Belay is the Up B move of the Ice Climbers and functions as a third jump - but it will only work if the CPU-controlled Ice Climber is present. The controlled Ice Climber throws the CPU one up a short distance while the two are attached by a rope, and the CPU Ice Climber will then send the human one a long ways upward by pulling on the rope, and both will enter the Helpless state until they land. If this move is used to recover from falling off the edge of a stage, the CPU Ice Climber will likely fall to its doom while the human one will land on the stage safely. It is the highest up B (vertical) move in the game.
Without the other Ice Climber alive or near enough in the air, the player merely does the motion for the belay, which will still grab the ledge when close enough, but otherwise gains very little altitude and leaves the Climber helpless to fall. Players typically use Squall Hammer-based recoveries when left with a single Climber.