IBA U.S. Dollar Reference Rates

ICE Benchmark Administration

U.S. Dollar Reference Rates

This page provides an overview of ICE Benchmark Administration’s (IBA) proposed solutions designed to help stakeholders transition to alternative U.S. Dollar interest rate benchmarks. It reviews test, “Beta” settings for IBA’s forward-looking ICE Term SOFR settings and the Tradeweb ICE Constant Maturity Treasury (CMT) Rates, both of which are designed to provide term risk free rate settings in U.S. Dollars. Note that certain U.S. Dollar LIBOR settings, rounded to 3 decimal places, are also provided for information and illustration purposes only. USD LIBOR settings are published to 5 decimal places, which can be obtained from IBA and authorized distributors by users with usage license agreements with IBA. LIBOR is in the process of being wound-down and users of LIBOR should review IBA’s LIBOR webpage for further information.

TenorRounded USD LIBOR® (rounded to 3 d.p.)“Beta” ICE Term SOFR Rates (rounded to 3 d.p.)“Beta” Tradeweb ICE CMT Rates (rounded to 3 d.p.)
1 Month0.1090.0590.035
3 Months0.2780.1670.188
6 Months0.4640.3390.372
12 Months0.8090.6010.613
    
Publication Date26-Jan-2226-Jan-2225-Jan-22
Publication time (ET)6:55AM9:00AM4:05PM

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.

The daily data available on this page are historical and, for ICE Term SOFR and Tradeweb ICE CMT rates, relate to a period of testing. The data are 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.

Users of LIBOR require a usage licence from IBA. Please contact [email protected] if you wish to obtain a LIBOR usage licence.

“Beta” ICE Term SOFR Rates

The ICE forward-looking SOFR Term Rates – beta version - are designed to measure the average expected (i.e. forward-looking) SOFR rates1 over specified tenor periods. The methodology uses prices for SOFR-linked futures and Overnight Index Swaps (OIS). It has built-in protections to manage low liquidity and high volatility scenarios and so is designed to be stable across all market circumstances.

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” ICE Term SOFR 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.

Documentation

Statement of Compliance with the IOSCO Principles for Financial Benchmarks

1. IBA reserves all rights in the ICE Term SOFR methodology and in the ICE Term SOFR Rate settings. ICE 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.

“Beta” Tradeweb ICE CMT Rates

Tradeweb and IBA have published a paper introducing daily Tradeweb ICE Constant Maturity Treasury Rates (Tradeweb ICE CMT Rates) for review and comment by market participants (see press release). The Tradeweb ICE CMT Rates have been designed to provide market participants with a daily overview of U.S. Treasury yields for standard maturities.

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.

Documentation

Methodology Paper

For further information

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Disclaimer and Terms of Use

The proprietary data, information and outputs from this webpage, including files or URLs, must not be disclosed, transmitted, distributed or disseminated, either directly or indirectly through any third parties, to any person or entity without the express written consent of IBA. The market data, information and outputs contained herein constitute confidential information and valuable property owned by IBA, its affiliates, licensors and/or other relevant third parties.

Intercontinental Exchange, Inc. (ICE), ICE Benchmark Administration Limited (IBA) and Tradeweb Markets LLC (Tradeweb) reserve all rights in the methodologies (patent pending) and the data, information and outputs disclosed on this webpage, and in the copyright on this webpage. None of these rights may be used without a written license from IBA or Tradeweb, as applicable.

The data, information and outputs provided on this webpage are historical, rounded, and, for ICE Term SOFR and Tradeweb ICE CMT rates, relate to a period of testing. They are rounded to 3 decimal places. They may be updated and changed in their entirety as further testing data becomes available and as the methodology is changed and updated. They are provided for information and illustration purposes only, might not be accurate or reliable and may not be used for any other purpose. In particular, they are not intended for use as, and IBA expressly prohibits their use as, an index by reference to which the amount payable under a financial instrument or a financial contract, or the value of a financial instrument, is determined, or as an index that is used to measure the performance of an investment fund with the purpose of tracking the return of such index or of defining the asset allocation of a portfolio or of computing the performance fees. Such data, information and outputs may not be used as a benchmark within the meaning of the UK and EU Benchmarks Regulation or otherwise. Note that certain USD LIBOR settings, rounded to 3 decimal places, are provided in the table for information and illustration purposes only. USD LIBOR settings are published to 5 decimal places, which can be obtained from IBA and authorized distributors by users with usage license agreements with IBA. LIBOR is in the process of being wound-down and users of LIBOR should review IBA’s LIBOR webpage for further information.

The methodologies disclosed on this webpage are subject to changes in response to feedback from market participants and other stakeholders and IBA's and Tradeweb’s further development work. These changes might produce different results than the data, information and outputs shown herein.

ICE, LIBOR and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. All rights in these trademarks are reserved and none of these rights may be used without a written license from IBA and/or its affiliates, as applicable. Tradeweb is a trademark of Tradeweb and/or its affiliates. All rights in this trademark are reserved and none of these rights may be used without a written license from Tradeweb and/or its affiliates, as applicable. IBA reserves all rights in the ICE Term SOFR methodology and in the ICE Term SOFR Rate settings. IBA and Tradeweb reserve all rights in the Tradeweb ICE CMT Rates methodology and in the Tradeweb ICE CMT Rates settings.

There is no guarantee that IBA will continue to test the ICE Term SOFR Rates or the Tradeweb ICE CMT Rates (the “U.S. Dollar Reference Rates”), to be able source data to derive the U.S. Dollar Reference Rates or publish the U.S. Dollar Reference Rates in the future. Users of LIBOR should not rely on the potential publication of the U.S. Dollar Reference Rates when developing and executing transition or fallback plans.

None of IBA, ICE, Tradeweb, or any providers of data for any of the U.S. Dollar Reference Rates (“data providers”), or any of its or their affiliates, accepts any responsibility or will be liable in contract or tort (including negligence), for breach of statutory duty or nuisance, for misrepresentation, or under antitrust laws, or otherwise, for the data, information and outputs contained on this webpage or any use that you may make of it.

All implied terms, conditions and warranties and liabilities in relation to the data, information and outputs are hereby excluded to the fullest extent permitted by law. None of IBA, ICE, Tradeweb, or any data providers, or any of its or their affiliates excludes or limits liability for fraud or fraudulent misrepresentation or death or personal injury caused by negligence.

Please note that U.S. Dollar LIBOR and each of the aforementioned U.S. Dollar Reference Rates are produced using different methodologies and different data sources. As a result, care should be taken when comparing U.S. Dollar LIBOR and ICE Term SOFR Rates and/or Tradeweb ICE CMT Rates, on any day or for any period, including the period of testing.