ICE Benchmark Administration Limited (IBA) announced the launch of two new ICE Swap Rate® Inflation Swap benchmarks—one referencing the U.K. Retail Prices Index (RPI) for GBP and the other referencing the Eurozone Harmonised Index of Consumer Prices excluding tobacco (HICP ex‑tobacco) for EUR. Both benchmarks are built on zero‑coupon inflation index swaps and are intended to give market participants regulated, transparent reference rates for inflation‑linked transactions and valuations. By extending the ICE Swap Rate® suite into the inflation‑swap space, IBA seeks to meet growing demand for reliable tools that can help banks, insurers and asset managers manage inflation risk amid evolving price pressures and shifting central‑bank policies in the U.K. and Eurozone.
ICE Benchmark Administration Introduces GBP and EUR Inflation Swap Benchmarks
The new benchmarks reference the RPI for GBP and the HICP ex‑tobacco for EUR, both key measures of inflation in their respective regions. The RPI and HICP ex‑tobacco track the changing cost of a representative basket of goods and services, providing a widely recognised gauge of price movements. Rates are calculated daily using the ICE Swap Rate® Waterfall Methodology, which draws on dealer‑to‑client data supplied by Tradeweb. Published tenors range from 1 to 30 years, delivering a long‑dated reference curve that supports a broad spectrum of inflation‑swap market participants, from short‑term hedgers to long‑dated investors. Clive de Ruig, President of IBA, highlighted that the firm’s “rigorous governance, data management and technology” that support the existing ICE Swap Rate® suite are now being applied to the inflation‑swap market, ensuring the same level of oversight and reliability.
Regulatory Designations and Existing Benchmark Portfolio
ICE Swap Rate® is designated as a “critical benchmark” under the U.K. Benchmarks Regulation and as a “significant benchmark” under the EU Benchmarks Regulation. IBA already publishes ICE Swap Rate® benchmarks linked to EURIBOR, €STR, SONIA, SOFR, and related swap spreads, as well as spread‑adjusted SONIA and SOFR settings. The addition of inflation‑swap benchmarks expands the regulated benchmark suite available to financial institutions operating under both U.K. and EU regulatory frameworks.
Relevance for Financial Institutions and Market Participants
The benchmarks aim to provide “robust, transparent reference rates” for inflation‑risk management, according to de Ruig. By offering daily, licensed reference rates, IBA enables banks, insurers, and asset managers to price, value, and settle inflation‑linked swaps with greater certainty. Licensees can use the benchmark settings for redistribution, valuation, pricing activities, and incorporation into financial products, subject to contact with IBA’s licensing team.
Key Takeaways
- IBA launched two ICE Swap Rate® Inflation Swap benchmarks referencing the U.K. RPI (GBP) and Eurozone HICP ex‑tobacco (EUR).
- Benchmark rates are calculated daily via the ICE Swap Rate® Waterfall Methodology using Tradeweb dealer‑to‑client data and are published for tenors from 1 to 30 years.
- ICE Swap Rate® is classified as a “critical benchmark” in the U.K. and a “significant benchmark” in the EU, and the new inflation benchmarks are available under licence for valuation and transaction use.
FinanceInsyte's Take
The launch adds regulated, transparent inflation‑swap reference rates to a benchmark suite already embedded in many financial‑institution workflows. While the benchmarks meet existing U.K. and EU regulatory criteria, institutions will need to assess licensing requirements and integration costs before adopting them. Executives should monitor market uptake and any future regulatory guidance that could affect the benchmarks’ status.
Source: Businesswire
