Intercontinental Exchange, Inc. (NYSE:ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, announces that ICE Benchmark Administration Limited (IBA) has launched an initial beta version of its ICE Term SONIA Reference Rates (“ICE TSRR”). The ICE TSRR beta rates are designed to measure average expected (i.e. forward-looking) SONIA rates over one month, three month and six month tenor periods on a daily basis.Fintech News
IBA is publishing the beta rates for information and testing purposes in line with the UK Working Group on Sterling Risk-Free Reference Rates’ (“RFR WG”) priority roadmap for 2020. IBA will announce in due course when the ICE TSRR will be made available as a benchmark for use in financial instruments.
IBA has developed a Waterfall Methodology for calculating the ICE TSRR using eligible SONIA-linked interest rate derivative product data.
At the first level of the Waterfall, IBA uses tradeable bid and offer prices and volumes for eligible SONIA-linked overnight interest rate swaps available on the central limit order books of BGC Partners’ BGC Trader platform, TP-ICAP’s i-Swap platform, and Tradition’s Trad-X platform during a two-hour window before the relevant ICE TSRR calculation. If these trading venues do not provide sufficient eligible input data, the second level of the Waterfall derives the ICE TSRR using SONIA-linked futures data published on electronic trading venues.
“We are pleased to support the development and adoption of alternative rates by launching ICE Term SONIA Reference Rates,” said Tim Bowler, President of ICE Benchmark Administration. “We have heard feedback from many businesses, borrowers and lenders, that they value having forward-looking term rates to provide certainty when calculating their interest expenses and other contractual payments in advance. IBA is working hard to provide tools to help the market transition to alternative rates and we will be ready to launch forward-looking term rates for other alternative overnight rates as market conditions allow.”
ICE TSRR beta rates are published daily on the ICE Term RFR Portal which is designed to be a comprehensive alternative reference rates’ data source for market participants. Data on the ICE Term RFR Portal is currently published for information purposes only and may not be used as a benchmark in financial instruments.