11.15.2022

USD LIBOR ICE Swap Rate Benchmarks to Stop in 2023

11.15.2022
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Intercontinental Exchange, Inc., 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 USD LIBOR®.

Following the FCA’s announcement on March 5, 2021, IBA does not expect sufficient (or perhaps any) input data required to calculate USD LIBOR ICE Swap Rate settings (i.e. data based on eligible interest rate swaps referencing USD LIBOR settings) to be available after June 30, 2023. As a result, IBA published a consultation in August 2022 to seek feedback regarding its intention to cease the publication of all USD LIBOR ICE Swap Rate benchmark “runs” (i.e. USD LIBOR Rates 1100, USD LIBOR Spreads 1100 and USD LIBOR 1500) for all tenors immediately after publication on June 30, 2023.

Based on the feedback received, IBA is announcing today that it will cease the publication of all USD LIBOR ICE Swap Rate benchmark runs (i.e. USD LIBOR Rates 1100, USD LIBOR Spreads 1100 and USD LIBOR 1500) for all tenors immediately after publication on June 30, 2023.

Users of the USD 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 USD 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, after June 30, 2023, or any other date.

In connection with the LIBOR transition, since November 2021, IBA has published USD ICE Swap Rate settings based on SOFR for use as a benchmark in financial contracts and financial instruments by licensees. USD SOFR ICE Swap Rate settings are available for the same tenors and published at the same time as the current “USD LIBOR Rates 1100” ICE Swap Rate benchmark run.

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.

Source: ICE

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