UNITED STATES: ICE Benchmark Administration Consults on Potential Cessation of ICE Swap Rate Based on USD LIBOR

Wednesday August 31 2022

On 30^th August 2022, Intercontinental Exchange, Inc. (NYSE:ICE) announced that ICE Benchmark Administration Limited (IBA) has published a consultation on its intention to cease the publication of all ICE Swap Rate settings based on USD LIBOR^®.

Following the FCA’s announcement on March 5^th, 2021, regarding the future cessation and loss of representativeness of USD LIBOR, 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^th, 2023.

As a result, IBA is consulting on 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^th, 2023. The consultation is open for feedback until 5:00pm London time on October 7^th, 2022. 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 USD LIBOR ICE Swap Rate, or any other ICE Swap Rate settings after June 30^th, 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. The settings are available here alongside IBA’s other ICE Swap Rate benchmark runs covering EUR, GBP and USD currencies in tenors ranging from one to 30 years.

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.

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