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.

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

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

ICE Swap Rate Currencies, Runs and Tenors

ICE Swap Rate is currently calculated and published in six 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.

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. New settings (expected to be published from 1 July 2024) are indicated with a *.

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). New settings (expected to be published from 1 July 2024) are indicated with a *.

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 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.

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

The specific days for each year are:

2021

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 on Consultation on Benchmarks Based on SOFR Swap Spreads and on ESTR

Consultation on ICE Swap Rate (ISR) SOFR Swap Spreads and ISR based on ESTR

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