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.

In June 2020, following market consultation, IBA implemented a waterfall approach for the ICE Swap Rate Methodology.

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.

IBA determines and publishes GBP SONIA Spread-Adjusted ICE Swap Rate settings 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)”.

Assuming satisfactory testing and feedback, IBA also expects to publish USD SOFR Spread-Adjusted ICE Swap Rate benchmark settings, 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”, for use by licensees from 30 June 2023.

Changes to the methodology are governed by IBA’s Consultation policy.

Key Features of the ICE Swap Rate Calculation

ICE Swap Rate Currencies, Runs and Tenors

ICE Swap Rate is currently calculated and published in eight 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.

*IBA has announced that 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 will cease immediately after publication on 30 June 2023.

Input Data Specifications and Criteria

The Waterfall Methodology uses eligible prices and volumes for specified interest rate derivative products. The prices and volumes are for cleared interest rate swaps 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 LIBOR Spreads 1100 and the associated tenors, the prices are for spreads of such prices 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.

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):

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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:

Input data is provided by the relevant trading venues on an “as is” basis.

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

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 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:

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.

Oversight Committee Meeting Minutes

ICE Swap Rate is not calculated or published on certain days.

The specific days for each year are:

ICE Swap Rate Benchmark Statement

ICE Swap Rate Methodology

ICE Swap Rate Insufficient Data Policy

ICE Swap Rate Republication Policy

ICE Swap Rate Changes and Cessation Policy

Feedback Statement ICE Swap Rate Based on USD LIBOR - Consultation on Potential Cessation

Consultation on Potential Cessation of ICE Swap Rate based on USD LIBOR

Feedback Statement ICE SWAP Rate based on GBP LIBOR - Consultation on Potential Cessation

Consultation on Potential Cessation of ICE Swap Rate based on GBP LIBOR

Letter to Working Group on Sterling Risk-Free Rates