IBA to Launch GBP SONIA 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) aims to launch the GBP SONIA Spread-Adjusted ICE Swap Rate as a benchmark for licensees to use in financial contracts and financial instruments on January 4, 2022.

The ICE Swap Rate® (formerly known as ISDAFIX) is recognised as the principal global benchmark for swap rates and spreads for interest rate swaps. ICE Swap Rate is used as the exercise value for cash-settled swaptions, for close-out payments on early terminations of interest rate swaps, for some floating rate bonds and for valuing portfolios of interest rate swaps.

IBA started publishing indicative GBP SONIA Spread-Adjusted ICE Swap Rate 'Beta' settings from May 5, 2021 for an initial testing period, which are determined in line with the methodology proposed by the Non-Linear Task Force of the Working Group on Sterling Risk-Free Reference Rates in its paper "Transition in Sterling Non-Linear Derivatives referencing GBP LIBOR ICE Swap Rate (ISR)". These settings, at the beginning, are prohibited the use for any other purpose, including as a reference, index or benchmark in financial instruments, financial contracts, or investment funds.

From January 4, 2022, the settings will be provided for use as a benchmark by licensees on and subject to the terms of their current GBP ICE Swap Rate licensing agreements.

"GBP SONIA Spread-Adjusted ICE Swap Rates are an essential component for how the non-linear derivative market addresses legacy contracts referencing GBP LIBOR ICE Swap Rate," said Bob Goodfellow, Head of GBP Rates and Inflation Options at NatWest Markets.

"The spread-adjusted settings have been developed in response to demand from the market for rates which parties to agreements can use to help address legacy non-linear derivatives, structured products and cash market instruments referencing GBP LIBOR ICE Swap Rate," said Tim Bowler, President of ICE Benchmark Administration.