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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.
ICE Benchmark Administration launched new ICE Swap Rate Inflation Swap benchmarks for GBP and EUR.
KEY POINTS
- The GBP benchmark references UK RPI, while the EUR benchmark uses Eurozone HICP ex-tobacco.
- These inflation swap benchmarks use zero-coupon index swaps and tenors from 1 to 30 years.
- Benchmarks are calculated daily using the ICE Swap Rate Waterfall Methodology with Tradeweb data.
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