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 interest rate 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 interest rate 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 and EUR €STR ICE Swap Rates 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 interest rate 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 interest rate 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, 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 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
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 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 eight 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 |
| 1 Year | 
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| 2 Years |
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| 3 Years |
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| 4 Years |
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| 5 Years |
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| 6 Years |
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| 7 Years |
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| 8 Years |
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| 9 Years |
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| 10 Years |
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| 12 Years |
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| 15 Years |
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| 20 Years |
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| 25 Years |
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| 30 Years |
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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.
| 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 | |
Standard Market Sizes
The Standard Market Sizes (SMS) 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 €TR 1100 | USD SOFR 1100 | USD SOFR SPREADS 1100 | GBP SONIA 1100 |
| 1 Year | 150 | 150 | 75 | 75 | |
| 2 Years | 125 | 125 | 75 | 150 | 50 |
| 3 Years | 100 | 100 | 75 | 150 | 50 |
| 4 Years | 100 | 100 | 50 | 30 | |
| 5 Years | 75 | 75 | 50 | 100 | 25 |
| 6 Years | 60 | 60 | 25 | 25 | |
| 7 Years | 50 | 50 | 25 | 75 | 20 |
| 8 Years | 50 | 50 | 25 | 15 | |
| 9 Years | 40 | 40 | 25 | 15 | |
| 10 Years | 40 | 40 | 25 | 50 | 15 |
| 12 Years | 40 | 40 | - | 10 | |
| 15 Years | 30 | 30 | 20 | 10 | |
| 20 Years | 25 | 25 | 10 | 30 | 10 |
| 25 Years | 25 | 25 | - | 10 | |
| 30 Years | 20 | 20 | 10 | 20 | 10 |