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 various specified currencies and tenors and 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.
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 Methodology, 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.
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”.
Following the FCA’s announcement on March 5, 2021 regarding the future cessation and loss of representativeness of LIBOR, IBA does not expect the necessary input data to calculate GBP LIBOR ICE Swap Rate settings (i.e. eligible interest rate swap transactions referencing GBP LIBOR settings) to be available after December 31, 2021.
As a result, IBA is consulting on its intention to cease the publication of GBP LIBOR ICE Swap Rate settings for all tenors (from one to 30 years) immediately after publication on December 31, 2021.
The consultation is open for feedback until 5:00pm London time on Friday June 4, 2021. IBA will publish a feedback statement after the feedback period has closed.
The consultation is not, and must not be taken to be, an announcement that IBA will cease or continue the publication of GBP LIBOR ICE Swap Rate, or any other ICE Swap Rate settings, 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.
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.
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®. 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 5th May 2021 for an initial testing period.
The settings will be determined in line with the methodology proposed by 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.
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 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:
| TENOR | EUR EURIBOR 1100 | EUR EURIBOR 1200 | GBP LIBOR 1100 | USD LIBOR 1100 | USD LIBOR 1100 | USD LIBOR 1500 | GBP SONIA 1100 |
| 1 Year |
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| 2 Years |
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| 3 Years |
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| 4 Years |
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| 5 Years |
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| 6 Years |
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| 7 Years |
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| 8 Years |
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| 9 Years |
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| 10 Years |
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| 12 Years |
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| 15 Years |
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| 20 Years |
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| 25 Years |
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| 30 Years |
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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 Rates 1100 | 30/360 | Annual | 3m EURIBOR | 30/360 | Annual | 6m EURIBOR |
| EUR Rates 1200 | 30/360 | Annual | 3m EURIBOR | 30/360 | Annual | 6m EURIBOR |
| GBP Rates 1100 | Actual/365 | Annual | 3m LIBOR | Actual/365 | Semi-annual | 6m LIBOR |
| USD Rates 1100 | 30/360 | Semi-annual | 3m LIBOR | 30/360 | Semi-annual | 3m LIBOR |
| USD Rates 1500 | 30/360 | Semi-annual | 3m LIBOR | 30/360 | Semi-annual | 3m 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 |
| 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 Spreads 1100 | 30/360 | Semi-annual | 3m LIBOR | Actual/actual | Semi-annual | US Treasury on-the-run |
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 Rates 1100 |
EUR Rates 1200 |
GBP Rates 1100 |
USD Rates 1100 |
USD Spreads 1100 |
USD Rates 1500 |
GBP SONIA Rates 1100 |
| 1 Year | 150 | 150 | 25 | 150 | - | 150 | 25 |
| 2 Years | 125 | 125 | 50 | 150 | 150 | - | 50 |
| 3 Years | 100 | 100 | 50 | 150 | 150 | - | 50 |
| 4 Years | 100 | 100 | 30 | 100 | - | - | 30 |
| 5 Years | 75 | 75 | 25 | 100 | 100 | - | 25 |
| 6 Years | 60 | 60 | 25 | 75 | - | - | 25 |
| 7 Years | 50 | 50 | 20 | 75 | 75 | - | 20 |
| 8 Years | 50 | 50 | 15 | 50 | - | - | 15 |
| 9 Years | 40 | 40 | 15 | 50 | - | - | 15 |
| 10 Years | 40 | 40 | 15 | 50 | 50 | - | 15 |
| 12 Years | 40 | 40 | 10 | - | - | - | 10 |
| 15 Years | 30 | 30 | 10 | 40 | - | - | 10 |
| 20 Years | 25 | 25 | 10 | 40 | - | - | 10 |
| 25 Years | 25 | 25 | 10 | - | - | - | 10 |
| 30 Years | 20 | 20 | 10 | 25 | - | - | 10 |
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: