ICE Benchmark Administration Limited (“IBA”) is developing a suite of forward-looking, term risk-free-rates to help market participant manage benchmark transition. IBA’s ICE Term Reference Rates (“ICE TRR”) are designed to measure, on a daily basis, expected (i.e. forward-looking) risk-free-rates over 1-, 3-, 6-, and 12- month tenor periods, and are based on a Waterfall methodology using eligible data for specified interest rate derivative products referencing the relevant risk-free-rate.
IBA has launched its ICE Term SONIA Reference Rates (“ICE TSRR”) and ICE Term SOFR reference Rates (“ICE Term SOFR”) for use as benchmarks in financial instruments by IBA licensees.
Please review ICE Benchmark Administration’s benchmark and other information notice and disclaimer.
The use of term risk free rate settings for particular currencies may be subject to best practice recommendations from regulatory authorities or designated working groups in respect of those currencies. Please ensure you review such recommendations and take appropriate advice in relation to your use of term risk free rate settings.
ICE TSRR were launched on 11 January 2021 for use as a benchmark in financial instruments by licensees. This followed the conclusion of an initial testing period during which IBA made available an initial, Beta version of the ICE TSRR for information and testing purposes.
The ICE TSRR are designed to measure, on a daily basis, expected (i.e. forward-looking) SONIA rates over 1-, 3-, 6- and 12- month tenor periods. The rates are based on a Waterfall methodology using eligible data for specified SONIA-linked interest rate derivative products. Further details on the methodology are provided below.
IBA is developing solutions designed to help stakeholders transition to alternative U.S. Dollar interest rate benchmarks.
ICE Term SOFR Rates were launched on 16 March 2022 for use as a benchmark in financial instruments by licensees. This followed the conclusion of an initial testing period during which IBA made available an initial, Beta version of the ICE Term SOFR for information and testing purposes.
The ICE Term SOFR rates are designed to measure, on a daily basis, expected (i.e. forward-looking) SOFR rates over 1-, 3-, 6- and 12- month tenor periods. The rates are based on a Waterfall methodology using eligible data for specified SOFR-linked interest rate derivative products. Further details on the methodology are provided below.
At present, ICE Term SOFR settings are expected to be calculated using input data at the second or third level of the Waterfall (i.e. eligible dealer-to-client prices and volumes for eligible SOFR-linked interest rate swaps displayed electronically by trading venues where available, and otherwise futures settlement prices in respect of designated contracts referencing SOFR, published on an electronic trading venue). IBA expects to use Level 1 input data (i.e. eligible, executable prices and volumes for eligible SOFR-linked interest rate swaps, provided by regulated, electronic, trading venues) to derive ICE Term SOFR when this is available in the future.
The below table includes ICE Term SOFR Rates rounded to 3 decimal places and certain U.S. Dollar LIBOR settings, also rounded to 3 decimal places, are also included for information and illustration purposes only.
The data are being provided for information and illustration purposes only, might not be accurate or reliable and may not be used for any other purpose, including as a benchmark in financial contracts, instruments, or to measure the performance of investment funds. The data are subject to the following Disclaimer and Terms of Use.
Please note that USD LIBOR settings are published to 5 decimal places and ICE Term SOFR settings are published to 5 decimal places, which can be obtained from IBA and authorized distributors by users with usage license agreements with IBA. Users of LIBOR and ICE Term SOFR require a usage license from IBA. Please contact [email protected] if you wish to obtain a LIBOR or ICE Term SOFR usage license. Please note that LIBOR is in the process of being wound-down and users of LIBOR should review IBA’s LIBOR webpage for further information.
| Tenor | USD LIBOR® (rounded to 3 d.p.) | ICE Term SOFR Rates (rounded to 3 d.p.) |
| 1 Month | 4.845 | 4.807 |
|---|---|---|
| 3 Months | 5.134 | 4.884 |
| 6 Months | 5.143 | 4.813 |
| 12 Months | 5.107 | 4.582 |
| Publication Date | 23-Mar-23 | 23-Mar-23 |
| Publication time (ET) | 6:55AM | 11:15AM |
None of IBA, Intercontinental Exchange, Inc. (ICE), or any third party that provides input data to IBA to calculate or determine the data herein, or any of its or their affiliates, accepts any responsibility or liability arising out of on in connection with the data herein or any use that you may make of it and all implied terms, conditions and warranties and liabilities in relation to the data are hereby excluded to the fullest extent permitted by law. "ICE", "LIBOR" and "ICE Benchmark Administration" are trademarks of ICE and/or its affiliates.
