A unit of IntercontinentalExchange Group Inc. won the right to administer ISDAfix, a benchmark used to set rates in the $426-trillion swaps market, as regulators seek to reform the gauge and investigate whether banks manipulated it.
London-based ICE Benchmark Administration will change the process of calculation to ensure that rates are derived from actual quotes in regulated markets, the company said in a statement today. The unit will be responsible for ISDAfix’s methodology and rate calculation. The gauge, representing average mid-market swap rates for euros, Swiss francs, sterling and the U.S. dollar, is currently calculated daily based on bank estimates.
In January, the International Swaps & Derivatives Association Inc. picked Thomson Reuters Corp. to handle collecting data from banks that are used to calculate the dollar-denominated version of ISDAfix, shifting away from ICAP Plc (IAP), the world’s largest broker of transactions between banks. Reuters already handles versions of the rate outside the U.S.
Global authorities are investigating whether more than a dozen firms colluded to manipulate the London interbank offered rate, or Libor, and regulators have levied about $6 billion in fines to date. A total of 17 people were accused of manipulating the Libor in U.S. and U.K. criminal investigations.
Britain handed over the administration of the Libor to ICE Benchmark Administration in February, replacing the British Bankers’ Association. The unit was formed as ICE bought Liffe, the biggest U.K. derivatives exchange, which offers derivatives based on Libor.
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