ICE Swap Rate settings based on USD Libor to be ceased next year

ICE Benchmark Administration stated that it does not expect sufficient input data required to calculate USD Libor ICE swap rate settings to be available after 30 June 2023.

The Intercontinental Exchange’s Benchmark Administration (IBA) has published a feedback statement on its intention to cease the publication of ICE Swap Rate settings based on USD Libor.

Following the UK Financial Conduct Authority’s (FCA) announcement on 5 March last year, on future cessation and loss of representativeness of the Libor benchmarks, IBA stated that it does not expect sufficient input data required to calculate USD Libor ICE swap rate settings – data based on eligible interest rate swaps referencing USD Libor settings – to be available after 30 June 2023.

In response to this, IBA published a consultation in August to gain feedback related to its plans to halt the publication of all USD Libor ICE swap rate benchmark “runs” for all tenors immediately after publication on 30 June next year.

Following the end of the consultation, IBA has announced that it will cease the publication of USD Libor Rates 110, USD Libor Spreads 1100 and USD Libor 1500 immediately after publication for all tenors on 30 June 2023.

“Users of the USD Libor ICE Swap Rate benchmark should take account of its upcoming cessation and ensure their contractual and other arrangements linked to the benchmark contain appropriate fallback or other arrangements to address the cessation,” said ICE in a statement.

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