Transcription of ICE LIBOR Evolution - theice.com
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ICE LIBOR Evolution - theice.com
ICE LIBORE volutionApril 25, 2018 ICE LIBOR Evolution Copyright 2018 ICE Benchmark Administration Limited2 Executive summary3A brief introduction to LIBOR4 The mandate for reform4 IBA s work to strengthen LIBOR6 IBA s developments LIBOR code of conduct LIBOR oversight committee Technology and processesLIBOR today7 Today s LIBOR rates Underlying interest and the current LIBOR submission question Calculation methodology PublicationThe Evolution of LIBOR9 A roadmap for ICE LIBOR Underlying interest and the ICE LIBOR output statement The waterfall methodology Standardised input criteria Exceptional market eventsTesting of the waterfall methodology11 Transition to the waterfall methodology11 Planning for LIBOR beyond 202112 Conclusion13 Disclaimer14 Appendix 115 ICE LIBOR output statementAppendix 216 Standardised inputsAppendix 318 Weekly and quarterly submission reports today Production standard test period report Weekly and quarterly submission reports upon transitionContentsICE
ICE LIBOR Evolution 3 Executive summary In February 2014, ICE Benchmark Administration Limited (“IBA”) became the administrator of LIBOR. Since then, IBA has worked closely with market participants, regulators and other stakeholders
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