ICE TSRR were launched on 11 January 2021 for use as a benchmark in financial instruments by licensees. This followed the conclusion of an initial testing period during which IBA made available an initial, Beta version of the ICE TSRR for information and testing purposes.

The ICE TSRR are designed to measure, on a daily basis, expected (i.e. forward-looking) SONIA rates over 1-, 3-, 6- and 12- month tenor periods. The rates are based on a Waterfall Methodology using eligible data for specified SONIA-linked interest rate derivative products. Further details on the Methodology are provided below.

ICE Term SOFR Reference Rates (“ICE Term SOFR”) were launched on 16 March 2022 for use as a benchmark in financial instruments by licensees. This followed the conclusion of an initial testing period during which IBA made available an initial, Beta version of ICE Term SOFR for information and testing purposes.

The ICE Term SOFR rates are designed to measure, on a daily basis, expected (i.e. forward-looking) SOFR rates over 1-, 3-, 6- and 12- month tenor periods. The rates are based on a Waterfall Methodology using eligible data for specified SOFR-linked interest rate derivative products. Further details on the Methodology are provided below.

At present, ICE Term SOFR settings are expected to be calculated using input data at the second or third level of the Waterfall (i.e. eligible dealer-to-client prices and volumes for eligible SOFR-linked interest rate swaps displayed electronically by trading venues where available, and otherwise futures settlement prices in respect of designated contracts referencing SOFR, published on an electronic trading venue). IBA expects to use Level 1 input data (i.e. eligible, executable prices and volumes for eligible SOFR-linked interest rate swaps, provided by regulated, electronic, trading venues) to derive ICE Term SOFR when this is available in the future.

Each published ICE Term Reference Rate (each an ICE TRR) is calculated using eligible data for specified interest rate derivative products linked to the relevant risk-free-rate (SONIA for ICE TSRR and SOFR for ICE Term SOFR). These data are provided by trading venues in accordance with a Waterfall Methodology. The same calculation Methodology applies to both ICE TSRR and the ICE Term SOFR rates. The full description of the Methodology is available in the Documentation section below.

The first level of the Waterfall (“Level 1”) uses eligible, executable prices and volumes for eligible interest rate swaps linked to the relevant risk-free-rate, provided by regulated, electronic, trading venues to derive the applicable ICE TRR setting. If these trading venues do not provide sufficient eligible input data to calculate the applicable ICE TRR setting in accordance with Level 1 of the Methodology, then the second level of the Waterfall (“Level 2”) uses eligible dealer-to-client prices and volumes for eligible interest rate swaps displayed electronically by trading venues to derive the applicable ICE TRR setting. If there is insufficient eligible input data to calculate the applicable ICE TRR setting in accordance with Level 2 of the Methodology, then the third level of the Waterfall (“Level 3”) uses the previous trading day’s futures’ settlement price in respect of contracts linked to the relevant risk-free-rate, published on an electronic trading venue, the published risk-free-rates, and scheduled rate change dates, to derive the applicable ICE TRR setting.

Where it is not possible to calculate an ICE TRR setting at Level 1, Level 2 or Level 3 of the Waterfall, the ICE Term Reference Rates Insufficient Data Policy would apply for that ICE TRR setting.

At present, ICE Term SOFR settings are expected to be calculated using input data at the second or third level of the Waterfall (i.e. eligible dealer-to-client prices and volumes for eligible SOFR-linked interest rate swaps displayed electronically by trading venues where available, and otherwise futures settlement prices in respect of designated contracts referencing SOFR, published on an electronic trading venue). IBA expects to use Level 1 input data (i.e. eligible, executable prices and volumes for eligible SOFR-linked interest rate swaps, provided by regulated, electronic, trading venues) to derive ICE Term SOFR when this is available in the future.

Standard Market Sizes

The Standard Market Sizes (SMS) in respect of the hypothetical trades required to be filled at Level 1 or Level 2 of the Waterfall for each ICE TRR are

Input data specifications and criteria

In respect of each ICE TRR benchmark run and tenor:

• At Level 1 of the Waterfall, tradeable bid and offer prices and volumes in respect of eligible interest rate swaps linked to the relevant risk-free-rate, available on the central limit order books of regulated, electronic trading venues in respect of a two-hour window before the relevant calculation are used to calculate the ICE TRR.
• At Level 2 of the Waterfall, dealer to client bid and offer prices and volumes in respect of eligible interest rate swaps linked to the relevant risk-free-rate, displayed electronically by trading venues in respect of the same two-hour window are used to calculate the ICE TRR.
• At Level 3 of the Waterfall, previous trading day’s futures’ settlement prices in respect of eligible interest rate futures linked to the relevant risk-free-rate, relevant published risk-free rates, and relevant scheduled rate change dates, are used to derive the ICE TRR.

At Level 1 and Level 2, the bid and offer prices are for the fixed leg percentage rate for cleared interest rate swaps (together with the associated volumes) satisfying the requirements in the below table in respect of the applicable tenors for each ICE TRR. Input data is provided by the relevant trading venues on an “as is” basis.