ICE, Quantifi Ally for Credit Index Futures-Spread Pricing, Conversion


IntercontinentalExchange has released a price-spread calculator for credit index futures listed on IntercontinentalExchange's ICE Futures US market, developed by over-the-counter derivatives analytics and risk management software vendor Quantifi, to help market participants better monitor and manage credit risk exposures.

Designed to meet the growing demand for exchange-traded futures contracts as alternatives to OTC derivatives, the calculator -- which is available on ICE's website -- uses market calculations to convert futures prices into the equivalent forward spreads for any given date, and to create corresponding futures prices from underlying spreads, which allows users to make informed trading and risk management decisions against other credit derivatives instruments.

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