ICE Benchmark Administration Limited (IBA) has developed a suite of forward-looking, term risk-free-rates, the ICE Term Reference Rates (ICE TRR), which are designed to measure, on a daily basis, expected (i.e. forward-looking) risk-free-rates over 1-, 3-, 6-, and 12- month tenor periods.
The rates are calculated using a "Waterfall" methodology using eligible data for specified interest rate derivative products referencing the relevant risk-free-rate, which prioritizes different data sources to ensure robustness and reliability.
These rates are intended to support financial markets by providing an additional tool to facilitate the transition from LIBOR to alternative reference rates.
Specifications
Key Features
- Forward-Looking Tenors: Provides term rates for 1, 3, 6, and 12-month periods, offering predictability for interest expense calculations.
- Robust Calculation Methodology: The first level of the ICE Term Reference Rates (ICE TRR) Waterfall (“Level 1”) uses eligible, executable prices and volumes for eligible interest rate swaps linked to the relevant risk-free-rate, provided by regulated, electronic, trading venues to derive the applicable ICE TRR setting. If these trading venues do not provide sufficient eligible input data to calculate the applicable ICE TRR setting in accordance with Level 1 of the Methodology, then the second level of the Waterfall (“Level 2”) uses eligible dealer-to-client prices and volumes for eligible interest rate swaps displayed electronically by trading venues to derive the applicable ICE TRR setting. If there is insufficient eligible input data to calculate the applicable ICE TRR setting in accordance with Level 2 of the Methodology, then the third level of the Waterfall (“Level 3”) uses the previous trading day’s futures’ settlement price in respect of contracts linked to the relevant risk-free-rate, published on an electronic trading venue, the published risk-free-rates, and scheduled rate change dates, to derive the applicable ICE TRR setting.
- Supports Benchmark Transition: Facilitates the move from LIBOR, aiding in the adoption of alternative reference rates.
- Daily Publication: Rates are published each business day, providing timely information for market participants.
- Regulatory Compliance: ICE Benchmark Administration Limited is authorised and regulated by the Financial Conduct Authority for the regulated activity of administering a benchmark.
Where it is not possible to calculate an ICE TRR setting at Level 1, Level 2 or Level 3 of the Waterfall, the ICE Term Reference Rates Insufficient Data Policy would apply for that ICE TRR setting.
At present, ICE Term SOFR settings are expected to be calculated using input data at the second or third level of the Waterfall (i.e. eligible dealer-to-client prices and volumes for eligible SOFR-linked interest rate swaps displayed electronically by trading venues where available, and otherwise futures settlement prices in respect of designated contracts referencing SOFR, published on an electronic trading venue). IBA expects to use Level 1 input data (i.e. eligible, executable prices and volumes for eligible SOFR-linked interest rate swaps, provided by regulated, electronic, trading venues) to derive ICE Term SOFR when this is available in the future.
Products
The evolution of our file-based offering. Bringing together, in a unified solution Corporate Actions, Reference Data, Analytics and our wealth of pricing datasets including ICE Evaluations, CEP, Fair Value Information Services & Listed Market Pricing.
Buy-side and sell-side front offices continue to embrace more data and more technology in order to expand their opportunities and gain an edge over the competition. Enrich front office systems with ICE’s Data API solution, providing intraday access to fixed income pricing, on-demand analytics, reference data and more.
ICE Connect brings together access to cutting-edge trading tools with real-time cross-asset data, global news, and analytics all on one platform. Whatever your role, our platform can be tailored to your workflow for optimal efficiency.