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 ICE Term SOFR Reference Rates as a benchmark for use in financial instruments by licensees.
ICE Term SOFR Reference Rates (“ICE Term SOFR”) are designed to measure expected (i.e. forward-looking) SOFR rates over one, three, six and 12-month tenor periods. The rates are based on a Waterfall Methodology, which uses eligible input data for specified SOFR-linked interest rate derivative products. The launch of ICE Term SOFR as a benchmark follows the conclusion of a successful testing period during which IBA made available an indicative, Beta version of ICE Term SOFR for information and feedback purposes.
The ICE Term SOFR Waterfall methodology currently uses dealer-to-client prices and volumes for eligible SOFR-linked interest rate swaps available on Tradeweb’s institutional platform to generate ICE Term SOFR settings. If there is insufficient eligible dealer-to-client data, the ICE Term SOFR settings are calculated using ICE’s SOFR-linked futures contract data. As market liquidity increases, IBA expects to also use tradeable bid and offer prices and volumes for eligible SOFR-linked interest rate swaps available on the central limit order books of regulated, electronic trading venues to generate ICE Term SOFR settings.
“By launching ICE Term SOFR as a benchmark, we are providing financial markets with an additional tool to support benchmark transition,” said Tim Bowler, President of ICE Benchmark Administration. “ICE Term SOFR is designed to help businesses, borrowers and lenders who value having forward-looking term rates in order to provide certainty when calculating their interest expenses and other contractual payments in advance.”
ICE Term SOFR settings are published daily at or around 11:15am Eastern Time on applicable New York business days and are available here on a daily basis.
Further information on ICE Term SOFR can be found on IBA’s ICE Term Rates webpage, together with indicative, Beta Tradeweb ICE Constant Maturity Treasury rates, which are designed to provide a daily overview of U.S. Treasury yields for standard maturities, based on transactions or quotes for U.S. Treasury securities on the Tradeweb institutional platform.
Prospective users of ICE Term SOFR settings should contact IBA’s licensing team at IBA-Licensing@ice.com for information on licensing ICE Term SOFR for use in financial instruments.
