ICE Benchmark Association has added dealer-to-client data from Tradeweb to its waterfall methodology for the ICE Term SONIA reference rates (ICE TSRR).
The ICE TSRR use a waterfall methodology incorporating eligible prices and volumes for specified SONIA-linked interest rate derivative products to measure SONIA rates over a period of one to six months.
The addition of Tradeweb’s dealer-to-client data will expand the waterfall methodology to provide a more complete picture of the alternative reference rates, ICE Benchmark Administration said.
“Our robust pricing adds to the transparency and auditability of the ICE TSRR calculation, addressing the market’s need for accurate and independently validated compliant data,” added Lisa Schirf, Tradeweb managing director.
The waterfall methodology is split into three levels. Level one uses tradeable bid and offer prices and volumes for eligible SONIA-linked overnight interest rate swaps on central limit order books of BGC, TP-ICAP, and Tradition to calculate the ICE TSRR.
If these trading venues do not provide sufficient data Tradeweb’s dealer-to-client prices and volumes for eligible SONIA- linked overnight interest rate swaps will calculate a rate at level two. If there is still insufficient data at level two the ICE TSRR is then determined at level three of the waterfall using SONIA-linked futures data published by electronic trading venues.
“Expanding the waterfall to introduce dealer to client data further strengthens the robustness of the ICE TSRR methodology, using the best available data to help us provide reliable and representative rates to users in all market circumstances,” said Tim Bowler, president of ICE Benchmark Administration.
The ICE TSRR beta rates are published daily on the ICE Term Risk Free Rates (RFR) Portal after launching earlier this year in the summer. Earlier this month, the ICE unveiled plans to consult on its intention to cease publication of Libor interest rates for sterling, euro, Swiss franc, and Japanese yen after 31 December 2021.