On 3 May 2024, IBA started publishing daily indicative, ‘Beta’ versions of two new ICE Swap Rate benchmark runs for an initial testing period;
- USD SOFR ICE Swap Rate Swap Spreads, representing the mid-price for an applicable SOFR swap (the fixed leg) minus a corresponding specified government bond yield; and
- EUR €STR ICE Swap Rates, representing the mid-price for an applicable €STR swap (the fixed leg).
This follows a consultation, which ran from October to December 2023, and the subsequent publication of a consultation feedback statement in February 2024.
The new Beta ICE Swap Rate benchmark settings are determined using the existing ICE Swap Rate “Waterfall” calculation methodology. The publication tenors, input data specifications and standard market sizes for the Beta settings have been included in the tables in the Methodology section below for information. The Beta settings are expected to be calculated using input data at the second or third level of the Waterfall (i.e. eligible dealer to client prices and volumes for specified interest rate derivative products displayed electronically by trading venues where available, and otherwise movement interpolation, where possible for applicable tenors).
The Beta versions of the new ICE Swap Rate benchmark settings are being published on the ICE Report Center here.
During the testing period, the Beta ICE Swap Rate settings are being published for information and illustrative purposes only in order to enable recipients to evaluate and provide feedback. The Beta settings are not intended for, and IBA expressly prohibits their use for, any other purpose, including as a reference, index or benchmark in financial instruments, financial contracts, or investment funds. The Beta settings may not be used as a benchmark within the meaning of either the UK or the EU Benchmarks Regulation, or otherwise.
IBA will update users when the Beta testing phase has been completed. Assuming satisfactory testing and feedback, IBA expects to publish USD SOFR ICE Swap Rate Swap Spreads and EUR €STR ICE Swap Rates settings as a benchmark for use by licensees on and subject to the terms of their current USD and EUR ICE Swap Rate licensing agreements, respectively.
Any feedback on the Beta settings should be sent to [email protected].