ICE Swap Rate

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.

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LIBOR Transition: Consequences for the ICE Swap Rate

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.

Cessation of GBP LIBOR ICE Swap Rate

After December 31, 2021, all GBP LIBOR ICE Swap Rate settings have ceased to be published, and 3-Month and 6-Month GBP LIBOR, now published by IBA using a “synthetic” methodology under compulsion from the FCA, are no longer representative of the underlying market or economic reality that those settings previously sought to represent.

IBA announced this cessation on August 4, 2021, following a consultation1. The consultation was undertaken following the FCA’s March 5 announcement, further to which IBA did not expect sufficient (or perhaps any) input data required to calculate GBP LIBOR ICE Swap Rate settings (i.e. eligible interest rate swaps referencing GBP LIBOR settings) to be available after December 31, 2021.

1IBA’s consultation was not a consultation on the potential for the cessation of any ICE Swap Rate settings other than GBP LIBOR ICE Swap Rate. Other than the above announcement regarding the cessation of the GBP LIBOR ICE Swap Rate, none of the consultation, feedback paper, or any related press release is, or should be taken to be or include, an announcement that IBA will cease or continue the publication of any other ICE Swap Rate settings (i.e. USD LIBOR ICE Swap Rate, USD SOFR ICE Swap Rate, EUR ICE Swap Rate or GBP SONIA ICE Swap Rate).

Expected Consultation on the Potential Cessation of USD LIBOR ICE Swap Rate

Further to the FCA’s March 5, 2021 announcement, its Article 21A Notice and announcements2 from US authorities in relation to the use of USD LIBOR, IBA expects to consult on the potential cessation of USD LIBOR ICE Swap Rate in due course.

2 https://www.federalreserve.gov/supervisionreg/srletters/SR2027a1.pdf and https://www.federalreserve.gov/supervisionreg/srletters/SR2117a1.pdf

ISDA Consultation on the implementation of suggested fallbacks for GBP LIBOR ICE Swap Rate and USD LIBOR ICE Swap Rate

The Non-Linear Task Force (NLTF) of the Working Group on Sterling Risk-Free Reference Rates in the UK and the Alternative Reference Rates Committee (ARRC) in the US, have each published papers (“Transition in Sterling Non-Linear Derivatives referencing GBP LIBOR ICE Swap Rate (ISR)” and “Suggested Fallback Formula for the USD LIBOR ICE Swap Rate”) suggesting fallbacks that could apply for GBP LIBOR ICE Swap Rate and USD LIBOR ICE Swap Rate, respectively, in the event that those ICE Swap Rate benchmarks cease to be available and LIBOR in the relevant currencies and tenors ceases or becomes unrepresentative.

Following a consultation, ISDA has published provisions designed to implement the fallbacks for GBP LIBOR ICE Swap Rate proposed in the paper published by the NLTF and the fallbacks for USD LIBOR ICE Swap Rate suggested in the paper published by the ARRC, in each case in a scenario where those ICE Swap Rate benchmarks were unavailable and LIBOR in the relevant currency and tenor had permanently ceased or become unrepresentative.

“SOFR First” Initiative

On June 8, 2021, the Commodity and Futures Trading Commission’s (CFTC) Market Risk Advisory Committee (MRAC) Interest Rate Benchmark Reform Subcommittee voted to recommend a market best practice, referred to as “SOFR First”, for switching interdealer trading conventions from USD LIBOR to the Secured Overnight Financing Rate (SOFR) for USD linear interest rate swaps. The SOFR First initiative recommended that, from July 26, 2021, interdealer brokers replace trading of USD LIBOR-linked linear swaps with trading of SOFR-linked linear swaps. It suggested that interdealer broker screens for USD LIBOR-linked linear swaps should remain visible for informational purposes only after this date up until October 21, 2021, after which they should be turned off altogether.

As noted below, the methodology for USD LIBOR ICE Swap Rates uses input data consisting of quotes for prices and volumes of USD LIBOR-linked swaps, including quotes from interdealer broker screens at Level 1 of the Waterfall. To the extent that the SOFR First initiative results in interdealer broker screens ceasing to display quotes, or reducing the number of displayed quotes, for relevant USD LIBOR-linked swaps, this could result in a greater reliance on Levels 2 and 3 of the Waterfall in calculating USD LIBOR ICE Swap Rate. Insofar as the initiative results in a reduction of eligible input data at any level of the Waterfall, it might consequently impact IBA's ability to calculate and publish one or more USD LIBOR ICE Swap Rates.

Please see the MRAC’s FAQs on SOFR First for further information on this initiative.

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 consultation, 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 existing 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-linked interest rate swaps, and are available for the tenors and at the times set out in the table below. The settings are available from IBA and licensed redistributors.

GBP SONIA ICE Swap Rate settings are available here.

IBA reserves all rights in the ICE Swap Rate methodology and in the GBP SONIA ICE Swap Rate settings. ICE, ICE Swap Rate and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. 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.

¹ The FCA announced these cessations on March 5, 2021.

² The FCA has confirmed that it expects these settings will continue to be published on a representative basis, using panel bank contributions under the “panel bank” LIBOR methodology, until end-June 2023.

³ The FCA announced these cessations, and advised that it will continue to consider the case for using its new legal powers to require IBA to continue the publication of the 1-, 3- and 6-Months USD LIBOR settings beyond June 30, 2023 under a changed, “synthetic”, unrepresentative methodology.

