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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: 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.

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 is consulting3 on its intention to cease all USD LIBOR ICE Swap Rate benchmark “runs” (i.e. USD LIBOR Rates 1100, USD LIBOR Spreads 1100 and USD LIBOR 1500) for all tenors immediately after publication on June 30, 2023.

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

3 IBA’s consultation is not a consultation on the potential for the cessation of any ICE Swap Rate settings other than USD LIBOR ICE Swap Rate. Neither the consultation nor the related press release is, or should be taken to be or include, an announcement that IBA will cease or continue the publication of USD LIBOR ICE Swap Rate or any other ICE Swap Rate settings.

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.

ARRC Recommendations for Contracts Linked to the USD LIBOR ICE Swap Rate

In June 2022 the ARRC published certain recommendations for contracts linked to the USD LIBOR ICE Swap Rate, including:

  • for market participants to inventory their contracts linked to USD LIBOR ICE Swap Rate and identify their fallback provisions; and
  • that market participants should take proactive steps to address the impact of USD LIOR ICE Swap Rate cessation on legacy positions by either converting their positions to their SOFR or SOFR ICE Swap Rate equivalent, incorporating hardwired fallbacks consistent with the approach suggested by the ARRC, or considering calling or buying back debt instruments with problematic fallback provisions; and
  • where a legacy position cannot be proactively converted and its fallback provisions cannot be amended, that calculation agents consider the fallback formula the ARRC has suggested in determining a successor rate.

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. IBA launched GBP SONIA ICE Swap Rate4 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.

4 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.

GBP SONIA Spread-Adjusted ICE Swap Rate Settings

IBA launched GBP SONIA Spread-Adjusted ICE Swap Rate5 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.

5 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

In the US, SOFR has been recommended as the preferred near risk free rate for use in US Dollar derivatives and relevant financial contracts.

IBA launched USD SOFR ICE Swap Rate6 as a benchmark for use by licensees on November 8, 2021. The settings are provided for use by licensees on and subject to the terms of their existing USD ICE Swap Rate licensing agreements.

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.

6 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 Rate7 ‘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.

7 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.

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 “Consultation on the Potential Cessation of USD 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

* IBA is consulting on its intention to cease all USD LIBOR ICE Swap Rate benchmark “runs” (i.e. USD LIBOR Rates 1100, USD LIBOR Spreads 1100 and USD LIBOR 1500) for all tenors immediately after publication on June 30, 2023

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

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* IBA is consulting on its intention to cease all USD LIBOR ICE Swap Rate benchmark “runs” (i.e. USD LIBOR Rates 1100, USD LIBOR Spreads 1100 and USD LIBOR 1500) for all tenors immediately after publication on June 30, 2023

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.


Oversight Committee Meeting Minutes


Consultations

Current and previous consultations are available below:

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

Licensing

Clients wishing to access, use or redistribute ICE Swap Rates should refer to IBA’s Licensing and Data Section.

Publication Dates & Holidays

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

The specific days for each year are: