ICE Benchmark Administration has introduced two new ICE Swap Rate Inflation Swap benchmarks for GBP and EUR, effective June 5, 2026. These benchmarks provide regulated and transparent reference rates for the inflation swap market in the U.K. and Eurozone.
ICE Swap Rate Inflation Swap Benchmarks Overview
The new benchmarks are linked to key inflation indices. The GBP benchmark references the U.K. Retail Prices Index (RPI), while the EUR benchmark is based on the Eurozone Harmonised Index of Consumer Prices excluding tobacco (HICP ex-tobacco). Both benchmarks use zero-coupon inflation index swaps and are published daily across tenors ranging from 1 to 30 years. ICE Benchmark Administration calculates the rates using its ICE Swap Rate Waterfall Methodology, which relies on dealer-to-client data provided by Tradeweb.
Market Demand and Regulatory Status
Clive de Ruig, President of ICE Benchmark Administration, noted that the launch responds to increased market interest in inflation-linked instruments amid changing inflationary pressures and central bank policies in the U.K. and Eurozone. He emphasized that the new benchmarks aim to provide certainty and predictability in inflation swap settlements.
The ICE Swap Rate has “critical benchmark” status under the U.K. Benchmarks Regulation and “significant benchmark” designation under the EU Benchmarks Regulation. This regulatory recognition supports the credibility of the new inflation swap benchmarks. The launch also expands IBA’s existing ICE Swap Rate suite, which includes benchmarks tied to EURIBOR, €STR, SONIA, and SOFR.
You can access our other news on Forex markets and global market developments here.
