Intercontinental Exchange (ICE) subsidiary ICE Benchmark Administration has released indicative Beta versions of its USD SOFR ICE Swap Rate Swap Spreads and EUR €STR ICE Swap Rates. The swap spreads and rates expand the ICE Swap Rate benchmark and are determined using IBA’s published ICE Swap Rate waterfall calculation methodology. They are available here.
The publication of the Beta settings follows a consultation and feedback process on IBA’s proposals to extend the current suite of ICE Swap Rate benchmark settings. The settings are being offered for an initial testing period for information purposes and to enable recipients to evaluate the settings and provide feedback to IBA@ice.com.
IBA will later announce when USD SOFR ICE Swap Rate Swap Spreads and EUR €STR ICE Swap Rates settings will be made available for use by licensees as a benchmark in financial instruments.
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