IBA to launch SOFR Spread-Adjusted ICE Swap Rate in July

ICE Benchmark Administration (IBA) today confirmed that it plans to launch its USD SOFR Spread-Adjusted ICE Swap Rate for use as a benchmark in financial contracts on July 3, 2023.

IBA has been publishing USD SOFR Spread-Adjusted ICE Swap Rate settings on a beta basis since October 2021 (see link). The settings are determined in line with the methodology suggested by the ARRC (link)

USD SOFR Spread-Adjusted ICE Swap Rate settings are expected to be made available for the same tenors and published at the same time as the current USD LIBOR 1100 ICE Swap Rate settings. They will be available alongside IBA’s other ICE Swap Rate benchmark runs covering USD, GBP and EUR currencies in tenors ranging from one to 30 years, including IBA’s USD SOFR ICE Swap Rate Settings.

“USD SOFR Spread-Adjusted ICE Swap Rate Settings are a key element in assisting the non-linear derivatives market transition to SOFR, and IBA looks forward to making these available as a benchmark for use in financial contracts once testing is complete,” said Clive de Ruig, President of ICE Benchmark Administration.

IBA has already announced that it will cease the publication of all USD LIBOR ICE Swap Rate benchmark runs (i.e. USD LIBOR 1100, USD LIBOR Spreads 1100 and USD LIBOR 1500) for all tenors immediately after publication on June 30, 2023.