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August 6, 2019

ICE buys Bank of America Merrill Lynch fixed income volatility indices

Intercontinental Exchange (ICE) has agreed to purchase several fixed income volatility indices from Bank of America Merrill Lynch for an undisclosed sum.

The deal includes the acquisition of the Merrill Lynch Option Volatility Estimate (MOVE) family of indices.

MOVE is designed to measure the movement in U.S. Treasury yield volatility.

As part of the deal, ICE will also acquire indices tracking different option expiries as well as indices tracking volatility in the interest rate swap market in the US.

The acquired indices will now sit within the ICE Data Services business.

ICE Data Services president and COO Lynn Martin said: “The MOVE Index has a long history of providing strong signals about bond market sentiment, and we’re excited to have it become part of our portfolio of fixed income indices.

“MOVE’s unique ability to concisely measure that sentiment will allow us to play a critical role in continuing to help our customers manage risk.”

ICE has made several acquisitions in recent years.

In 2017, ICE took over Bank of America Merrill Lynch Global Research division’s fixed income index platform, which too became a part of ICE Data Services.

Last year, ICE announced the acquisition of premier fixed income marketplace TMC Bonds in a $685m deal.

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