IBA to Cease GBP LIBOR ICE Swap Rate
Intercontinental Exchange, a leading global provider of data, technology, and market infrastructure, announced that ICE Benchmark Administration Limited (“IBA”) has published a feedback statement on its intention to cease the publication of ICE Swap Rate® settings based on GBP LIBOR®.
Further to the FCA’s announcement on March 5, 2021, regarding the future cessation and loss of representativeness of GBP LIBOR, IBA does not expect sufficient (or perhaps any) input data required to calculate GBP LIBOR ICE Swap Rate settings (i.e. data based on eligible interest rate swaps referencing GBP LIBOR settings) to be available after December 31, 2021. As a result, IBA published a consultation in May 2021 to seek feedback regarding its intention to cease the publication of GBP LIBOR ICE Swap Rate for all tenors immediately after publication on December 31, 2021.
Based on the feedback received, IBA is announcing today that it will cease the publication of GBP LIBOR ICE Swap Rate for all tenors immediately after publication on December 31, 2021.
Users of the GBP LIBOR ICE Swap Rate benchmark should take account of its upcoming cessation and ensure their contractual and other arrangements linked to the benchmark contain appropriate fallback or other arrangements to address the cessation.
Other than the above announcement regarding the cessation of the GBP LIBOR ICE Swap Rate, none of the consultation, the feedback statement, or this press release is, or should be taken to be or include, an announcement that IBA will cease or continue the publication of any other ICE Swap Rate settings (i.e. USD LIBOR ICE Swap Rate, EUR ICE Swap Rate or GBP SONIA ICE Swap Rate), after December 31, 2021, or any other date.
IBA expects to consult on the potential cessation of USD LIBOR ICE Swap Rate in due course.
Since December 2020, IBA has published GBP ICE Swap Rate settings based on SONIA. GBP SONIA ICE Swap Rate settings are available for the same tenors and at the same time as the current GBP LIBOR ICE Swap Rate settings, and are determined using the published ICE Swap Rate ‘Waterfall’ methodology based on eligible interest rate swap data referencing SONIA.
IBA also started publishing GBP SONIA Spread-Adjusted ICE Swap Rate® ‘Beta’ settings in May 2021, to support the market in transitioning non-linear derivatives, structured products and cash market instruments that currently reference GBP LIBOR ICE Swap Rate. GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ settings are available here for information purposes only, alongside GBP SONIA ICE Swap Rate settings.
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