Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today announced that ICE Benchmark Administration Limited (“IBA”) has launched GBP SONIA Spread-Adjusted ICE Swap Rate® ‘Beta’ settings.
IBA is publishing daily, indicative GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ settings for an initial testing period. The settings are designed to support the market in transitioning non-linear derivatives, structured products and cash market instruments that currently reference GBP LIBOR ICE Swap Rate.
GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ settings are available here, alongside GBP SONIA ICE Swap Rate. The ‘Beta’ settings are published for tenors ranging from one to 30 years and are determined in line with the methodology proposed by the Working Group on Sterling Risk-Free Reference Rates in its paper “Transition in Sterling Non-Linear Derivatives referencing GBP LIBOR ICE Swap Rate (ISR)”.
“We believe that spread adjusted GBP SONIA ICE Swap Rate will be essential in helping the non-linear derivative market transition,” said Bob Goodfellow, Head of GBP Rates and Inflation Options at NatWest Markets. “In combination with GBP SONIA ICE Swap Rate, we now have the building blocks needed to help this transition whilst helping address legacy contracts which reference GBP LIBOR ICE Swap Rate.”
“IBA continues to engage closely with the market on the transition from GBP LIBOR ICE Swap Rate to GBP SONIA ICE Swap Rate,” said Tim Bowler, President of ICE Benchmark Administration. “Through the launch of spread-adjusted GBP SONIA ‘beta’ settings, in addition to publishing GBP SONIA ICE Swap Rate as a benchmark since December 2020, IBA is providing the tools and solutions the non-linear derivatives market needs to effectively plan and implement this transition”.
IBA is publishing GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ settings for information and illustration purposes in order to enable stakeholders to evaluate the rates and provide feedback. The settings are not intended for, and IBA expressly prohibits their use for, any other purpose, including as a reference, index or benchmark in financial instruments, financial contracts, or investment funds. IBA will announce in due course when the GBP SONIA Spread-Adjusted ICE Swap Rate settings will be made available for use in financial instruments.
