ICE Benchmark Launches ICE Term SONIA Reference Rates

Posted on January 11, 2021Comments Off on ICE Benchmark Launches ICE Term SONIA Reference Rates

LONDON (STL.News) Intercontinental Exchange, Inc. (NYSE:ICE), a leading operator of global exchanges and clearing houses and provider of mortgage technology, data and listings services, announces that ICE Benchmark Administration Limited (IBA) has today launched its ICE Term SONIA Reference Rates as a benchmark for use in financial instruments by licensees.

The ICE Term SONIA Reference Rates (“ICE TSRR”) are designed to measure expected (i.e. forward-looking) SONIA rates over one, three, six and 12 month tenor periods, and are based on a Waterfall Methodology using eligible prices and volumes for specified SONIA-linked interest rate derivative products.  The launch of the ICE TSRR as a benchmark follows the conclusion of a testing period which started on June 25, 2020, during which IBA made available an initial, beta versionof the ICE TSRR for information and testing purposes.

Level 1 of the Waterfall uses tradeable bid and offer prices and volumes for eligible SONIA-linked interest rate swaps available on the central limit order books of platforms operated by BGC Partners, TP ICAP, and Tradition to generate the ICE TSRR.  If these trading venues do not provide sufficient eligible input data, the Waterfall uses dealer-to-client prices and volumes for eligible SONIA-linked interest rate swaps available on Tradeweb’s institutional platform to calculate a rate at Level 2.  If there is also insufficient eligible input data at Level 2, the ICE TSRR is determined at Level 3 of the Waterfall using SONIA-linked futures data.

“The launch of ICE Term SONIA Reference Rates as a benchmark is another important step in supporting financial markets in benchmark transition,” said Tim Bowler, President of ICE Benchmark Administration.  “These new rates should help the many businesses, borrowers and lenders who have sought a forward-looking term SONIA benchmark to provide certainty when calculating their interest expenses and other contractual payments in advance.”

The ICE TSRR is published daily at or around 11:55am London time on applicable London business days and is available here on a daily basis.  Prospective licensees should contact IBA’s licensing team at IBA-Licensing@theice.com for further information.

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