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
Each published ICE Swap Rate benchmark rate is calculated using eligible prices and volumes for specified interest rate derivative products, provided by trading venues in accordance with a “Waterfall” 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”. The FCA has stated its intention that "it would no longer be necessary for it to persuade or compel the panel banks to submit to LIBOR after year-end 2021". The FCA and other official sector bodies have made various announcements regarding the need to be prepared for transition from LIBOR to alternative rates by year-end 2021, and market participants have been strongly advised to ensure they are ready for this transition.
There can be no certainty or guarantee that IBA will publish any LIBOR settings after year-end 2021, for use in LIBOR-linked swaps or otherwise. As a result, there can be no certainty or guarantee that those ICE Swap Rate settings in respect of which LIBOR serves as the floating leg for the relevant interest rate swaps will be able to be published after that date.
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, IBA began publishing daily indicative GBP SONIA ICE Swap Rate ‘Beta’ settings on October 2, 2020, for an initial testing period. The settings are available here alongside the six other ICE Swap Rate benchmark ‘runs’ covering EUR, GBP and USD.
The GBP SONIA ICE Swap Rate ‘Beta’ settings are determined using the published ICE Swap Rate ‘Waterfall’ methodology and are available for the same tenors and at the same time as the current GBP LIBOR® ICE Swap Rate®.
IBA is publishing the GBP SONIA ICE Swap Rate ‘Beta’ settings solely for information and illustration purposes in order to enable stakeholders to evaluate the rates and provide feedback during the initial testing period. 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 will announce in due course when GBP SONIA ICE Swap Rate settings will be made available as a benchmark for use in financial instruments.
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.
Key Features of the 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 six 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 RATES 1100 | EUR RATES 1200 | GBP RATES 1100 | USD RATES 1100 | USD SPREADS 1100 | USD RATES 1500 | GBP SONIA Beta* Rates 1100 |
| 1 Year |  |
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| 2 Years | |
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| 3 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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| 25 Years | |
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| 30 Years | |
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*ICE Benchmark Administration Limited (IBA) is publishing the indicative GBP SONIA® ICE SWAP® Rate ‘Beta’ settings for an 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 GBP SONIA 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 GBP SONIA ICE SWAP Rate ‘Beta’ settings. ICE, ICE Swap Rate and ICE Benchmark Administration are trademarks of IBA and/or its affiliates.
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 Beta* 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 |
*ICE Benchmark Administration Limited (IBA) is publishing the indicative GBP SONIA® ICE SWAP® Rate ‘Beta’ settings for an 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 GBP SONIA 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 GBP SONIA ICE SWAP Rate ‘Beta’ settings. ICE, ICE Swap Rate and ICE Benchmark Administration are trademarks of IBA and/or its affiliates.
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 Beta* Rates 1100 |
| 1 Year | 150 | 150 | 25 | 150 | - | 150 | 25 |
| 2 Years | 125 | 125 | 50 | 150 | 150 | - | 20 |
| 3 Years | 100 | 100 | 50 | 150 | 150 | - | 20 |
| 4 Years | 100 | 100 | 30 | 100 | - | - | 20 |
| 5 Years | 75 | 75 | 25 | 100 | 100 | - | 20 |
| 6 Years | 60 | 60 | 25 | 75 | - | - | 15 |
| 7 Years | 50 | 50 | 20 | 75 | 75 | - | 15 |
| 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 | - | - | 5 |
| 25 Years | 25 | 25 | 10 | - | - | - | 5 |
| 30 Years | 20 | 20 | 10 | 25 | - | - | 5 |
*ICE Benchmark Administration Limited (IBA) is publishing the indicative GBP SONIA® ICE SWAP® Rate ‘Beta’ settings for an 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 GBP SONIA 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 GBP SONIA ICE SWAP Rate ‘Beta’ settings. ICE, ICE Swap Rate and ICE Benchmark Administration are trademarks of IBA and/or its affiliates.
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 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
- ICE Swap Rate 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: