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ICE Benchmark Administration Limited (“IBA”) is developing a suite of forward-looking, term risk-free-rates to help market participant manage benchmark transition. IBA’s ICE Term Reference Rates (“ICE TRR”) are designed to measure, on a daily basis, expected (i.e. forward-looking) risk-free-rates over 1-, 3-, 6-, and 12- month tenor periods, and are based on a Waterfall methodology using eligible data for specified interest rate derivative products referencing the relevant risk-free-rate.

IBA has launched its ICE Term SONIA Reference Rates (“ICE TSRR”) and ICE Term SOFR reference Rates (“ICE Term SOFR”) for use as benchmarks in financial instruments by IBA licensees.

IBA continues to develop and test other term rate solutions, including, in collaboration with Tradeweb, the Tradeweb ICE Constant Maturity Treasury ("CMT") Rates.

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

Notice & Disclaimer

The use of term risk free rate settings for particular currencies may be subject to best practice recommendations from regulatory authorities or designated working groups in respect of those currencies. Please ensure you review such recommendations and take appropriate advice in relation to your use of term risk free rate settings.

GBP Term Rates - ICE Term SONIA Reference Rates

ICE TSRR were launched on 11 January 2021 for use as a benchmark in financial instruments by licensees. This followed the conclusion of an initial testing period during which IBA made available an initial, Beta version of the ICE TSRR for information and testing purposes.

The ICE TSRR are designed to measure, on a daily basis, expected (i.e. forward-looking) SONIA rates over 1-, 3-, 6- and 12- month tenor periods. The rates are based on a Waterfall methodology using eligible data for specified SONIA-linked interest rate derivative products. Further details on the methodology are provided below.

Historical ICE TSRR Settings

USD Term Rates

IBA is developing solutions designed to help stakeholders transition to alternative U.S. Dollar interest rate benchmarks.

ICE Term SOFR Reference Rates

ICE Term SOFR Rates were launched on 16 March 2022 for use as a benchmark in financial instruments by licensees. This followed the conclusion of an initial testing period during which IBA made available an initial, Beta version of the ICE Term SOFR for information and testing purposes.

The ICE Term SOFR rates are designed to measure, on a daily basis, expected (i.e. forward-looking) SOFR rates over 1-, 3-, 6- and 12- month tenor periods. The rates are based on a Waterfall methodology using eligible data for specified SOFR-linked interest rate derivative products. Further details on the methodology are provided below.

At present, ICE Term SOFR 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 eligible SOFR-linked interest rate swaps displayed electronically by trading venues where available, and otherwise futures settlement prices in respect of designated contracts referencing SOFR, published on an electronic trading venue). IBA expects to use Level 1 input data (i.e. eligible, executable prices and volumes for eligible SOFR-linked interest rate swaps, provided by regulated, electronic, trading venues) to derive ICE Term SOFR when this is available in the future.

HISTORICAL ICE TERM SOFR SETTINGS

Beta Tradeweb ICE CMT Rates

IBA is also publishing indicative, Beta settings for the Tradeweb ICE CMT Rates during an initial testing period, designed to provide market participants with a daily overview of U.S. Treasury yields for standard maturities.

Tradeweb and IBA have published a paper introducing the Tradeweb ICE CMT Rates for review and comment by market participants.

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 Beta Tradeweb ICE CMT Rate 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 Term Rates Summary Table

The below table includes ICE Term SOFR Rates and indicative, test, Beta values for Tradeweb ICE CMT Rates, in each case rounded to 3 decimal places. Certain U.S. Dollar LIBOR settings, also rounded to 3 decimal places, are also included for information and illustration purposes only.

The data are being provided for information and illustration purposes only, might not be accurate or reliable and may not be used for any other purpose, including as a benchmark in financial contracts, instruments, or to measure the performance of investment funds. The data are subject to the following Disclaimer and Terms of Use.

Please note that USD LIBOR settings are published to 5 decimal places and ICE Term SOFR settings are published to 5 decimal places, which can be obtained from IBA and authorized distributors by users with usage license agreements with IBA. Users of LIBOR and ICE Term SOFR require a usage license from IBA. Please contact [email protected] if you wish to obtain a LIBOR or ICE Term SOFR usage license. Please note that LIBOR is in the process of being wound-down and users of LIBOR should review IBA’s LIBOR webpage for further information.

TenorUSD LIBOR® (rounded to 3 d.p.)ICE Term SOFR Rates (rounded to 3 d.p.)Beta Tradeweb ICE CMT Rates (rounded to 3 d.p.)
1 Month0.9740.9240.512
3 Months1.5061.3321.041
6 Months2.0661.7471.509
12 Months2.7302.3052.101
    
Publication Date20-May-2220-May-2219-May-22
Publication time (ET)6:55AM11:15AM4:05PM

None of IBA, Intercontinental Exchange, Inc. (ICE), Tradeweb Markets LLC (Tradeweb), or any third party that provides input data to IBA to calculate or determine the data herein, or any of its or their affiliates, accepts any responsibility or liability arising out of on in connection with the data herein or any use that you may make of it and all implied terms, conditions and warranties and liabilities in relation to the data are hereby excluded to the fullest extent permitted by law. "ICE", "LIBOR" and "ICE Benchmark Administration" are trademarks of ICE and/or its affiliates. "Tradeweb" is a trademark of Tradeweb and/or its affiliates.

ICE Term Reference Rates Methodology

Each published ICE Term Reference Rate (each an “ICE TRR”) is calculated using eligible data for specified interest rate derivative products linked to the relevant risk-free-rate (SONIA for ICE TSRR and SOFR for ICE Term SOFR). These data are provided by trading venues in accordance with a Waterfall Methodology. The same calculation methodology applies to both ICE TSRR and the ICE Term SOFR rates.

The first level of the Waterfall (“Level 1”) uses eligible, executable prices and volumes for eligible interest rate swaps linked to the relevant risk-free-rate, provided by regulated, electronic, trading venues to derive the applicable ICE TRR setting. If these trading venues do not provide sufficient eligible input data to calculate the applicable ICE TRR setting 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 eligible interest rate swaps displayed electronically by trading venues to derive the applicable ICE TRR setting. If there is insufficient eligible input data to calculate the applicable ICE TRR setting in accordance with Level 2 of the Methodology, then the third level of the Waterfall (“Level 3”) uses the previous trading day’s futures’ settlement price in respect of contracts linked to the relevant risk-free-rate, published on an electronic trading venue, the published risk-free-rates, and scheduled rate change dates, to derive the applicable ICE TRR setting.

Where it is not possible to calculate an ICE TRR setting at Level 1, Level 2 or Level 3 of the Waterfall, then the ICE Term Reference Rates Insufficient Data Policy would apply for that ICE TRR setting.

At present, ICE Term SOFR 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 eligible SOFR-linked interest rate swaps displayed electronically by trading venues where available, and otherwise futures settlement prices in respect of designated contracts referencing SOFR, published on an electronic trading venue). IBA expects to use Level 1 input data (i.e. eligible, executable prices and volumes for eligible SOFR-linked interest rate swaps, provided by regulated, electronic, trading venues) to derive ICE Term SOFR when this is available in the future.

Standard Market Sizes

The Standard Market Sizes ("SMS") in respect of the hypothetical trades that are required to be filled at Level 1 or Level 2 of the Waterfall for each tenor of each ICE TRR are specified in the below table (numbers in millions):

Tenor
SMS for ICE TSRR
SMS for ICE Term SOFR
1 Month1,0001,000
3 Months750750
6 Months500500
12 Months7575

Input Data Specifications and Criteria

In respect of each ICE Term Reference Rate benchmark run and tenor:

  • At Level 1 of the Waterfall, tradeable bid and offer prices and volumes in respect of eligible interest rate swaps linked to the relevant risk-free-rate, available on the central limit order books of regulated, electronic trading venues in respect of a two-hour window before the relevant calculation are used to calculate the ICE Term Reference Rates.
  • At Level 2 of the Waterfall, dealer to client bid and offer prices and volumes in respect of eligible interest rate swaps linked to the relevant risk-free-rate, displayed electronically by trading venues in respect of the same two-hour window are used to calculate the ICE Term Reference Rates.
  • At Level 3 of the Waterfall, previous trading day’s futures’ settlement prices in respect of eligible interest rate swaps linked to the relevant risk-free-rate, relevant published risk-free rates, and relevant scheduled rate change dates, are used to derive the ICE Term Reference Rates.

At Level 1 and Level 2, 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 tenors for each ICE TRR. Input data is provided by the relevant trading venues on an “as is” basis.

ICE TSRR
ICE Term SOFR
1 MonthSONIA compounded for One Month using standard market conventions, using an actual/365 day countSOFR compounded for One Month using standard market conventions, using an actual/360 day count
3 MonthsSONIA compounded for Three Months using standard market conventions, using an actual/365 day countSOFR compounded for Three Months using standard market conventions, using an actual/360 day count
6 MonthsSONIA compounded for Six Months using standard market conventions, an actual/365 day countSOFR compounded for Six Months using standard market conventions, using an actual/360 day count
12 MonthsSONIA compounded for Twelve Months using standard market conventions, an actual/365 day countSOFR compounded for Twelve Months using standard market conventions, using an actual/360 day count

Data Providers

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:

IBA sources input data for use at Level 3 of the Waterfall from the following electronic trading venue:

Governance

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 ICE TRR benchmarks, including:

  • Regular reviews of the definition, methodology and setting of the benchmarks
  • Assessing the underlying market and usage of the benchmarks
  • Overseeing adherence to the calculation methodology and IBA policies
  • Approving the addition or withdrawal of currencies and tenors for the benchmarks

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.

Licensing

ICE Term Reference Rates (ICE TSRR and ICE Term SOFR) are made available under licence from IBA pursuant to its Master Licence Agreement. The fees payable in respect of an ICE Term Reference Rates usage licence are being waived until 2023. IBA will notify licensees in advance when licence fees will become applicable (and will publish the applicable fee information on its website). Prospective licensees should contact IBA’s licensing team for further information.

Tradeweb ICE CMT Rates are currently being published in test, Beta form for information and illustration purposes in order to enable recipients to evaluate and provide feedback. 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.

Publication Days & Holiday Schedules

ICE Risk Free Rates (RFR) Portal

IBA has created the ICE Risk Free Rates (RFR) Portal, which is designed to be a comprehensive risk free rates data source for market participants. The ICE RFR Portal includes risk free rates data, the ICE Risk Free Rates (RFR) Calculator and information on the ICE Term Rates and ICE RFR Indexes. The data provided on the ICE RFR Portal is provided for information purposes only and may not be used as a benchmark in financial instruments.

Disclaimer

IBA reserves all rights in the ICE TRR methodologies and in the ICE TRR settings. ICE and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. The "SONIA" mark is used under license 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.