Overview
About ICE Swap Rate®
The ICE Swap Rate® (formerly known as ISDAFIX) is recognised as the principal global benchmark for swap rates and spreads for interest rate swaps. ICE Swap Rate is used as the exercise value for cash-settled swaptions, for close-out payments on early terminations of interest rate swaps, for some floating rate bonds and for valuing portfolios of interest rate swaps.
The ICE Swap Rate represents the mid-price for interest rate swaps (the fixed leg) and swap spreads (the applicable mid-price minus a corresponding specified government bond yield) in three major currencies (USD, GBP and EUR) in various tenors ranging from 1 year to 30 years at particular specified times of the day.
Please read IBA’s Benchmark and Other Information Notice and Disclaimer here.
Assurance on Compliance with EU Benchmarks Regulation and Benchmark Methodologies
IBA has published a Statement of Compliance with the EU Benchmarks Regulation and Benchmark methodologies, including in respect of ICE Swap Rate, and Ernst & Young LLP has externally reviewed and provided assurance in respect of this Statement. Please note that, from April 27, 2018 to December 31, 2020, IBA was authorized as a benchmark administrator under the EU Benchmarks Regulation (the “EU BMR”). Following the conclusion of the transition period in relation to the withdrawal of the UK from the EU, commonly referred to as “Brexit”, which ended at 11:00 pm on December 31, 2020, IBA ceased to be authorised as a benchmark administrator under the EU BMR and is now authorised as a benchmark administrator under the UK Benchmarks Regulation (the UK legislation and rules onshoring the majority of the EU BMR following Brexit, as amended, the “UK BMR”). Benchmarks provided by IBA may continue to be used by supervised entities in the EU under EU BMR transitional provisions.
The Future of LIBOR: Consequences for the ICE Swap Rate
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 LIBOR webpage headed “The Future of LIBOR”.
IBA Consultation on Cessation of GBP LIBOR ICE Swap Rate
In particular, IBA announced, on March 5, 2021, that, as a result of IBA not having access to input data necessary to calculate 3 Month and 6 Month GBP LIBOR settings on a representative basis beyond December 31, 2021, it will have to cease the publication of the 3 Month and 6 Month GBP LIBOR settings on December 31, 2021, unless the FCA exercises its new powers (which are included in the Financial Services Act 2021 as amendments to the UK Benchmarks Regulation) to require IBA to continue publishing such LIBOR settings using a changed and unrepresentative methodology (also known as a “synthetic” basis).
On March 5, 2021, the FCA announced that it would consult on requiring IBA to continue the publication of the 3 Month and 6 Month GBP LIBOR settings beyond December 31, 2021 on an “synthetic” basis. The FCA has since consulted on its proposals to compel IBA to publish these “synthetic” settings.
Further to this announcement, IBA does not expect sufficient (or perhaps any) input data required to calculate GBP LIBOR ICE Swap Rate settings (i.e. eligible interest rate swaps referencing GBP LIBOR settings) to be available after December 31, 2021. As a result, IBA published a consultation in May 2021 to seek feedback regarding its intention to cease the publication of GBP LIBOR ICE Swap Rate for all tenors immediately after publication on December 31, 2021.
The consultation closed at 5:00pm London time on Friday, June 25, 2021, and IBA published the feedback statement for the consultation on August 4, 2021. As a result of the feedback received, IBA announced that it will cease the publication of GBP LIBOR ICE Swap Rate for all tenors immediately after publication on December 31, 2021. Users of the GBP LIBOR ICE Swap Rate benchmark should take account of its upcoming cessation and ensure their contractual and other arrangements linked to the benchmark contain appropriate fallback or other arrangements to address the cessation.
Please note that the consultation was not a consultation on the potential for the cessation of any ICE Swap Rate settings other than GBP LIBOR ICE Swap Rate. Other than the above announcement regarding the cessation of the GBP LIBOR ICE Swap Rate, none of the consultation, feedback paper, or any related press release is, or should be taken to be or include, an announcement that IBA will cease or continue the publication of any other ICE Swap Rate settings (i.e. USD LIBOR ICE Swap Rate, EUR ICE Swap Rate or GBP SONIA ICE Swap Rate), after December 31, 2021, or any other date.
