ICE Swap Rate®

About ICE Swap Rate®

ICE Swap Rate® (formerly known as ISDAFIX) is recognised as the principal global benchmark for swaps. ICE Swap Rate® is used as the exercise value for cash-settled swaptions, for close-out payments on early terminations of swaps, for some floating rate bonds and for valuing portfolios of swaps.

ICE Swap Rate® represents the mid-price for swaps (the fixed leg) and swap spreads (the applicable mid-price minus a corresponding specified government bond yield) in various specified currencies and tenors ranging from 1 year to 30 years at particular specified times of the day. Certain versions of the ICE Swap Rate® are also "spread-adjusted," as noted below.

ICE Swap Rate® has been designated as a “critical benchmark” under the U.K. Benchmarks Regulation and has been specified as a “significant benchmark” under the EU Benchmarks Regulation.

Currently, ICE Benchmark Administration® Limited (IBA), the administrator of ICE Swap Rate®, publishes ICE Swap Rate® benchmarks: (i) based on interest rate swaps linked to EUR EURIBOR, EUR €STR, GBP SONIA and USD SOFR; (ii) based on swap spreads linked to USD SOFR: and (iii) inflation rate swaps linked to GBP UK RPI and EUR HICP (excluding tobacco) all using the published ‘Waterfall’ Methodology.

Licensing

ICE Swap Rate® benchmark settings are available under licence from IBA (including for valuation and pricing activities and for use in transactions). Prospective licensees should contact IBA’s licensing team at [email protected] for information on how to obtain a usage licence from IBA.

Please review ICE Benchmark Administration’s benchmark and other information notice and disclaimer.

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About IBA

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Governance & oversight

Holiday calendar

Methodology

ICE Swap Rate® is determined using a "Waterfall" calculation Methodology.

The first level of the Waterfall (“Level 1”) uses eligible, executable prices and volumes for specified derivative products that are 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 for specified derivative products 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.

At present, USD SOFR ICE Swap Rate® settings, USD SOFR ICE Swap Rate® Swap Spreads, EUR €STR ICE Swap Rate, GBP UK RPI ICE Swap Rate and EUR HICP (excluding tobacco) ICE Swap Rate settings are expected to be calculated using input data at the second or third level of the Waterfall (i.e. eligible dealer to client prices and volumes for specified derivative products displayed electronically by trading venues where available, and otherwise movement interpolation, where possible for applicable tenors). IBA expects to use input data at the first level of the Waterfall (i.e. eligible, executable prices and volumes for specified derivatives products, provided by regulated, electronic, trading venues) to derive these ICE Swap Rate® settings when this is available in the future.

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)”. Please note that IBA does not, by determining and publishing these settings, endorse the suitability of the NLTF proposed methodology for any particular purpose.

IBA determines and publishes USD SOFR Spread-Adjusted ICE Swap Rate® benchmark settings 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®”. Please note that IBA does not, by determining and publishing these settings, endorse the suitability of the ARRC suggested methodology for any particular purpose.

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

Key features of the ICE Swap Rate® calculation

Multiple random snapshots

IBA uses multiple, randomized 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 data are not included in the calculation.

A minimum number of usable snapshots is required to perform the calculation.

Outlier checks

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

Quality weighting

IBA uses data from the remaining snapshots to determine ICE Swap Rate® using a quality weighting based on the tightness of the spread of the eligible data.

Multiple random snapshots

Liquidity checks

Snapshots which do not contain sufficient eligible data are not included in the calculation.

A minimum number of usable snapshots is required to perform the calculation.

Outlier checks

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

Quality weighting

IBA uses data from the remaining snapshots to determine ICE Swap Rate® using a quality weighting based on the tightness of the spread of the eligible data.

ICE Swap Rate® currencies, runs and tenors

ICE Swap Rate® is currently calculated and published in ten settings (two are “spread-adjusted”) 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.

TENOR	EUR EURIBOR 1100	EUR EURIBOR 1200	EUR €STR 1100	USD SOFR 1100	USD SOFR Spread-adjusted 1100	USD SOFR SPREADS 1100	GBP SONIA 1100	GBP SONIA Spread-adjusted 1100	GBP UK RPI 1100	EUR HICP (ex-tobacco) 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

The Waterfall Methodology uses eligible prices and volumes for specified derivative products. The prices and volumes are for cleared swaps satisfying the requirements in the below table in respect of the applicable benchmark runs and tenors.