Each published ICE Term Reference Rate (each an “ICE TRR”) is calculated using eligible data for specified interest rate derivative products linked to the relevant risk-free-rate (SONIA for ICE TSRR and SOFR for ICE Term SOFR). These data are provided by trading venues in accordance with a Waterfall Methodology. The same calculation methodology applies to both ICE TSRR and the ICE Term SOFR rates.
The first level of the Waterfall (“Level 1”) uses eligible, executable prices and volumes for eligible interest rate swaps linked to the relevant risk-free-rate, provided by regulated, electronic, trading venues to derive the applicable ICE TRR setting. If these trading venues do not provide sufficient eligible input data to calculate the applicable ICE TRR setting 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 for eligible interest rate swaps displayed electronically by trading venues to derive the applicable ICE TRR setting. If there is insufficient eligible input data to calculate the applicable ICE TRR setting in accordance with Level 2 of the Methodology, then the third level of the Waterfall (“Level 3”) uses the previous trading day’s futures’ settlement price in respect of contracts linked to the relevant risk-free-rate, published on an electronic trading venue, the published risk-free-rates, and scheduled rate change dates, to derive the applicable ICE TRR setting.
Where it is not possible to calculate an ICE TRR setting at Level 1, Level 2 or Level 3 of the Waterfall, then the ICE Term Reference Rates Insufficient Data Policy would apply for that ICE TRR setting.
At present, ICE Term SOFR settings are expected to be calculated using input data at the second or third level of the Waterfall (i.e. eligible dealer-to-client prices and volumes for eligible SOFR-linked interest rate swaps displayed electronically by trading venues where available, and otherwise futures settlement prices in respect of designated contracts referencing SOFR, published on an electronic trading venue). IBA expects to use Level 1 input data (i.e. eligible, executable prices and volumes for eligible SOFR-linked interest rate swaps, provided by regulated, electronic, trading venues) to derive ICE Term SOFR when this is available in the future.
The Standard Market Sizes ("SMS") in respect of the hypothetical trades that are required to be filled at Level 1 or Level 2 of the Waterfall for each tenor of each ICE TRR are specified in the below table (numbers in millions):
Tenor | SMS for ICE TSRR | SMS for ICE Term SOFR |
|---|---|---|
| 1 Month | 1,000 | 1,000 |
| 3 Months | 750 | 750 |
| 6 Months | 500 | 500 |
| 12 Months | 75 | 75 |
In respect of each ICE Term Reference Rate benchmark run and tenor:
At Level 1 and Level 2, 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 tenors for each ICE TRR. Input data is provided by the relevant trading venues on an “as is” basis.
ICE TSRR | ICE Term SOFR | |
|---|---|---|
| 1 Month | SONIA compounded for One Month using standard market conventions, using an actual/365 day count | SOFR compounded for One Month using standard market conventions, using an actual/360 day count |
| 3 Months | SONIA compounded for Three Months using standard market conventions, using an actual/365 day count | SOFR compounded for Three Months using standard market conventions, using an actual/360 day count |
| 6 Months | SONIA compounded for Six Months using standard market conventions, an actual/365 day count | SOFR compounded for Six Months using standard market conventions, using an actual/360 day count |
| 12 Months | SONIA compounded for Twelve Months using standard market conventions, an actual/365 day count | SOFR compounded for Twelve Months using standard market conventions, using an actual/360 day count |
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:
IBA sources input data for use at Level 3 of the Waterfall from the following electronic trading venue:
The ICE Swap Rate & Term Reference Rates Oversight Committee is comprised of an independent Chairperson and market representatives. The Oversight Committee is responsible for monitoring the administration of the ICE TRR benchmarks, including:
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.
ICE Term Reference Rates (ICE TSRR and ICE Term SOFR) are made available under licence from IBA pursuant to its Master Licence Agreement. The fees payable in respect of an ICE Term Reference Rates usage licence are being waived until 2023. IBA will notify licensees in advance when licence fees will become applicable (and will publish the applicable fee information on its website). Prospective licensees should contact IBA’s licensing team for further information.
IBA has created the ICE Risk Free Rates (RFR) Portal, which is designed to be a comprehensive risk free rates data source for market participants. The ICE RFR Portal includes risk free rates data, the ICE Risk Free Rates (RFR) Calculator and information on the ICE Term Rates and ICE RFR Indexes. The data provided on the ICE RFR Portal is provided for information purposes only and may not be used as a benchmark in financial instruments.
Disclaimer
IBA reserves all rights in the ICE TRR methodologies and in the ICE TRR settings. ICE and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. The "SONIA" mark is used under license 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. 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.