Intercontinental Exchange, Inc. (NYSE:ICE) today announced that ICE Benchmark Administration Limited (IBA) launched its GBP SONIA ICE Swap Rate as a benchmark for use by licensees.

GBP SONIA ICE Swap Rate benchmark settings are determined using the published ICE Swap Rate ‘Waterfall’ methodology using eligible input data in respect of SONIA interest rate swaps, and are available for the same tenors and at the same time as the current GBP LIBOR ICE Swap Rate.

The launch of the GBP SONIA ICE Swap Rate benchmark follows the successful publication of GBP SONIA ICE Swap Rate settings on an indicative ‘Beta’ basis since October 2020.

The settings are being provided as a benchmark for use by licensees on and subject to the terms of their current GBP ICE Swap Rate licensing agreements.

Earlier in December, IBA has opened its consultation on plans to cease the publication of LIBOR settings.

IBA consults on its intention to cease the publication of:

• all GBP, EUR, CHF and JPY LIBOR settings, and the 1 Week and 2 Month USD LIBOR settings immediately following the LIBOR publication on December 31, 2021, and
• the Overnight and 1, 3, 6 and 12 Month USD LIBOR settings immediately following the LIBOR publication on June 30, 2023, subject to any rights of the FCA to compel IBA to continue publication.

Let’s note that, together with the FCA, the Bank of England has been working with market participants to catalyse a transition to using SONIA, published by the Bank of England, which has been recommended as the preferred RFR for use in Sterling markets. The Working Group on Sterling Risk-free Reference Rates (SWG) has been established to support transition.

Work is also underway to develop forward-looking term SONIA settings, targeted by the first quarter of 2021.