IBA expects to consult on the potential cessation of USD LIBOR ICE Swap Rate in due course.
ISDA Consultation on the implementation of suggested fallbacks for GBP LIBOR ICE Swap Rate and USD LIBOR ICE Swap Rate
The Non-Linear Task Force (NLTF) of the Working Group on Sterling Risk-Free Reference Rates in the UK and a Subcommittee of the Alternative Reference Rates Committee (ARRC) in the US, have each published papers (“Transition in Sterling Non-Linear Derivatives referencing GBP LIBOR ICE Swap Rate (ISR)” and “Suggested Fallback Formula for the USD LIBOR ICE Swap Rate”) suggesting fallbacks that could apply for GBP LIBOR ICE Swap Rate and USD LIBOR ICE Swap Rate, respectively, if those ICE Swap Rate benchmarks cease to be available and LIBOR in the relevant currencies and tenors ceases or becomes unrepresentative.
On June 11, 2021 the International Swaps and Derivatives Association (ISDA) launched a consultation on draft amendments to the 2006 ISDA Definitions designed to implement the fallbacks for GBP LIBOR ICE Swap Rate proposed in the paper published by the NLTF and the fallbacks for USD LIBOR ICE Swap Rate suggested in the paper published by the subcommittee of the ARRC, in each case in a scenario where those ICE Swap Rate benchmarks were unavailable and LIBOR in the relevant currency and tenor had permanently ceased or become unrepresentative. ISDA announced the results of the consultation on July 23, 2021.
“SOFR First” initiative
On June 8, 2021, the Commodity and Futures Trading Commission’s (CFTC) Market Risk Advisory Committee (MRAC) Interest Rate Benchmark Reform Subcommittee voted to recommended a market best practice for switching interdealer trading conventions from USD LIBOR to the Secured Overnight Financing Rate (SOFR) for USD linear interest rate swaps, referred to as “SOFR First”. The initiative recommends that, from July 26, 2021, interdealer brokers replace trading of USD LIBOR-linked linear swaps with trading of SOFR-linked linear swaps. It suggests that interdealer broker screens for USD LIBOR-linked linear swaps should remain visible for informational purposes only after this date up until October 21, 2021, after which they should be turned off altogether.
As noted below, the methodology for USD LIBOR ICE Swap Rates uses input data consisting of quotes for prices and volumes of USD LIBOR-linked swaps, including quotes from interdealer broker screens at Level 1 of the Waterfall. To the extent that the SOFR First initiative results in interdealer broker screens ceasing to display quotes, or reducing the number of displayed quotes, for relevant USD LIBOR-linked swaps, this could result in a greater reliance on Levels 2 and 3 of the Waterfall in calculating USD LIBOR ICE Swap Rate. Insofar as the initiative results in a reduction of eligible input data at any level of the Waterfall, it might consequently impact IBA's ability to calculate and publish one or more USD LIBOR ICE Swap Rates.
Please see the MRAC’s FAQs on SOFR First for further information on this initiative.
GBP SONIA ICE Swap Rate Settings
In the UK, SONIA has been recommended as the preferred near risk free rate for use in Sterling derivatives and relevant financial contracts. As a result, IBA sought feedback and consulted on publishing a GBP ICE Swap Rate for SONIA swaps.
Following a positive market response to IBA’s feedback and consultation papers, and the successful publication of daily indicative GBP SONIA ICE Swap Rate ‘Beta’ settings since October 2, 2020, IBA launched GBP SONIA ICE Swap Rate as a benchmark for use by licensees on December 14, 2020. The settings are provided for use by licensees on and subject to the terms of their current GBP ICE Swap Rate licensing agreements (although users should note that GBP LIBOR ICE Swap Rate settings will cease after December 31, 2021).
GBP SONIA ICE Swap Rate settings are determined using the published ICE Swap Rate ‘Waterfall’ methodology using eligible input data in respect of SONIA interest rate swaps, and are available for the same tenors and at the same time as the current GBP LIBOR ICE Swap Rate (although users should note that GBP LIBOR ICE Swap Rate settings will cease after December 31, 2021). The settings are available from IBA and licensed redistributors.
