Administration Limited (IBA) is introducing the ICE U.S. Dollar Inflation Expectations Index Family to help investors gauge future inflation expectations and inform policy and risk management decision making.

The inflation index family is designed to provide daily market implied inflation expectations over three-time horizons:

  1. Expected inflation over the next 12 months;
  2. Expected longer term (five-year) inflation one year forward; and
  3. Expected longer term (five-year) inflation five years forward.

IBA will calculate index settings from price/yield data from U.S. Treasury Inflation Protected Securities (TIPS), Treasury Bills, Notes and Bonds, and the inflation-linked swaps markets, which together represent amongst the deepest and most liquid inflation-linked markets. IBA will then create a blended inflation curve from which forward, implied inflation expectations can be calculated.

“We have created the ICE U.S. Dollar Inflation Expectations Index Family to provide the market with an easy to access tool to measure expectations for future inflation,” said Tim Bowler, President of ICE Benchmark Administration. “Inflation expectations are crucial to financial markets and to policy makers, and our inflation index family is designed to help stakeholders with their investment and risk management decision making.”

IBA will publish daily, indicative U.S. Dollar Inflation Expectations Index values at approximately 8am New York time here for an initial feedback period. During this period, IBA is seeking feedback from stakeholders on the inflation index family methodology and outputs and on the potential for the inflation index family to become a benchmark for use in financial contracts. Feedback should be sent to IBA@ice.com.

Please note that during the feedback period the settings are being published solely for information and feedback purposes and are not intended for, and IBA expressly prohibits their use for, any other purpose, including as a reference, index or benchmark in financial contracts, instruments, or to measure the performance of investment funds.

Source: ICE

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