Intercontinental Exchange, a leading global provider of technology and data, announced that ICE Benchmark Administration Limited (IBA) intends to launch USD SOFR ICE Swap Rate® Swap Spreads and EUR €STR ICE Swap Rates® for use as benchmarks in financial contracts and financial instruments by licensees on July 1, 2024.

The launch follows the successful publication by IBA of indicative, ‘Beta’ versions of the USD SOFR ICE Swap Rate Swap Spreads and EUR €STR ICE Swap Rates settings for an initial testing period since May 3, 2024.

“Following successful testing, we are pleased to announce a further expansion of IBA’s suite of ICE Swap Rate benchmarks to include SOFR swap spreads and €STR swap rates,” said Clive de Ruig, President of IBA. “IBA continues to innovate and develop its regulated benchmark offering to ensure that we can provide reliable and relevant benchmark data to our customers.”

The USD SOFR ICE Swap Rate Swap Spreads and EUR €STR ICE Swap Rates settings are determined using IBA’s published ICE Swap Rate “Waterfall” calculation methodology. The publication tenors, input data specifications and standard market sizes are available on IBA’s ICE Swap Rate webpage.

IBA will publish USD SOFR ICE Swap Rate Swap Spreads and EUR €STR ICE Swap Rates settings for use as benchmarks by licensees on and subject to the terms of their current USD and EUR ICE Swap Rate licensing agreements, respectively. The settings will be made available alongside IBA’s other ICE Swap Rate settings covering USD (SOFR), GBP (SONIA) and EUR (EURIBOR) currencies in tenors ranging from one to 30 years.

Please contact IBA’s licensing team at IBA-licensing@ice.com for information regarding how to license and access IBA’s ICE Swap Rate benchmark (including the new settings).

Source: About ICE Benchmark Administration