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 trademarks of the Bank of England.
GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ Settings
IBA started publishing indicative GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ settings from May 5, 2021 for an initial testing period.
The settings will be determined in line with the methodology proposed by the Non-Linear Task Force of the Working Group on Sterling Risk-Free Reference Rates in its paper “Transition in Sterling Non-Linear Derivatives referencing GBP LIBOR ICE Swap Rate (ISR)”.
IBA is publishing the GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ settings during the testing period solely for information and illustration purposes in order to enable stakeholders to evaluate the rates and provide feedback. The 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. IBA will announce in due course when the GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ settings will be made available for use in financial instruments.
GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ settings are available here.
USD SOFR ICE Swap Rate ‘Beta’ Settings
IBA started publishing indicative USD SOFR ICE Swap Rate ‘Beta’ settings from October 1, 2021 for an initial testing period.
USD SOFR ICE Swap Rate settings are determined using the published ICE Swap Rate ‘Waterfall’ methodology using eligible input data in respect of SOFR interest rate swaps, and are available for the same tenors and at the same time as the current USD LIBOR ICE Swap Rate.
During the initial testing period, the settings are being provided solely for information and illustration purposes in order to enable recipients to evaluate and provide feedback on the USD SOFR ICE Swap Rate ‘Beta’ settings. They 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. IBA reserves all rights in the ICE Swap Rate methodology and in the USD SOFR ICE Swap Rate ‘Beta’ settings. ICE, ICE Swap Rate and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. IBA is not affiliated with the New York Fed. The New York Fed does not sanction, endorse, or recommend any products or services offered by IBA.
USD SOFR ICE Swap Rate ‘Beta’ settings are available here.
USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ Settings
IBA started publishing indicative USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ settings from October 1, 2021 for an initial testing period.
The settings are determined in line with the methodology suggested by the Alternative Reference Rates Committee (ARRC) in its white paper “Suggested Fallback Formula for the USD LIBOR ICE Swap Rate”
During the initial testing period, the settings are being provided solely for information and illustration purposes in order to enable recipients to evaluate and provide feedback on the USD SOFR Spread-Adjusted ICE SWAP® Rate ‘Beta’ settings. They 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. IBA reserves all rights in the ICE Swap Rate methodology and in the USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ settings. ICE, ICE Swap Rate and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. IBA is not affiliated with the New York Fed. The New York Fed does not sanction, endorse, or recommend any products or services offered by IBA.
USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ settings are available here.
Methodology
In June 2020, following market consultation, IBA implemented a waterfall approach for the ICE Swap Rate methodology. The first level of the Waterfall (“Level 1”) uses eligible, executable prices and volumes provided by regulated, electronic, trading venues. If these trading venues do not provide sufficient eligible input data to calculate a rate in accordance with Level 1 of the Methodology, then the second level of the Waterfall (“Level 2”) uses eligible dealer to client prices and volumes displayed electronically by trading venues. If there is insufficient eligible input data to calculate a rate in accordance with Level 2 of the Waterfall, then the third level of the Waterfall (“Level 3”) uses movement interpolation, where possible for applicable tenors, to calculate a rate. Where it is not possible to calculate an ICE Swap Rate benchmark rate at Level 1, Level 2 or Level 3 of the Waterfall, then the Insufficient Data Policy applies for that rate. 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 LIBOR webpage headed “The Future of LIBOR”.
Key Features of the ICE Swap Rate Calculation
IBA uses multiple, randomised snapshots of market data taken during a short window before calculation. This enhances the benchmark's robustness and reliability by protecting against attempted manipulation and temporary aberrations in the underlying market.
Snapshots which do not contain sufficient eligible market data are not included in the calculation.
A minimum number of liquid snapshots is required to perform the calculation.
To protect against unrepresentative market data influencing the benchmark, outlier snapshots are not included in the calculation.
IBA uses data from the remaining snapshots to determine the ICE Swap Rate using a quality weighting based on the tightness of the spread of the eligible data.
