ICE Launches Beta Term SOFR Reference Rates

Basel Committee Consults on Interest-Rate Risk

Intercontinental Exchange, Inc., a leading global provider of data, technology, and market infrastructure, announced that ICE Benchmark Administration Limited (IBA) has launched an indicative, Beta version of its ICE Term SOFR Reference Rates.

The Beta ICE Term SOFR Reference Rates (“ICE Term SOFR”) are designed to measure expected (i.e. forward-looking) SOFR rates over one, three, six and 12-month tenor periods. The rates are based on a Waterfall Methodology, which uses eligible prices and volumes for specified SOFR-linked interest rate derivative products as input data.

The Waterfall currently uses dealer-to-client prices and volumes for eligible SOFR-linked interest rate swaps available on Tradeweb’s institutional platform to generate Beta ICE Term SOFR rates. If there is insufficient eligible dealer-to-client data, the Beta ICE Term SOFR rates are calculated using ICE’s SOFR-linked futures contract data.

As market liquidity increases, IBA expects to also use tradeable bid and offer prices and volumes for eligible SOFR-linked interest rate swaps available on the central limit order books of regulated, electronic trading venues to generate Beta ICE Term SOFR rates.

“We are pleased to support the development and adoption of alternative rates by launching Beta ICE Term SOFR rates,” said Tim Bowler, President of ICE Benchmark Administration. “We have heard feedback from many businesses, borrowers and lenders, that they value having forward-looking term rates to provide certainty when calculating their interest expenses and other contractual payments in advance. IBA continues to work on developing and providing tools to support financial markets in benchmark transition.”

Beta ICE Term SOFR rates are published daily on IBA’s ICE Term Rates webpage, which provides a comprehensive overview of IBA’s term risk-free-rate solutions and is designed to help stakeholders with their transition to alternative benchmarks. Beta ICE Term SOFR rates are published alongside indicative, Beta Tradeweb ICE CMT rates, which are designed to provide a daily overview of U.S. Treasury yields for standard maturities, based on transactions or quotes for U.S. Treasury securities on the Tradeweb institutional platform.

IBA is publishing Beta ICE Term SOFR rates for an initial testing period, solely for information and illustration purposes, in order to enable recipients to evaluate the settings and provide feedback. The Beta rates 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 ICE Term SOFR rates will be made available for use in financial instruments.

Feedback on the Beta ICE Term SOFR rates should be sent to IBA@ice.com.

Source: ICE

Related articles

  1. Clock Synchronization: A Matter of Timing

    Blue Ocean ATS provides US stock trading capabilities outside of traditional stock exchange hours.

  2. Less than 3% tax-free fixed coupon U.S. municipal bonds trade on a daily basis, impacting price discovery.

  3. This is Deutsche Börse's second collaboration with a Latin American stock exchange.

  4. The business is being divided into Market Platforms, Capital Access Platforms, and Anti-Financial Crime.

  5. Brett Harrison had joined the crypto exchange in May 2021 from Citadel Securities.