Intercontinental Exchange, Inc. (NYSE:ICE) today announced that ICE Benchmark Administration Limited (IBA) plans to launch GBP SONIA Spread-Adjusted ICE Swap Rate for use as a benchmark in financial contracts and financial instruments by licensees on January 4, 2022.
The launch follows the successful publication by IBA of GBP SONIA Spread-Adjusted settings on an indicative, ‘Beta’ basis since May 2021.
“GBP SONIA Spread-Adjusted ICE Swap Rates are an essential component for how the non-linear derivative market addresses legacy contracts referencing GBP LIBOR ICE Swap Rate,” said Bob Goodfellow, Head of GBP Rates and Inflation Options at NatWest Markets.
“The spread-adjusted settings have been developed in response to demand from the market for rates which parties to agreements can use to help address legacy non-linear derivatives, structured products and cash market instruments referencing GBP LIBOR ICE Swap Rate,” said Tim Bowler, President of ICE Benchmark Administration.
GBP SONIA Spread-Adjusted ICE Swap Rate settings are available alongside IBA’s GBP SONIA ICE Swap Rate settings. The 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)”.
From January 4, 2022, the settings will be provided for use as a benchmark by licensees on and subject to the terms of their current GBP ICE Swap Rate licensing agreements.