ICE launches inflation swap benchmarks for British pound and euro

ICE Benchmark Administration Limited launched two new ICE Swap Rate Inflation Swap benchmarks for British pound and euro currencies, according to a company statement.

The benchmarks reference the U.K. Retail Prices Index for GBP and the Eurozone Harmonised Index of Consumer Prices excluding tobacco for EUR, based on zero-coupon inflation index swaps. Both indices track inflation by measuring changes in the cost of a representative basket of goods and services.

The GBP and EUR reference rates are calculated daily using ICE Swap Rate Waterfall Methodology based on dealer-to-client data provided by Tradeweb. The benchmarks are published in tenors ranging from 1 to 30 years.

"Amid evolving inflationary pressures and shifting central bank policies across the U.K. and Eurozone, the demand for inflation risk management tools has grown," said Clive de Ruig, President of IBA.

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.

IBA also publishes ICE Swap Rate benchmarks based on swaps referencing EURIBOR, €STR, SONIA and SOFR, and swap spreads linked to SOFR. The benchmark settings are available under license for redistribution, valuation and pricing activities.

ICE Benchmark Administration is authorized and regulated by the U.K. Financial Conduct Authority and is recognized by the European Securities and Markets Authority as an administrator of significant benchmarks. Parent company Intercontinental Exchange trades on NYSE under ticker ICE.

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