ICE Benchmark Administration publishes feedback statement on consultation on potential cessation of ICE Swap Rate® based on GBP LIBOR®

IBA publishes feedback statement for consultation on its intention to cease publication of LIBOR® settings

IBA publishes fourth update on the U.S. Dollar ICE Bank Yield Index

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.

IBA’s Products and Services

A widely used global benchmark for short-term interest rates

**Note LIBOR is being wound-down**

The principal global benchmark for interest rate swaps and spreads

Global benchmarks for the prices of gold and silver

A facility to aggregate and publish asset risk data for use in ISDA SIMM margin calculations

The daily mid-market prices for U.S. Treasury Securities

Forward-looking Term SONIA Reference Rates

Developing and Enhancing Methodologies for Global Benchmarks

LIBOR®
  • Designed a framework for evolving LIBOR through the adoption of a standardized waterfall submissions methodology
  • Implemented purpose-built surveillance technology, operated by a dedicated team of analysts, to examine submissions and trading data
  • Developed a revised code of conduct for panel banks, setting out the framework within which they make submissions to the benchmark
  • Maintaining an oversight committee, with broad market representation, responsible for reviewing the benchmark's methodology and code of conduct
  • On March 5, 2021, the FCA announced that (i) all Euro and Swiss Franc LIBOR settings, the 1 Week and 2 Months US Dollar LIBOR settings, and the Overnight/Spot Next, 1 Week, 2 Months and 12 Months Sterling and Japanese Yen LIBOR settings will cease immediately after December 31, 2021 and (ii) the Overnight and 12 Months US Dollar LIBOR settings will cease immediately after June 30, 2023
  • On September 29, 2021, the FCA announced that it will use its new regulatory powers to compel IBA to determine and publish the 1-, 3- and 6-Months Sterling and Japanese Yen LIBOR settings under a changed, unrepresentative, “synthetic” methodology for the duration of 2022
  • The FCA has confirmed that it expects that the Overnight and the 1-, 3-, 6- and 12-Months US Dollar LIBOR settings will continue to be published on a representative basis, using panel bank contributions under the current “panel bank” LIBOR methodology, until end-June 2023. The FCA has advised that it will continue to consider the case for using its new regulatory powers to require IBA to continue the publication of the 1-, 3- and 6-Months US Dollar LIBOR settings beyond June 30, 2023 under a changed, “synthetic”, unrepresentative methodology.
  • Under the UK Benchmarks Regulation, new use of the “synthetic” 1-, 3- and 6-Months Sterling and Japanese Yen LIBOR settings by UK-supervised entities in regulated financial contracts, instruments and/or investment fund performance measurement will be prohibited. On November 16, 2021, the FCA confirmed it will permit all legacy use of 1-,3- and 6-Months Sterling and Japanese Yen “synthetic” LIBOR by UK-supervised entities other than in “Cleared Derivatives” (whether directly or indirectly cleared). The FCA also confirmed that, from January 1, 2022, it will prohibit 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 US Dollar LIBOR settings, subject to certain exceptions.
  • Please refer to the sections on our LIBOR webpage headed “The Future of LIBOR” and “New FCA Powers to Impose Changes to LIBOR” 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
  • Developed and launched the GBP SONIA ICE Swap Rate and the USD SOFR ICE Swap Rate
  • IBA has announced that it will cease publication of the GBP LIBOR ICE Swap Rate for all tenors immediately after its final publication on December 31, 2021
  • 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 sections on our ICE Swap Rate webpage headed “The Future of LIBOR: Consequences for the ICE Swap Rate” and on our LIBOR webpage headed “The Future of LIBOR”
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. Treasury 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 platform
  • IBA, 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 Term SONIA Reference Rates
  • Developed and launched forward-looking ICE Term SONIA Reference Rates (“ICE TSRR ") for 1, 3, 6 and 12-month tenors
  • ICE TSRR are derived using a waterfall calculation methodology, using eligible prices and volumes for specified SONIA-linked interest rate derivative products

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 and has also been formally assessed in respect of LIBOR against the IOSCO Principles for Financial Benchmarks.

Statutory Accounts

Annual Report and Financial Statements For the Year Ended 31 December 2020

Annual Report and Financial Statements For the Year Ended 31 December 2019

For further information

The "SONIA" mark is used under licence from the Bank of England (the benchmark administrator of SONIA), and the use of such mark does not imply or express any approval or endorsement by the Bank of England. "Bank of England" and "SONIA" are registered trade marks of the Bank of England.