ICE Swap Rate is currently calculated and published in seven benchmark ‘runs’ covering three currencies – EUR, GBP and USD – at the following specified times, with tenors ranging from 1 year to 30 years as indicated in the below table (users should note that GBP LIBOR ICE Swap Rate settings will cease after December 31, 2021)
| TENOR | EUR EURIBOR 1100 | EUR EURIBOR 1200 | GBP LIBOR 1100* | USD LIBOR Rates 1100 | USD LIBOR Spreads 1100 | USD LIBOR 1500 | GBP SONIA 1100 | USD SOFR 1100 |
| 1 Year |
|
|
|
|
|
|
|
|
| 2 Years |
|
|
|
|
|
|
|
|
| 3 Years |
|
|
|
|
|
|
|
|
| 4 Years |
|
|
|
|
|
|
||
| 5 Years |
|
|
|
|
|
|
|
|
| 6 Years |
|
|
|
|
|
|
||
| 7 Years |
|
|
|
|
|
|
|
|
| 8 Years |
|
|
|
|
|
|
||
| 9 Years |
|
|
|
|
|
|
||
| 10 Years |
|
|
|
|
|
|
|
|
| 12 Years |
|
|
|
|
||||
| 15 Years |
|
|
|
|
|
|
||
| 20 Years |
|
|
|
|
|
|
||
| 25 Years |
|
|
|
|
||||
| 30 Years |
|
|
|
|
|
|
* On August 4, 2021, IBA announced that it will cease the publication of GBP LIBOR ICE Swap Rate for all tenors immediately after publication on December 31, 2021.
Input Data Specifications and Criteria
In respect of each benchmark run and tenor:
- At Level 1 of the Waterfall, tradeable bid and offer prices and volumes available on the central limit order books of regulated, electronic trading venues in respect of a two-minute window before the relevant calculation are used to calculate the ICE Swap Rate benchmark rate.
- At Level 2 of the Waterfall, dealer to client bid and offer prices and volumes displayed electronically by trading venues in respect of the same two-minute window are used to calculate the ICE Swap Rate benchmark rate.
The bid and offer prices are for the fixed leg percentage rate for cleared interest rate swaps (together with the associated volumes) satisfying the requirements in the below table in respect of the applicable benchmark runs and tenors, except that, for the benchmark run that is USD Spreads 1100 and the associated tenors, the bid and offer prices are for spreads of such fixed leg percentage rates over the annual percentage yield payable on an on-the-run US Treasury Bonds satisfying the requirements in the table below in respect of the applicable tenors. Input data is provided by the relevant trading venues on an “as is” basis.
| Benchmark Run | 1Y Tenor | Tenors over 1Y | ||||
|---|---|---|---|---|---|---|
| Interest Rate Swap | ||||||
| Fixed Rate Leg Day-count | Fixed Rate Leg Period | Floating Leg Interest rate basis (m=month) | Fixed Rate Leg Day-count | Fixed Rate Leg Period | Floating Leg Interest rate basis (m=month) | |
| EUR EURIBOR Rates 1100 | 30/360 | Annual | 3m EURIBOR | 30/360 | Annual | 6m EURIBOR |
| EUR EURIBOR Rates 1200 | 30/360 | Annual | 3m EURIBOR | 30/360 | Annual | 6m EURIBOR |
| GBP LIBOR Rates 1100 | Actual/365 | Annual | 3m GBP LIBOR | Actual/365 | Semi-annual | 6m GBP LIBOR |
| USD LIBOR Rates 1100 | 30/360 | Semi-annual | 3m USD LIBOR | 30/360 | Semi-annual | 3m USD LIBOR |
| USD LIBOR Rates 1500 | 30/360 | Semi-annual | 3m USD LIBOR | 30/360 | Semi-annual | 3m USD LIBOR |
| GBP SONIA Rates 1100 | Actual/365 | Annual | Overnight SONIA compounded in arrears for twelve months using standard market conventions | Actual/365 | Annual | Overnight SONIA compounded in arrears for twelve months using standard market conventions |
| USD SOFR Rates 1100 | Actual/360 | Annual | SOFR compounded in arrears for twelve months using standard market conventions | Actual/360 | Annual | SOFR compounded in arrears for twelve months using standard market conventions |
| Benchmark Run | Tenors over 1Y | |||||
| Interest Rate Swap | Bond | |||||
| Fixed Rate Leg Day-count | Fixed Rate Leg Period | Floating Leg Interest rate basis (m=month) | Day-count | Period | Type | |
| USD LIBOR Spreads 1100 | 30/360 | Semi-annual | 3m USD LIBOR | Actual/actual | Semi-annual | US Treasury on-the-run |
* On August 4, 2021, IBA announced that it will cease the publication of GBP LIBOR ICE Swap Rate for all tenors immediately after publication on December 31, 2021.
