GBP SONIA ICE Swap Rate Launches For Use

Intercontinental Exchange, a leading operator of global exchanges and clearing houses and provider of mortgage technology, data and listings services, announces that ICE Benchmark Administration Limited (IBA) has launched its GBP SONIA ICE Swap Rate as a benchmark for use by licensees.

GBP SONIA ICE Swap Rate benchmark settings are determined using the published ICE Swap Rate^® ‘Waterfall’ methodology using eligible input data in respect of SONIA interest rate swaps, and are available for the same tenors and at the same time as the current GBP LIBOR^® ICE Swap Rate.

The launch of the GBP SONIA ICE Swap Rate benchmark follows a positive market response to feedback and consultation papers issued by IBA, and the successful publication of GBP SONIA ICE Swap Rate settings on an indicative ‘Beta’ basis since October 2020.

“This is an important step forward in helping the non-linear derivatives market transition from LIBOR”, said Tim Bowler, President of ICE Benchmark Administration. “Since August 2019, we have been engaging closely with the market on the development of GBP SONIA ICE Swap Rate settings. This engagement, combined with ongoing successful testing since we launched indicative rates in October, means that we are confident that both we and the market are now ready for the publication of GBP SONIA ICE Swap Rate as a benchmark for use by IBA’s licensees.”

The settings are being provided as a benchmark for use by licensees on and subject to the terms of their current GBP ICE Swap Rate licensing agreements.

Source: ICE

Milestone achieved in LIBOR transition today with the first SONIA Options traded. Mar 21 call butterfly x 1000 traded, equaling 4000 options. To learn more on SONIA Options see: https://t.co/UGOaAwUlh5

— ICE (@ICE_Markets) December 15, 2020