05.10.2021

ICE Consults On Cessation of GBP LIBOR Swap Rate

05.10.2021
Shanny Basar
Basel Committee Consults on Interest-Rate Risk

Intercontinental Exchange, a leading global provider of data, technology, and market infrastructure, today announced that ICE Benchmark Administration Limited (“IBA”) has published a consultation on its intention to cease the publication of ICE Swap Rate® settings based on GBP LIBOR®.

Following the FCA’s announcement on March 5, 2021 regarding the future cessation and loss of representativeness of LIBOR, IBA does not expect the necessary input data to calculate GBP LIBOR ICE Swap Rate settings (i.e. eligible interest rate swap transactions referencing GBP LIBOR settings) to be available after December 31, 2021.

As a result, IBA is consulting on its intention to cease the publication of GBP LIBOR ICE Swap Rate settings for all tenors (from one to 30 years) immediately after publication on December 31, 2021.

The consultation is open for feedback until 5:00pm London time on Friday June 4, 2021. IBA will publish a feedback statement after the feedback period has closed.

The consultation is not, and must not be taken to be, an announcement that IBA will cease or continue the publication of GBP LIBOR ICE Swap Rate, or any other ICE Swap Rate settings, 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 as GBP LIBOR ICE Swap Rate settings and at the same time, and are determined using the published ICE Swap Rate ‘Waterfall’ methodology based on eligible interest rate swap transactions referencing SONIA settings.

Source: ICE

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