ICE Benchmark Administration Announces Intention to Launch SOFR Spread-Adjusted ICE Swap Rate as a Benchmark

Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today announced that ICE Benchmark Administration Limited (IBA) plans to launch U.S. dollar (USD) SOFR Spread-Adjusted ICE Swap Rate for use as a benchmark in financial contracts and financial instruments by licensees on July 3, 2023.

IBA has been publishing USD SOFR Spread-Adjusted ICE Swap Rate settings on an indicative, ‘Beta’ basis for an initial testing period since October 2021. The 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”. USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ settings are available here.

Assuming continued satisfactory testing and feedback, IBA expects to publish USD SOFR Spread-Adjusted ICE Swap Rate settings as a benchmark for use by licensees on and subject to the terms of their current USD ICE Swap Rate licensing agreements from July 3, 2023.

USD SOFR Spread-Adjusted ICE Swap Rate settings are expected to be made available for the same tenors and published at the same time as the current USD LIBOR 1100 ICE Swap Rate settings. They will be available alongside IBA’s other ICE Swap Rate benchmark runs covering USD, GBP and EUR currencies in tenors ranging from one to 30 years, including IBA’s USD SOFR ICE Swap Rate Settings.

“USD SOFR Spread-Adjusted ICE Swap Rate Settings are a key element in assisting the non-linear derivatives market transition to SOFR, and IBA looks forward to making these available as a benchmark for use in financial contracts once testing is complete,” said Clive de Ruig, President of ICE Benchmark Administration.

During the initial testing period, which will continue through to the end of June 2023, USD SOFR Spread-Adjusted ICE Swap Rate ‘Beta’ settings are being provided solely for information and illustrative purposes in order to enable recipients to evaluate and provide feedback. During this period 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.

Further to a consultation and feedback statement, IBA has announced that it will cease the publication of all USD LIBOR ICE Swap Rate benchmark “runs” (i.e. USD LIBOR 1100, USD LIBOR Spreads 1100 and USD LIBOR 1500) for all tenors immediately after publication on June 30, 2023.