⁴ On September 29, 2021. the FCA announced that it would compel IBA to publish these six “synthetic” LIBOR settings for the duration of 2022 (with the first publication being on January 4, 2022). On January 1, 2022, the FCA notified IBA of the changed methodology it requires IBA to use to calculate the “synthetic” LIBOR settings.

GBP SONIA Spread-Adjusted ICE Swap Rate Settings

IBA launched GBP SONIA Spread-Adjusted ICE Swap Rate settings from January 4, 2022, following a successful testing period running from May 5, 2021.

The settings are determined in line with the methodology proposed by the Non-Linear Task Force 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)” and are being provided for use by licensees on and subject to the terms of their GBP ICE Swap Rate licensing agreements.

GBP SONIA Spread-Adjusted ICE Swap Rate settings are available here.

IBA reserves all rights in the ICE Swap Rate methodology and in the GBP SONIA Spread-Adjusted ICE Swap Rate settings. ICE, ICE Swap Rate and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. 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.

USD SOFR ICE Swap Rate Settings

USD SOFR ICE Swap Rate settings are determined using the published ICE Swap Rate ‘Waterfall’ methodology using eligible input data in respect of SOFR-linked interest rate swaps, and are available for the same tenors and at the same time as the current USD LIBOR ICE Swap Rate.

USD SOFR ICE Swap Rate settings are available here.

IBA reserves all rights in the ICE Swap Rate methodology and in the USD SOFR ICE Swap Rate settings. ICE, ICE Swap Rate and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. 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.

USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ Settings

IBA started publishing indicative USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ settings from October 1, 2021 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”

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. 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 reserves all rights in the ICE Swap Rate methodology and in the USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ settings. ICE, ICE Swap Rate and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. 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.

⁵ The FCA announced it would permit this legacy use on November 16, 2021.

⁶ The FCA announced this prohibition on November 16, 2021.

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 Waterfall, 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. 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 above titled “Cessation of GBP LIBOR ICE Swap Rate” and our LIBOR webpage.

Key Features of the ICE Swap Rate Calculation

Multiple Random Snapshots

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.

Liquidity Checks

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.

Outlier Checks

To protect against unrepresentative market data influencing the benchmark, outlier snapshots are not included in the calculation.

Quality Weighting

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 currently 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. From 4 January 2022, IBA is also publishing GBP SONIA Spread-Adjusted ICE Swap Rate Settings in tenors ranging from 1 to 30 years, please see the above section titled “GBP SONIA Spread-Adjusted ICE Swap Rate Settings” for further information, including the methodology for these settings.

TENOR	EUR EURIBOR 1100	EUR EURIBOR 1200	USD LIBOR Rates 1100	USD LIBOR Spreads 1100	USD LIBOR 1500	USD SOFR 1100	GBP SONIA 1100
1 Year
2 Years
3 Years
4 Years
5 Years
6 Years
7 Years
8 Years
9 Years
10 Years
12 Years
15 Years
20 Years
25 Years
30 Years

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 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 EURIBOR Rates 1100	30/360	Annual	3m EURIBOR	30/360	Annual	6m EURIBOR
EUR EURIBOR Rates 1200	30/360	Annual	3m EURIBOR	30/360	Annual	6m EURIBOR
USD LIBOR Rates 1100	30/360	Semi-annual	3m USD LIBOR	30/360	Semi-annual	3m USD LIBOR
USD LIBOR Rates 1500	30/360	Semi-annual	3m USD LIBOR	30/360	Semi-annual	3m USD LIBOR
USD SOFR Rates 1100	Actual/360	Annual	SOFR compounded in arrears for twelve months using standard market conventions	Actual/360	Annual	SOFR compounded in arrears for twelve months using standard market conventions
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 LIBOR Spreads 1100	30/360	Semi-annual	3m USD 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 EURIBOR Rates 1100	EUR EURIBOR Rates 1200	USD LIBOR Rates 1100	USD LIBOR Spreads 1100	USD LIBOR Rates 1500	USD SOFR Rates 1100	GBP SONIA Rates 1100
1 Year	150	150	150	-	150	75	75
2 Years	125	125	150	150	-	75	50
3 Years	100	100	150	150	-	75	50
4 Years	100	100	100	-	-	50	30
5 Years	75	75	100	100	-	50	25
6 Years	60	60	75	-	-	25	25
7 Years	50	50	75	75	-	25	20
8 Years	50	50	50	-	-	25	15
9 Years	40	40	50	-	-	25	15
10 Years	40	40	50	50	-	25	15
12 Years	40	40	-	-	-	-	10
15 Years	30	30	40	-	-	20	10
20 Years	25	25	40	-	-	10	10
25 Years	25	25	-	-	-	-	10
30 Years	20	20	25	-	-	10	10

Data Providers

IBA sources input data for use at Level 1 of the Waterfall from the following regulated, electronic trading venues:

Tradition's Trad-X platform

BGC Partners' BGC Trader platform

ICAP's i-Swap platform

IBA sources input data for use at Level 2 of the Waterfall from the following electronic trading venue:

Tradeweb's Global Institutional Trading Platform

If you operate a suitable trading venue, or would like to suggest one for consideration, please email [email protected].

Governance

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.