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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.

LIBOR® Transition

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