LIBOR® is in the process of being wound-down.
Users of ICE Swap Rate settings in respect of which LIBOR serves as the floating leg for the relevant interest rate swaps should review our LIBOR Webpage.
GBP ICE Swap Rate Settings
Publication of all GBP LIBOR ICE Swap Rate settings ceased after 31 December 2021.
IBA now publishes GBP SONIA ICE Swap Rate benchmark settings, using eligible input data in respect of SONIA-linked interest rate swaps. In the UK, SONIA has been recommended as the preferred near risk free rate for use in GBP derivatives and relevant financial contracts.
IBA also publishes GBP SONIA Spread-Adjusted ICE Swap Rate settings, determined in line with the methodology proposed by the Non-Linear Task Force (NLTF) 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)”1.
1ISDA has published provisions designed to implement the fallbacks for GBP LIBOR ICE Swap Rate proposed in the paper published by the NLTF in a scenario where LIBOR in the relevant currency and tenor had permanently ceased or become unrepresentative.
USD ICE Swap Rate Settings
Further to a consultation and feedback statement, IBA announced that it will cease the publication of all USD LIBOR ICE Swap Rate benchmark “runs” (i.e. USD LIBOR 1100, USD LIBOR Spreads 1100 and USD LIBOR 1500) for all tenors immediately after publication on 30 June 2023.
Markets are also transitioning from using USD LIBOR, which is in the process of being wound down. This may result in a reduction in the number of USD LIBOR-linked swaps and related prices offered, displayed and/or traded. To the extent that there is any such reduction in relation to USD LIBOR-linked swaps that are used to generate input data for USD LIBOR ICE Swap Rate settings, this could result in a greater reliance on Levels 2 and 3 of the waterfall in calculating USD LIBOR ICE Swap Rates, and could result in IBA being unable to calculate and publish one or more USD LIBOR ICE Swap Rate settings.
IBA now publishes USD SOFR ICE Swap Rate benchmark settings, using eligible input data in respect of SOFR-linked interest rate swaps. In the US, SOFR has been recommended as the preferred near risk free rate for use in USD derivatives and relevant financial contracts.
Since October 2021, IBA has also been publishing indicative USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ settings for an initial testing period. The ‘Beta’ 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”2. 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. During this 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.
USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ settings are available here.
IBA has announced that, assuming satisfactory testing and feedback, it expects to publish USD SOFR Spread-Adjusted ICE Swap Rate settings as a benchmark for use by licensees from 30 June 2023.
2ISDA has published provisions designed to implement the fallbacks for USD LIBOR ICE Swap Rate suggested in the paper published by the ARRC in a scenario where LIBOR in the relevant currency and tenor had permanently ceased or become unrepresentative.