The ICE Term SONIA Reference Rates (ICE TSRR) are forward-looking term risk-free-rate benchmarks designed to measure expected SONIA rates over specified tenor periods. Developed and administered by ICE Benchmark Administration® Limited (IBA), these rates provide daily settings for 1, 3, 6, and 12-month tenors.
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.
The ICE TSRR is published daily at or around 11:55 a.m. London time on applicable London business days.
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 to SONIA, 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 authorized 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.
ICE Benchmark Administration (IBA) provides transparent, fair and sustainable access to its benchmarks and other information and data for all users. IBA licenses the use or redistribution of the benchmarks and other information and data on a commercial and reasonable basis, to help set standards of fairness and transparency in benchmark and other information and data distribution and licensing.
IBA benchmark data is available on a real-time, intraday or delayed basis through redistribution partners and directly from IBA. For ICE Term Rates intraday data is available 4 hours after original publication time and delayed data is available 24 hours after original publication time.
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