ICE Benchmark Administration launches USD SOFR ICE Swap Rate

ICE Benchmark Administration Limited (IBA) has launched its U.S. dollar SOFR ICE Swap Rate for use as a benchmark in financial contracts and financial instruments by licensees.

The launch of the U.S. dollar SOFR ICE Swap Rate benchmark follows the successful publication of U.S. dollar SOFR ICE Swap Rate settings on an indicative, ‘Beta’ basis since October 1, 2021.

“We are launching SOFR ICE Swap Rate today to help the U.S. dollar non-linear derivatives market in its ongoing transition to SOFR”, said Tim Bowler, President of ICE Benchmark Administration.

The U.S. dollar SOFR ICE Swap Rate settings are available for the same tenors and published at the same time as the current U.S. dollar LIBOR ‘1100’ ICE Swap Rate benchmark. They are available here alongside IBA’s other ICE Swap Rate benchmark runs covering Euro, Sterling and U.S. dollar currencies in tenors ranging from one to 30 years. U.S. dollar 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.

The settings are being provided for use as a benchmark by licensees on and subject to the terms of their current U.S. dollar ICE Swap Rate licensing agreements.

IBA continues to publish indicative, ‘Beta’, U.S. dollar SOFR Spread-Adjusted ICE Swap Rate settings, 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”, for an initial testing period.

These settings are being provided solely for information and illustration purposes in order to enable recipients to evaluate the settings and provide feedback, and 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 the U.S. dollar SOFR Spread-Adjusted ICE Swap Rate settings will be made available for use in financial contracts and financial instruments.