10.07.2021

IBA Launches Beta USD ICE Swap Rate for SOFR

10.07.2021
Basel Committee Consults on Interest-Rate Risk

Intercontinental Exchange, Inc., a leading global provider of data, technology, and market infrastructure, today announced that ICE Benchmark Administration Limited (IBA) has launched an indicative, ‘Beta’, version of its U.S. Dollar (USD) ICE Swap Rate® for SOFR interest rate swaps and a ‘Beta’ USD SOFR Spread-Adjusted ICE Swap Rate® to assist the non-linear market in its transition to SOFR.

IBA’s indicative, ‘Beta’, USD SOFR ICE Swap Rate and USD Spread-Adjusted ICE Swap Rate settings are available for the same tenors and published at the same time as the current USD LIBOR 1100 ICE Swap Rate benchmark. They are available here alongside IBA’s other ICE Swap Rate benchmark runs covering EUR, GBP and USD currencies in tenors ranging from one to 30 years. These include GBP SONIA ICE Swap Rate settings, which IBA launched as a benchmark in December 2020, and indicative, ‘Beta’, GBP SONIA Spread-Adjusted ICE Swap Rate settings, which IBA has been publishing for information purposes since May 2021.

“The SOFR swaps market has now reached a stage where IBA is able to launch Beta ICE Swap Rate settings for U.S. Dollar SOFR interest rate swaps”, said Tim Bowler, President of ICE Benchmark Administration. “We look forward to engaging with stakeholders over the coming weeks as we prepare to launch these as benchmarks in the near future. From our conversations with customers, we believe the settings will play an important role in helping the U.S. Dollar non-linear market in its ongoing transition to SOFR.”

‘Beta’ USD SOFR ICE Swap Rate settings are determined in accordance with the published ICE Swap Rate ‘Waterfall’ methodology, using eligible input data in respect of SOFR-linked interest rate swaps, while the ‘Beta’ USD SOFR Spread-Adjusted ICE Swap Rate settings are determined in line with the methodology suggested by the Alternative Reference Rates Committee (ARRC) in its paper “Suggested Fallback Formula for the USD LIBOR ICE Swap Rate”.

IBA is publishing the ‘Beta’ USD SOFR ICE Swap Rate and USD SOFR Spread-Adjusted ICE Swap Rate settings for an initial testing period, solely for information and illustration purposes in order to enable recipients to evaluate the settings 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. IBA will announce in due course when USD SOFR ICE Swap Rate and USD SOFR Spread-Adjusted ICE Swap Rate settings will be made available for use in financial instruments.

Source: ICE

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