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 1100 AND 1200	30/360	Annual	3M EURIBOR	30/360	Annual	6M EURIBOR
EUR €STR 1100	Actual/360	Annual	€STR compounded in arrears for twelve months using standard market conventions	Actual/360	Annual	€STR compounded in arrears for twelve months using standard market conventions
USD SOFR 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 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

Interest Rate Swap Tenors over 1 year				Bond
Benchmark Run	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	Type
USD SOFR SPREADS 1100	Actual/360	Annual	SOFR compounded in arrears for twelve months using standard market conventions	Actual/Actual	Semi-annual	US Treasury on-the-run

Benchmark Run	Inflation Rate Swap			Bond
Benchmark Run	Fixed Rate Leg Day-count	Fixed Rate Leg Period	Floating Leg Inflation Rate Basis	N/A
GBP UK RPI 1100	1/1	Zero Coupon / Term	UK Retail Price Index (RPI)
EUR HICP (ex-tobacco) 1100	1/1	Zero Coupon / Term	EU Harmonised Index of Consumer Prices (HICP) - excluding tobacco

Standard Market Sizes

The Standard Market Sizes (SMS)1 are the minimum volumes used in the liquidity checks. They reflect the size of trades that are considered representative in these products.

Tenor	EUR EURIBOR 1100 and 1200	EUR €STR 1100	USD SOFR 1100	USD SOFR SPREADS 1100	GBP SONIA 1100	GBP UK RPI 1100	EUR HICP 11002
1 Year	150	150	75		75	50	100
2 Years	125	125	75	150	50	30	100
3 Years	100	100	75	150	50	30	80
4 Years	100	100	50		30	30	80
5 Years	75	75	50	100	25	25	80
6 Years	60	60	25		25	25	70
7 Years	50	50	25	75	20	20	70
8 Years	50	50	25		15	25	65
9 Years	40	40	25		15	25	65
10 Years	40	40	25	50	15	20	75
12 Years	40	40	-		10	20	55
15 Years	30	30	20		10	15	50
20 Years	25	25	10	30	10	15	50
25 Years	25	25	-		10	15	40
30 Years	20	20	10	20	10	15	40

1. In millions of relevant currency

2. Excluding tobacco

Data providers

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

Input data is provided by each trading venue on an "as is" basis and each trading venue disclaims all liability for any loss or damage whatsoever incurred by any person arising out of or in connection with its receipt or use of ICE Swap Rate.

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 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.

LIBOR® cessation and consequences for ICE Swap Rate®

All LIBOR® settings have ceased to be published. Further details can be found on 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. Please note that IBA does not, by determining and publishing these settings, endorse the suitability of the NLTF proposed methodology for any particular purpose.

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

Publication of all USD LIBOR ICE Swap Rate® settings ceased after 30 June 2023.

IBA now publishes USD SOFR ICE Swap Rate® benchmark settings and USD SOFR ICE Swap Rate® Swap Spread settings, using eligible input data in respect of SOFR-linked interest rate swaps and swap spreads. In the US, SOFR has been recommended as the preferred near risk free rate for use in USD derivatives and relevant financial contracts.

IBA also publishes USD SOFR Spread-Adjusted ICE Swap Rate® 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”2. Please note that IBA does not, by determining and publishing these settings, endorse the suitability of the ARRC suggested methodology for any particular purpose.

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.

Publication dates & holidays

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

The specific days for each year are:

Transparency reports

ICE Swap Rate Transparency Report

Disclaimers

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.

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.

ICE Swap Rate®

About ICE Swap Rate®

Licensing

Key features of the ICE Swap Rate® calculation

Multiple random snapshots

Liquidity checks

Outlier checks

Quality weighting

Multiple random snapshots

Liquidity checks

Outlier checks

Quality weighting

ICE Swap Rate® currencies, runs and tenors

Input data specifications and criteria

Standard Market Sizes

Oversight Committee Meeting Minutes

GBP ICE Swap Rate® settings

USD ICE Swap Rate® settings