ICE Benchmark Administration ®
Transforming Global Benchmarks
Access to accurate, reliable information is essential to the integrity and everyday functioning of global markets and the economies which they support. Benchmarks form a vital part of this ecosystem, helping market participants to assess the value of assets and make informed business decisions with confidence.
As one of the world’s most experienced administrators of regulated benchmarks, ICE Benchmark Administration (IBA) is leading the way in benchmark reform. We are evolving benchmarks to ensure high standards of data collection, calculation, publication and surveillance. By establishing comprehensive and robust governance and oversight functions, IBA is enhancing benchmark integrity in order to give market participants confidence in the information they depend upon.
IBA also operates a crowdsourcing platform for asset risk data, used to support standardized margin calculations under the ISDA SIMM (Standard Initial Margin Model). This is underpinned by the same principles of procedural excellence and strong governance as our benchmarks.
Please read IBA’s benchmark and other information notice and disclaimer.
Administering Global Benchmarks and Services
LIBOR
- LIBOR is in the process of being wound-down
- After December 31, 2021, all CHF and EUR LIBOR settings, the 1 Week and 2 Months USD LIBOR settings, and the Overnight/Spot Next, 1 Week, 2 Months and 12 Months GBP and JPY LIBOR settings have ceased to be published
- IBA expects to continue to calculate and publish the Overnight and the 1-, 3-, 6- and 12-Months USD LIBOR settings using panel bank contributions under the “panel bank” LIBOR methodology until end-June 2023. The Overnight and 12-Months USD LIBOR settings will cease immediately after June 30, 2023
- The Financial Conduct Authority (“FCA”) has designated the 1-, 3- and 6-Months GBP and JPY LIBOR settings as “Article 23A benchmarks” for the purposes of the UK Benchmarks Regulation (the “BMR”) with effect from January 1, 2022 and is compelling IBA to publish these settings for the duration of 2022. The FCA is requiring IBA to calculate these settings using a changed, “synthetic” methodology. The “synthetic” methodology is not based on panel bank contributions and is not representative of the underlying market or economic reality the setting is intended to measure, including for the purposes of the BMR
- Under the BMR, new use of “Article 23A benchmarks” by UK-supervised entities in regulated financial contracts, instruments and/or investment fund performance measurement is prohibited. This includes the “synthetic” 1-, 3- and 6-Months GBP and JPY LIBOR settings. Legacy use of these settings in equivalent circumstances is also prohibited, unless permitted by the FCA. The FCA is permitting all legacy use of 1-, 3- and 6-Months GBP and JPY “synthetic” LIBOR by UK-supervised entities other than in “Cleared Derivatives” (whether directly or indirectly cleared) (as defined in the FCA’s BMR Article 23C notice)
- From January 1, 2022, the FCA is prohibiting the new use by UK-supervised entities in regulated financial contracts, instruments and/or investment fund performance measurement, of the continuing Overnight and 1-, 3-, 6- and 12-Month USD LIBOR settings, subject to certain exceptions
- The use of LIBOR in jurisdictions outside the United Kingdom and by entities subject to the oversight of other regulatory authorities may be restricted or prohibited by law in those jurisdictions and by the requirements of such regulatory authorities
- Please refer to our LIBOR webpage for further information
ICE Swap Rate
- Transitioned ICE Swap Rate from a polled submission model, based on subjective price estimates, to a methodology based on quotes from electronic trading venues, making the calculation of this important swap rate significantly more robust
- Implemented a waterfall methodology to increase the amount of input data available to determine the rate
- Driving transparency in the benchmark setting process with new technology and new surveillance tools
- Launched the GBP SONIA ICE Swap Rate, the GBP SONIA Spread-Adjusted ICE Swap Rate and the USD SOFR ICE Swap Rate
- Currently testing the USD SOFR Spread-Adjusted ICE Swap Rate
- After December 31, 2021, all GBP LIBOR ICE Swap Rate settings have ceased to be published
- Users of ICE Swap Rate settings in respect of which LIBOR serves as the floating leg for the relevant interest rate swaps should note the section on our ICE Swap Rate webpage headed “LIBOR Transition: Consequences for the ICE Swap Rate” and our LIBOR webpage.
LBMA Gold & Silver Prices
- Moved the LBMA Gold Price away from the historical telephone-based process to an electronic, physically-settled auction using ICE's trading platform, recognized around the world for providing access and increasing market transparency
- Provided direct participants and clients the ability to manage orders in the auction directly themselves for the first time
- Increased participation in the gold auction, and increased gold and silver auction volumes, as technology and governance improvements have enhanced accessibility and confidence in the process
ISDA SIMM Crowdsourcing Facility
- Launched a crowdsourcing facility in conjunction with ISDA for firms trading uncleared derivatives that provides consensus risk buckets as a key input to the ISDA SIMM methodology
- Allowing market participants to reduce margin call disputes by providing firms which use the ISDA SIMM methodology with an aligned set of risk buckets
Tradeweb ICE U.S. Treasuries Closing Prices
- Together with Tradeweb, IBA has launched the benchmark for U.S. Treasuries based upon executable bid and offer quotes from dealers on Tradeweb’s institutional platformIBA, authorized under the UK Benchmarks Regulation, has published a statement of compliance with the IOSCO Principles for Financial Benchmarks in respect of the Tradeweb ICE U.S. Treasury Closing Prices. IBA’s statement of compliance
- has been externally reviewed and validated by Ernst & Young LLP (‘EY’)
ICE Bank Yield Index
- The U.S. Dollar ICE Bank Yield Index will be a forward-looking, credit-sensitive benchmark, developed specifically as a potential replacement for LIBOR for U.S. dollar lending activity.
- The Index has been designed to measure the average yields at which investors are willing to invest U.S. dollar funds over one-month, three-month and six-month periods on a wholesale, senior, unsecured basis in large, internationally active banks.
- The Index will be based entirely on unsecured transactions in the obligations of banks, and will use two types of fully-transactional input data representing wholesale, unsecured bank investment yields:
- Primary market funding transactions; and
- Secondary market bond transactions
- Importantly, there will be no requirement for data contributors to use expert judgement when providing input data.
ICE Term Reference Rates
- Developed and launched forward-looking ICE Term SONIA Reference Rates for 1, 3, 6 and 12-month tenors
- Designed to measure, on a daily basis, expected (i.e. forward-looking) SONIA rates over 1, 3, 6 and 12-month tenor periods
- Derived using a waterfall calculation methodology, using eligible prices and volumes for specified SONIA-linked interest rate derivative products
ICE RFR Indexes
- Launched a set of Risk Free Rate Indexes, for SOFR, SONIA, €STR and TONA, providing daily values that represent accrued compound interest, relative to the first day value of 100
- Developed to help address the key operational considerations of lenders and borrowers of RFR-based loans, the index values are designed to provide a simple method for calculating compound interest between any two index dates, allowing parties to agree transparently on interest accruals
ICE U.S. Dollar Inflation Expectations Index Family
After years of remaining low and stable, inflation has become a key consideration for market participants and policy makers. Over the past year the Consumer Price Index in the United States rose by more than 7.00% and the future path of inflation remains highly uncertain. The key questions on stakeholders’ minds now are:
- If/when inflation will moderate in the near term; and
- Have longer term inflation expectations moved structurally higher post the pandemic?
The answers to these questions will materially impact how monetary policy unfolds in the coming quarters and will certainly impact asset prices in the financial markets.
To help gauge future inflation expectations and inform policy and risk management decision making, ICE Benchmark Administration (IBA) has launched the ICE U.S. dollar Inflation Expectations Index Family.
How IBA Operates
IBA combines robust regulatory and governance frameworks with advanced technology to bring credibility and trust to globally important benchmarks. IBA, which is independently capitalized, is authorised and regulated by the Financial Conduct Authority (FCA) in the UK. IBA is required to comply with the FCA's rules for benchmark administrators.
Statutory Accounts
Annual Report and Financial Statements For the Year Ended 31 December 2021
Annual Report and Financial Statements For the Year Ended 31 December 2020
Annual Report and Financial Statements For the Year Ended 31 December 2019