Standard Market Sizes
The Standard Market Sizes in respect of the hypothetical trades that are required to be filled at Level 1 or Level 2 of the Waterfall for each benchmark run and tenor are specified in the below table (numbers in millions):
| Tenor |
EUR EURIBOR Rates 1100 |
EUR EURIBOR Rates 1200 |
GBP LIBOR Rates* 1100 |
USD LIBOR Rates 1100 |
USD LIBOR Spreads 1100 |
USD LIBOR Rates 1500 |
GBP SONIA Rates 1100 |
USD SOFR Rates 1100 |
| 1 Year | 150 | 150 | 25 | 150 | - | 150 | 25 | 75 |
| 2 Years | 125 | 125 | 50 | 150 | 150 | - | 50 | 75 |
| 3 Years | 100 | 100 | 50 | 150 | 150 | - | 50 | 75 |
| 4 Years | 100 | 100 | 30 | 100 | - | - | 30 | 50 |
| 5 Years | 75 | 75 | 25 | 100 | 100 | - | 25 | 50 |
| 6 Years | 60 | 60 | 25 | 75 | - | - | 25 | 25 |
| 7 Years | 50 | 50 | 20 | 75 | 75 | - | 20 | 25 |
| 8 Years | 50 | 50 | 15 | 50 | - | - | 15 | 25 |
| 9 Years | 40 | 40 | 15 | 50 | - | - | 15 | 25 |
| 10 Years | 40 | 40 | 15 | 50 | 50 | - | 15 | 25 |
| 12 Years | 40 | 40 | 10 | - | - | - | 10 | - |
| 15 Years | 30 | 30 | 10 | 40 | - | - | 25 | 20 |
| 20 Years | 25 | 25 | 10 | 40 | - | - | 10 | 10 |
| 25 Years | 25 | 25 | 10 | - | - | - | 10 | - |
| 30 Years | 20 | 20 | 10 | 25 | - | - | 10 | 10 |
* On August 4, 2021, IBA announced that it will cease the publication of GBP LIBOR ICE Swap Rate for all tenors immediately after publication on December 31, 2021.
IBA sources input data for use at Level 1 of the Waterfall from the following regulated, electronic trading venues:
IBA sources input data for use at Level 2 of the Waterfall from the following electronic trading venue:
If you operate a suitable trading venue, or would like to suggest one for consideration, please email [email protected].
Governance
Overview
IBA is responsible for ensuring that there is appropriate governance over ICE Swap Rate, and that the appropriate standards of conduct are met.
The ICE Swap Rate & Term SONIA Reference Rates Oversight Committee is comprised of an independent Chairperson and market representatives. The Oversight Committee is responsible for monitoring the administration of the benchmark, including:
- Regular reviews of the definition, methodology and setting of the benchmark
- Assessing the underlying market and usage of the benchmark
- Overseeing adherence to the calculation methodology and IBA policies
- Approving the addition or withdrawal of currencies and tenors for the benchmark
- Oversight Committee Composition and Disclosures of Conflicts of Interest
- Oversight Committee Terms of Reference
Further details on IBA’s general governance structure, including IBA’s independent Board of Directors, whistleblowing policy and other policies are available on IBA’s Governance page.
Oversight Committee Meeting Minutes
Consultations
Current and previous consultations are available below:
Changes to the methodology are governed by IBA’s consultation policy.
Other Documentation
Licensing
Clients wishing to access, use or redistribute ICE Swap Rates should refer to IBA’s Licensing and Data Section.Non-Publication Days/Holidays
ICE Swap Rate is not calculated or published on certain days.
The specific days for each year are: